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When, where, and how economic policy uncertainty predicts Bitcoin returns and volatility? A quantiles-based analysis

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  • Mokni, Khaled

Abstract

Most previous studies focusing on the effect of the economic policy uncertainty (EPU) on the Bitcoin price do not assess for market conditions and assume that this effect is symmetric. To address this limitation, this paper investigates the causality running from EPU to Bitcoin returns and volatility in the top-10 countries running Bitcoin nodes under different market conditions. To do so, we employ the symmetric and asymmetric causality in-quantiles test. Results report that the EPU improves the prediction of Bitcoin returns in the majority of countries under extreme market conditions. However, the EPU causes Bitcoin volatility at the intermediate and high quantiles. Further analysis considering the asymmetric causality in quantiles suggests that the causality running from EPU to the Bitcoin returns is sourced from increased EPU levels (positive variations), while the decrease in EPU (negative variations) is the source of causality from EPU to Bitcoin volatility. Our results have important implications for investors and policymakers operating in the cryptocurrency market, particularly in portfolio design and risk management.

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  • Mokni, Khaled, 2021. "When, where, and how economic policy uncertainty predicts Bitcoin returns and volatility? A quantiles-based analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 65-73.
    • Handle: RePEc:eee:quaeco:v:80:y:2021:i:c:p:65-73
    DOI: 10.1016/j.qref.2021.01.017
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    More about this item

    Keywords

    Bitcoin; Economic policy uncertainty; Granger causality; Quantile;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

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