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Economic policy uncertainty and cryptocurrencies

Author

Listed:
  • Chiara Oldani

    (Università Degli Studi Della Tuscia)

  • Giovanni S. F. Bruno

    (Bocconi University)

  • Marcello Signorelli

    (University of Perugia)

Abstract

The paper focuses on the relationship between cryptocurrencies and economic policy uncertainty (EPU) shocks by adopting robust econometric techniques. Results on monthly data from 2016 to 2022 confirm that the volumes of cryptos are stationary, and the short- and long-run impacts of uncertainty shocks are significantly positive, and, in most cases, begin to show already in the first six months after the shock. When uncertainty significantly prevails, investors increase their demand for cryptos. The ARDL(12,11) specifications for Bitcoin show a significant increase in volumes of around 1% occurring over a year after a unit increase in economic policy indices. Conclusions from the findings are related to supervision, and monitoring of markets and financial stability.

Suggested Citation

  • Chiara Oldani & Giovanni S. F. Bruno & Marcello Signorelli, 2024. "Economic policy uncertainty and cryptocurrencies," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 14(3), pages 709-728, September.
    • Handle: RePEc:spr:eurase:v:14:y:2024:i:3:d:10.1007_s40822-024-00271-1
    DOI: 10.1007/s40822-024-00271-1
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    More about this item

    Keywords

    Autoregressive distributed lag model; Cryptocurrency; Economic policy uncertainty; Financial stability; Financial regulation;
    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
    • E6 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • O38 - Economic Development, Innovation, Technological Change, and Growth - - Innovation; Research and Development; Technological Change; Intellectual Property Rights - - - Government Policy

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