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Does economic policy uncertainty predict the Bitcoin returns? An empirical investigation

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Demir, Ender, Gozgor, Giray, Lau, Chi Keung Marco, Vigne, Samuel A.·2018·Finance Research Letters
DOI 10.1016/j.frl.2018.01.005
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Abstract

This paper analyzes the prediction power of the economic policy uncertainty (EPU) index on the daily Bitcoin returns. Using the Bayesian Graphical Structural Vector Autoregressive model as well as the Ordinary Least Squares and the Quantile-on-Quantile Regression estimations, the paper finds that the EPU has a predictive power on Bitcoin returns. Fundamentally, Bitcoin returns are negatively associated with the EPU. However, the effect is positive and significant at both lower and higher quantiles of Bitcoin returns and the EPU. In the light of these findings, the paper concludes that Bitcoin can serve as a hedging tool against uncertainty.

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Research works printed but not linked: 14

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Metadata

Authors
Demir, E., Gozgor, G., Lau, C. K. M., & Vigne, S. A.
Venue
Finance Research Letters
Publisher
Elsevier BV
Published
2018-09
Volume
26
Pages
145-149
ISSN
1544-6123 (ISSN-L)
DOI
10.1016/j.frl.2018.01.005
OpenAlex
W2783933003
Cited by
693
References
1
FWCI
105.33
Type
journal article
Language
en
Open access
green
Licence

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CoChat. (2026). Citation check: Does economic policy uncertainty predict the Bitcoin returns? An empirical investigation. https://app.cochat.ai/papers/10.1016/j.frl.2018.01.005
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Demir, E., Gozgor, G., Lau, C. K. M., & Vigne, S. A. (2018). Does economic policy uncertainty predict the Bitcoin returns? An empirical investigation. Finance Research Letters. https://doi.org/10.1016/j.frl.2018.01.005

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