When Bitcoin meets economic policy uncertainty (EPU): Measuring risk spillover effect from EPU to Bitcoin

被引：156
|
作者：
Wang, Gang-Jin [1 ,2 ]
Xie, Chi [1 ,2 ]
Wen, Danyan [3 ]
Zhao, Longfeng [4 ]
机构：
[1] Hunan Univ, Business Sch, Changsha 410082, Hunan, Peoples R China
[2] Hunan Univ, Ctr Finance & Investment Management, Changsha 410082, Hunan, Peoples R China
[3] Nanjing Univ Sci & Technol, Sch Econ & Management, Nanjing 210094, Jiangsu, Peoples R China
[4] Xian Polytech Univ, Sch Management, Xian 710048, Shaanxi, Peoples R China
来源：
FINANCE RESEARCH LETTERS | 2019年 / 31卷
基金：
中国国家自然科学基金;
关键词：
Bitcoin; Economic policy uncertainty; Risk spillover effect; Multivariate quantile model; Granger causality risk test; SAFE HAVEN; VOLATILITY; MARKETS; GOLD; CRYPTOCURRENCIES; DEPENDENCE; CAUSALITY; DOLLAR; RETURN; HEDGE;
D O I：
10.1016/j.frl.2018.12.028
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Bitcoin was launched to solve the distrust and uncertainty in the existing financial system. Here we investigate risk spillover effect from economic policy uncertainty (EPU) to Bitcoin using a multivariate quantile model and the Granger causality risk test. We use the US EPU index, equity market uncertainty index, and VIX as proxies for EPU. We find that risk spillover effect from EPU to Bitcoin is negligible in most conditions. Our work provides useful information on building asset portfolios for investors who have investment strategies in Bitcoin, because Bitcoin can be acted as a safe-haven or a diversifier under EPU shocks.
引用
收藏
页码：489 / 497
页数：9
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