Economic policy uncertainty and cryptocurrencies

IF 2.5 Q2 ECONOMICS
Chiara Oldani, Giovanni S. F. Bruno, Marcello Signorelli
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引用次数: 0

Abstract

The paper focuses on the relationship between cryptocurrencies and economic policy uncertainty (EPU) shocks by adopting robust econometric techniques. Results on monthly data from 2016 to 2022 confirm that the volumes of cryptos are stationary, and the short- and long-run impacts of uncertainty shocks are significantly positive, and, in most cases, begin to show already in the first six months after the shock. When uncertainty significantly prevails, investors increase their demand for cryptos. The ARDL(12,11) specifications for Bitcoin show a significant increase in volumes of around 1% occurring over a year after a unit increase in economic policy indices. Conclusions from the findings are related to supervision, and monitoring of markets and financial stability.

Abstract Image

经济政策的不确定性与加密货币
本文采用稳健计量经济学技术,重点研究了加密货币与经济政策不确定性(EPU)冲击之间的关系。从 2016 年到 2022 年的月度数据中得出的结果证实,加密货币的交易量是静态的,不确定性冲击的短期和长期影响显著为正,并且在大多数情况下,在冲击发生后的前六个月就已经开始显现。当不确定性显著存在时,投资者会增加对加密货币的需求。比特币的 ARDL(12,11)规格表明,在经济政策指数上升一个单位后,比特币的交易量会在一年内大幅增加约 1%。研究结果的结论与市场监管和金融稳定有关。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
CiteScore
6.00
自引率
2.90%
发文量
24
期刊介绍: The mission of Eurasian Economic Review is to publish peer-reviewed empirical research papers that test, extend, or build theory and contribute to practice. All empirical methods - including, but not limited to, qualitative, quantitative, field, laboratory, and any combination of methods - are welcome. Empirical, theoretical and methodological articles from all fields of finance and applied macroeconomics are featured in the journal. Theoretical and/or review articles that integrate existing bodies of research and that provide new insights into the field are highly encouraged. The journal has a broad scope, addressing such issues as: financial systems and regulation, corporate and start-up finance, macro and sustainable finance, finance and innovation, consumer finance, public policies on financial markets within local, regional, national and international contexts, money and banking, and the interface of labor and financial economics. The macroeconomics coverage includes topics from monetary economics, labor economics, international economics and development economics. Eurasian Economic Review is published quarterly. To be published in Eurasian Economic Review, a manuscript must make strong empirical and/or theoretical contributions and highlight the significance of those contributions to our field. Consequently, preference is given to submissions that test, extend, or build strong theoretical frameworks while empirically examining issues with high importance for theory and practice. Eurasian Economic Review is not tied to any national context. Although it focuses on Europe and Asia, all papers from related fields on any region or country are highly encouraged. Single country studies, cross-country or regional studies can be submitted.
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