Do Global Uncertainty Factors Matter More to Cryptocurrency?

Minxing Wang, Rishabh Verma, Jinghua Wang (), Geoffrey Ngene and Cheickna Sylla
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Minxing Wang: School of Professional Studies, Columbia University, New York, NY 10027, USA
Rishabh Verma: Martin Tuchman School of Management, New Jersey Institute of Technology, Newark, NJ 07103, USA
Jinghua Wang: Martin Tuchman School of Management, New Jersey Institute of Technology, Newark, NJ 07103, USA
Geoffrey Ngene: Department of Accounting and Finance, Deese College of Business and Economics, North Carolina A&T State University, Greensboro, NC 27411, USA
Cheickna Sylla: Martin Tuchman School of Management, New Jersey Institute of Technology, Newark, NJ 07103, USA

JRFM, 2025, vol. 18, issue 11, 1-21

Abstract: This study examines the intricate relationships between cryptocurrency and various uncertainties related to economic policy and global risk factors. It explores the interactions between cryptocurrency and global risk factors, comparing these with their relationships to different measures of economic policy uncertainty (EPU). We find that cryptocurrency returns are more sensitive to global risk factors than to the country-level EPU. Notably, gold exhibits bidirectional causality with cryptocurrency in returns and volatility. The research sheds light on the dynamic interactions within cryptocurrency markets, underscoring the importance of continuous monitoring and adaptive strategies to navigate the evolving financial landscape of the digital ecosystem.

Keywords: cryptocurrency; EPU; Mackey–Glass model; bivariate full BEKK-GARCH (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2025
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