Bitcoin, gold, and the VIX: short- and long-term effects of economic policy uncertainty

Jose Arreola Hernandez; Mohammad Zahid Hasan; Ron P. McIver

doi:10.1080/13504851.2021.2018125

Bitcoin, gold, and the VIX: short- and long-term effects of economic policy uncertainty

Jose Arreola Hernandez, Mohammad Zahid Hasan, Ron P. McIver

Research output: Contribution to journal › Article › peer-review

9 Citations (Scopus)

Abstract

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.

Original language	English
Pages (from-to)	761-765
Number of pages	5
Journal	Applied Economics Letters
Volume	30
Issue number	6
DOIs	https://doi.org/10.1080/13504851.2021.2018125
Publication status	Published - 2023
Externally published	Yes

Bibliographical note

Publisher Copyright:
© 2022 Informa UK Limited, trading as Taylor & Francis Group.

Keywords

ARDL method
Bitcoin
EPU
gold
VIX

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10.1080/13504851.2021.2018125

Cite this

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title = "Bitcoin, gold, and the VIX: short- and long-term effects of economic policy uncertainty",

abstract = "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.",

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T2 - short- and long-term effects of economic policy uncertainty

AU - Hernandez, Jose Arreola

AU - Hasan, Mohammad Zahid

AU - McIver, Ron P.

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.

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KW - EPU

KW - gold

KW - VIX

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JO - Applied Economics Letters

JF - Applied Economics Letters

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ER -

Bitcoin, gold, and the VIX: short- and long-term effects of economic policy uncertainty

Abstract

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Keywords

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