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Does economic policy uncertainty predict the Bitcoin returns? An empirical investigation

Demir, Ender, Gozgor, Giray, Lau, Marco Chi Keung and Vigne, Samuel A. (2018) Does economic policy uncertainty predict the Bitcoin returns? An empirical investigation. Finance Research Letters. ISSN 1544-6123

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This paper analyzes the prediction power of the economic policy uncertainty (EPU) index on the daily Bitcoin returns. Using the Bayesian Graphical Structural Vector Autoregressive model as well as the Ordinary Least Squares and the Quantile-on-Quantile Regression estimations, the paper finds that the EPU has a predictive power on Bitcoin returns. Fundamentally, Bitcoin returns are negatively associated with the EPU. However, the effect is positive and significant at both lower and higher quantiles of Bitcoin returns and the EPU. In the light of these findings, the paper concludes that Bitcoin can serve as a hedging tool against uncertainty.

Item Type: Article
Subjects: H Social Sciences > HB Economic Theory
Schools: Huddersfield Business School
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Depositing User: Sharon Beastall
Date Deposited: 06 Feb 2018 08:38
Last Modified: 26 Mar 2018 14:46


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