The cryptocurrency uncertainty index

Brian Lucey, Samuel A. Vigne, Larisa Yarovaya and Yizhi Wang

Finance Research Letters, 2022, vol. 45, issue C

Abstract: We have developed and made available a new Cryptocurrency Uncertainty Index (UCRY) based on news coverage. Our UCRY Index captures two types of uncertainty: that of the price of cryptocurrency (UCRY Price) and uncertainty of cryptocurrency policy (UCRY Policy). We show that the constructed index exhibits distinct movements around major events in cryptocurrency space. We suggest that this index captures uncertainty beyond Bitcoin, and can be used for academic, policy, and practice-driven research.

Keywords: Cryprocurrencies; Policy and price uncertainty; Uncertainty index; Cryptocurrency uncertainty index (search for similar items in EconPapers)
JEL-codes: C43 C54 D80 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (91)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321002282

DOI: 10.1016/j.frl.2021.102147

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