【研究發展處訊】

經濟學系顏廣杰助理教授、鄭輝培助理教授發表最新期刊論文

Economic policy uncertainty and cryptocurrency volatility

作者：Kuang-Chieh Yen, Hui-Pei Cheng

Finance Research Letters (SSCI)

卷期數：38

文獻號碼：101428

出版日期：Jan. 2021

Abstract

We investigate the relationship between the economic policy uncertainty index (EPU) and cryptocurrency volatility. We find that a change in EPU of China predicts cryptocurrency volatility, but a change in the EPU of the U.S., Japan, or Korea has no such effect. Moreover, changes in the China EPU are negatively associated with Bitcoin and Litecoin future volatility, which may imply that Bitcoin and Litecoin are hedging tools against the EPU risk. However, changes in China EPU may not affect the cryptocurrency volatility after the Chinese government's regulation of crypto-trading.

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