Non-linear causal linkages of EPU and gold with major cryptocurrencies during bull and bear markets

Stephanos Papadamou, Nikolaos A. Kyriazis and Panayiotis Tzeremes

The North American Journal of Economics and Finance, 2021, vol. 56, issue C

Abstract: This paper sets out to explore whether the innovative Economic Policy Uncertainty (EPU) index and the safe haven asset of gold influence returns of high-capitalization cryptocurrencies in a non-linear manner. Estimations take place both concerning flourishing and stressed periods in the digital currency markets. Econometric outcomes reveal that the returns of almost half of the cryptocurrencies investigated are tightly connected to the EPU index in bull markets while even more currencies are linked with the index during bear markets. Similar findings are revealed as concerns gold as it proves to be more influential during bear markets due to its hedging capacities. There is also evidence that causality in variance is significant in all but the higher quantile concerning both EPU and gold estimations in both bull and bear markets.

Keywords: Cryptocurrencies; Economic policy uncertainty index; Gold; Bull market; Bear market (search for similar items in EconPapers)
JEL-codes: G11 G15 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (21)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S106294082030228X
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:56:y:2021:i:c:s106294082030228x

DOI: 10.1016/j.najef.2020.101343

Access Statistics for this article

The North American Journal of Economics and Finance is currently edited by Hamid Beladi

More articles in The North American Journal of Economics and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().