Economic policy uncertainty and Bitcoin. Is Bitcoin a safe-haven asset?

Purpose - The goal of this work is to determine whether Bitcoin behaves as a safe-haven asset. In order to do so, the influence of Economic Policy Uncertainty (EPU) on Bitcoin returns and volatility was studied. Design/methodology/approach - It is evaluated whether, when compared with the evolution of EPU, Bitcoin's returns and volatility show behaviours typical of safe havens or rather, those of conventional speculative assets. When faced with an increase in EPU, safe havens – such as gold – can be expected to increase their returns and volatility, while conventional speculative assets will increase their volatility and reduce their returns. This study uses simple linear regression and quantile regression models on a daily data sample from 19 July 2010 to 11 April 2019, to analyse the influence of EPU on the returns and volatility of Bitcoin and gold. Findings - Bitcoin's returns and volatility increase during more uncertain times, just like gold, showing that Bitcoin acts not only as a means of exchange but also shows characteristics of investment assets, specifically of safe havens. These findings provide useful information to investors by allowing Bitcoin to be considered as a tool to protect savings in times of economic uncertainty and to diversify portfolios. Originality/value - This study complements and expands current research by aiming to answer the question of whether Bitcoin is a simple speculative asset or a safe haven. The most significant contribution is to show that Bitcoin is not a mere speculative asset but behaves like a safe haven. 目的 - 本研究旨在確定比特幣是不是避難所資產。為達這目的，研究人員探討了經濟政策不確定性對比特幣的回報及波動性的影響。 研究設計/方法/理念 - 研究評估比特幣的回報和波動性，若與經濟政策不確定的進化作比較，會顯示資金避難所的典型行為，抑或顯示傳統投機資產的行為。當面對經濟政策不確定的增加時，資金避難所 - 如黃金－會被預期有回報及波動性的上升。但傳統投機資產則其波動性會增加及其回報會減少。本研究使用簡單線性迴歸及分位數迴歸模型，根據從2010年7月19曰至2019年4月11日期間每天的數據樣本，來分析經濟政策不確定對比特幣和黃金的回報及波動性所產生的影響。 研究結果 - 像黃金一樣，在較不明朗的時期，比特幣的回報和波動會增加，這顯示比特幣不單是一個交易工具，它也表現投資資產的特性，特別是資金避難所的特性。這研究結果為投資者提供有用的資訊，讓他們在經濟不明朗時考慮以比特幣作為保障存款的工具，及以比特幣作為使其投資組合更多元化的工具。 研究的原創性／價值 - 本研究旨在探索比特幣是一簡單的投機資產、抑或是一資金避難所，這補足及擴展了目前的研究。本研究最重要的貢獻、在於顯示了比特幣不單純是一種投機資產，它的行為實像資金避難所一樣。