加密货币、股票和经济政策的不确定性：FAVAR分析

IF 3.8 3区经济学 Q1 BUSINESS, FINANCE

North American Journal of Economics and Finance Pub Date : 2025-03-06 DOI:10.1016/j.najef.2025.102405

Andrea Civelli, Laura E. Jackson

{"title":"加密货币、股票和经济政策的不确定性：FAVAR分析","authors":"Andrea Civelli, Laura E. Jackson","doi":"10.1016/j.najef.2025.102405","DOIUrl":null,"url":null,"abstract":"<div><div>We study the interactions between cryptocurrencies, stocks, and U.S. economic policy uncertainty (EPU) using a Factor-Augmented Vector Autoregressive framework, in which return comovements within each asset market are modeled by a single common factor. We document a remarkable heterogeneity across cryptocurrencies, with market fragmentation by functional characteristics of the projects. Through structural impulse-response analysis, we find that: (1) Stock returns positively respond to crypto shocks, but not vice versa; (2) Cryptocurrencies can be used to hedge against U.S. EPU, but display safe-haven characteristics against Chinese EPU. We interpret these results in light of recent crypto investment and pricing models.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"78 ","pages":"Article 102405"},"PeriodicalIF":3.8000,"publicationDate":"2025-03-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Cryptocurrencies, stocks, and economic policy uncertainty: A FAVAR analysis\",\"authors\":\"Andrea Civelli, Laura E. Jackson\",\"doi\":\"10.1016/j.najef.2025.102405\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><div>We study the interactions between cryptocurrencies, stocks, and U.S. economic policy uncertainty (EPU) using a Factor-Augmented Vector Autoregressive framework, in which return comovements within each asset market are modeled by a single common factor. We document a remarkable heterogeneity across cryptocurrencies, with market fragmentation by functional characteristics of the projects. Through structural impulse-response analysis, we find that: (1) Stock returns positively respond to crypto shocks, but not vice versa; (2) Cryptocurrencies can be used to hedge against U.S. EPU, but display safe-haven characteristics against Chinese EPU. We interpret these results in light of recent crypto investment and pricing models.</div></div>\",\"PeriodicalId\":47831,\"journal\":{\"name\":\"North American Journal of Economics and Finance\",\"volume\":\"78 \",\"pages\":\"Article 102405\"},\"PeriodicalIF\":3.8000,\"publicationDate\":\"2025-03-06\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"North American Journal of Economics and Finance\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S1062940825000452\",\"RegionNum\":3,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"North American Journal of Economics and Finance","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1062940825000452","RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}

引用次数: 0

摘要

我们使用因子增强向量自回归框架研究加密货币、股票和美国经济政策不确定性（EPU）之间的相互作用，其中每个资产市场内的回报变动由单个共同因素建模。我们记录了加密货币之间的显著异质性，项目的功能特征导致市场分化。通过结构脉冲响应分析，我们发现：(1)股票收益正响应加密货币冲击，反之不响应加密货币冲击；(2)加密货币可用于对冲美国EPU，但对中国EPU表现出避险特征。我们根据最近的加密投资和定价模型来解释这些结果。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Cryptocurrencies, stocks, and economic policy uncertainty: A FAVAR analysis

We study the interactions between cryptocurrencies, stocks, and U.S. economic policy uncertainty (EPU) using a Factor-Augmented Vector Autoregressive framework, in which return comovements within each asset market are modeled by a single common factor. We document a remarkable heterogeneity across cryptocurrencies, with market fragmentation by functional characteristics of the projects. Through structural impulse-response analysis, we find that: (1) Stock returns positively respond to crypto shocks, but not vice versa; (2) Cryptocurrencies can be used to hedge against U.S. EPU, but display safe-haven characteristics against Chinese EPU. We interpret these results in light of recent crypto investment and pricing models.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

North American Journal of Economics and Finance Multiple-

CiteScore

7.30

自引率

8.30%

发文量

168

期刊介绍： The focus of the North-American Journal of Economics and Finance is on the economics of integration of goods, services, financial markets, at both regional and global levels with the role of economic policy in that process playing an important role. Both theoretical and empirical papers are welcome. Empirical and policy-related papers that rely on data and the experiences of countries outside North America are also welcome. Papers should offer concrete lessons about the ongoing process of globalization, or policy implications about how governments, domestic or international institutions, can improve the coordination of their activities. Empirical analysis should be capable of replication. Authors of accepted papers will be encouraged to supply data and computer programs.