Does Bitcoin Hedge Categorical Economic Uncertainty? A Quantile Analysis

Khaled Mokni (), Elie Bouri (), Ahdi Noomen Ajmi and Xuan Vinh Vo

SAGE Open, 2021, vol. 11, issue 2, 21582440211016377

Abstract: This paper examines the hedge and safe-haven abilities of Bitcoin against U.S. aggregate and categorical economic policy uncertainty (EPU) via the application of quantile regression model augmented with a dummy and some control variables. Using monthly data from September 2011 to December 2019, empirical results indicate that Bitcoin does not act as a strong hedge against the aggregate U.S. EPU. However, it acts as a strong safe-haven for this aggregate measure of uncertainty when the Bitcoin market is bearish. Looking deeper into the disaggregated level of the U.S. EPU data, the analyses involving categorical EPU data indicate the ability of Bitcoin to act as a strong hedge and safe-haven against specific uncertainties related to fiscal policy, taxes, national security, and trade policy.

Keywords: Bitcoin; EPU; categorical economic uncertainty; hedge; safe-haven; quantile (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:sae:sagope:v:11:y:2021:i:2:p:21582440211016377

DOI: 10.1177/21582440211016377

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