The Relationship Between the Economic Policy Uncertainty and the Cryptocurrency Market – Finance Research Letters – article

The Relationship Between the Economic Policy Uncertainty and the Cryptocurrency Market

Hui-Pei Cheng, Kuang-Chieh Yen | Finance Research Letters

2019-10-12

In this paper, we investigate whether the economic policy uncertainty (EPU) index provided by Baker et al. (2016) can predict cryptocurrency returns. We show that the EPU index of China can predict the Bitcoin monthly returns while that of U.S. or other Asian countries has no predictive power. Furthermore, the China EPU index has no predictive power for the other main cryptocurrencies. Moreover, China’s ban on crypto-trading affects the returns of Bitcoin only among the main cryptocurrencies.

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