Economic policy uncertainty and cryptocurrencies

Chiara Oldani, Giovanni S. F. Bruno and Marcello Signorelli
Additional contact information
Giovanni S. F. Bruno: Bocconi University

Eurasian Economic Review, 2024, vol. 14, issue 3, No 7, 709-728

Abstract: Abstract The paper focuses on the relationship between cryptocurrencies and economic policy uncertainty (EPU) shocks by adopting robust econometric techniques. Results on monthly data from 2016 to 2022 confirm that the volumes of cryptos are stationary, and the short- and long-run impacts of uncertainty shocks are significantly positive, and, in most cases, begin to show already in the first six months after the shock. When uncertainty significantly prevails, investors increase their demand for cryptos. The ARDL(12,11) specifications for Bitcoin show a significant increase in volumes of around 1% occurring over a year after a unit increase in economic policy indices. Conclusions from the findings are related to supervision, and monitoring of markets and financial stability.

Keywords: Autoregressive distributed lag model; Cryptocurrency; Economic policy uncertainty; Financial stability; Financial regulation (search for similar items in EconPapers)
JEL-codes: C22 E6 G18 O38 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s40822-024-00271-1 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

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:spr:eurase:v:14:y:2024:i:3:d:10.1007_s40822-024-00271-1

Ordering information: This journal article can be ordered from
http://www.springer.com/economics/journal/40822

DOI: 10.1007/s40822-024-00271-1

Access Statistics for this article

Eurasian Economic Review is currently edited by Dorothea Schäfer

More articles in Eurasian Economic Review from Springer, Eurasia Business and Economics Society Contact information at EDIRC.
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().