Effects of economic policy uncertainty shocks on the interdependence between Bitcoin and traditional financial markets
Roman Matkovskyy (),
Akanksha Jalan and
The Quarterly Review of Economics and Finance, 2020, vol. 77, issue C, 150-155
This paper analyses the effects of economic policy uncertainty (hereafter, EPU) on the relationship between Bitcoin and traditional financial markets during the period 27/04/2015 to 25/10/2018, represented by five stock market indices namely the NASDAQ100, S&P500, Euronext100, FTSE100 and NIKKEI225. EPU is measured in terms of economic policy, monetary policy, financial regulation, taxation policy, and the news-based policy uncertainty index for the U.S., U.K., Europe and Japan. By applying a variety of statistical techniques (multivariate EWMA models, Spearman’s rho, the Diebold and Yilmaz (2012) spill-over index, GAS models with conditional multivariate Student–t distribution and time–varying scales and correlations, BVAR models with the Litterman/ Minnesota priors and nonlinear impulse responses with local projections accounting for different regimes in uncertainty) we estimate interdependence between traditional financial and Bitcoin markets and their reaction to the selected policy shocks. Our findings indicate the investment attractiveness of bitcoin as a hedging tool against shocks in uncertainty in the USA economic policy.
Keywords: Bitcoin; Financial market; Interdependence; Policy uncertainty; Dynamic copula; BVAR (search for similar items in EconPapers)
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Working Paper: Effects of economic policy uncertainty shocks on the interdependence between Bitcoin and traditional financial markets (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:77:y:2020:i:c:p:150-155
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