【Author】
Wu, Chang-Che; Ho, Shu-Ling; Wu, Chih-Chiang
【Source】FINANCE RESEARCH LETTERS
【Abstract】This study investigates the impact of global and national economic policy uncertainty (EPU) on Bitcoin returns and long-term volatility based on the MIDAS framework. Similar results were found for global and national EPUs, where most national EPUs are positively related to Bitcoin returns but negatively related to Bitcoin long-term volatility. China's EPU provides a better explanatory ability than global and other national EPUs. Additionally, the hedging capability and long-term volatility of Bitcoin are more sensitive to Japan's EPU. Overall, our findings explain to investors that national uncertainties are essential criteria to guide Bitcoin investment decisions.
【Keywords】National economic policy uncertainty; Bitcoin return; Bitcoin long-term volatility; GARCH-MIDAS
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