TY - JOUR
T1 - Bitcoin, gold, and the VIX
T2 - short- and long-term effects of economic policy uncertainty
AU - Hernandez, Jose Arreola
AU - Hasan, Mohammad Zahid
AU - McIver, Ron P.
N1 - Publisher Copyright:
© 2022 Informa UK Limited, trading as Taylor & Francis Group.
PY - 2023
Y1 - 2023
N2 - We investigate short- and long-term effects of U.S. economic policy uncertainty (EPU) on bitcoin, gold, and the implied US stock market volatility (VIX). We apply an autoregressive distributed lag model (ARDL) to monthly data. Our results suggest EPU significantly negatively (positively) impacts bitcoin over short (long) horizons. In contrast to the extant literature we find the magnitude of the effect of EPU on bitcoin returns weakens over longer horizons. Our empirical results provide a cautionary note for holders of asset portfolios that include bitcoin in their mix as a hedge against uncertainty.
AB - We investigate short- and long-term effects of U.S. economic policy uncertainty (EPU) on bitcoin, gold, and the implied US stock market volatility (VIX). We apply an autoregressive distributed lag model (ARDL) to monthly data. Our results suggest EPU significantly negatively (positively) impacts bitcoin over short (long) horizons. In contrast to the extant literature we find the magnitude of the effect of EPU on bitcoin returns weakens over longer horizons. Our empirical results provide a cautionary note for holders of asset portfolios that include bitcoin in their mix as a hedge against uncertainty.
KW - ARDL method
KW - Bitcoin
KW - EPU
KW - gold
KW - VIX
UR - http://www.scopus.com/inward/record.url?scp=85122542566&partnerID=8YFLogxK
UR - https://www.tandfonline.com/doi/epdf/10.1080/13504851.2021.2018125?needAccess=true
U2 - 10.1080/13504851.2021.2018125
DO - 10.1080/13504851.2021.2018125
M3 - Article
AN - SCOPUS:85122542566
SN - 1350-4851
VL - 30
SP - 761
EP - 765
JO - Applied Economics Letters
JF - Applied Economics Letters
IS - 6
ER -