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The relationship between the economic policy uncertainty and the cryptocurrency market

Hui-Pei Cheng and Kuang-Chieh Yen

Finance Research Letters, 2020, vol. 35, issue C

Abstract: In this paper, we investigate whether the economic policy uncertainty (EPU) index provided by Baker et al. (2016) can predict cryptocurrency returns. We show that the EPU index of China can predict the Bitcoin monthly returns while that of U.S. or other Asian countries has no predictive power. Furthermore, the China EPU index has no predictive power for the other main cryptocurrencies. Moreover, China's ban on crypto-trading affects the returns of Bitcoin only among the main cryptocurrencies.

Keywords: Bitcoin; Cryptocurrencies; Economic policy uncertainty; China (search for similar items in EconPapers)
JEL-codes: C22 G15 D81 (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:35:y:2020:i:c:s1544612319309596

DOI: 10.1016/j.frl.2019.101308

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