Bitcoin, gold, and the VIX: short- and long-term effects of economic policy uncertainty

Jose Arreola Hernandez, Mohammad Zahid Hasan and Ron P. McIver

Applied Economics Letters, 2023, vol. 30, issue 6, 761-765

Abstract: We investigate short- and long-term effects of U.S. economic policy uncertainty (EPU) on bitcoin, gold, and the implied US stock market volatility (VIX). We apply an autoregressive distributed lag model (ARDL) to monthly data. Our results suggest EPU significantly negatively (positively) impacts bitcoin over short (long) horizons. In contrast to the extant literature we find the magnitude of the effect of EPU on bitcoin returns weakens over longer horizons. Our empirical results provide a cautionary note for holders of asset portfolios that include bitcoin in their mix as a hedge against uncertainty.

Date: 2023
References: Add references at CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://hdl.handle.net/10.1080/13504851.2021.2018125 (text/html)
Access to full text is restricted to subscribers.

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:taf:apeclt:v:30:y:2023:i:6:p:761-765

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/13504851.2021.2018125

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().