Cryptocurrencies in an uncertain world: Comprehensive insights from a wide range of uncertainty indices
研究了2014年1月至2022年12月间经济政策不确定性对比特币市场的影响，发现六种不确定性指数与比特币价格呈负向关联，为投资者在不确定性下配置资产提供参考。
Abstract This study investigates the impacts of economic policy uncertainty on the Bitcoin market using the monthly data from January 2014 to December 2022. In so doing, six major uncertainty indices (Global Economic Policy Uncertainty, Equity Market Volatility, Twitter‐based Economic Uncertainty, Geopolitical risk index, The Cryptocurrency Policy Uncertainty Index, The Cryptocurrency Price Uncertainty Index), and in particular, two novel Cryptocurrency Uncertainty indexes as introduced by Lucey et al. (2022) are taken into account. Our findings uncover a negative connectedness between Bitcoin prices and the key selected uncertainty indices, suggesting that higher uncertainties result in lower Bitcoin fluctuation across time and frequency domains. Our results provide valuable information on constructing asset portfolios for investors who have investment strategies entailing Bitcoin since Bitcoin would be a diversifier under economic policy uncertainty shocks. Our results hold robust by using the alternative methodology.