Economic policy uncertainty and cryptocurrencies
Author(s)
Date Issued
2024
Type
article
Volume
14
Issue
3
Start Page
709
End Page
728
Journal
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.
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