Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/314195 
Year of Publication: 
2022
Citation: 
[Journal:] Journal of Applied Economics [ISSN:] 1667-6726 [Volume:] 25 [Issue:] 1 [Year:] 2022 [Pages:] 983-996
Publisher: 
Taylor & Francis, Abingdon
Abstract: 
This article aims to test a causal nexus between bitcoin market and economic policy uncertainty. We use the continuous wavelet analysis to investigate lead-lag relationship between bitcoin market and economic policy uncertainty in different time-frequency domains. Our findings show the negative relationship between bitcoin returns and economic policy uncertainty around the period of bitcoin's currency recognition and COVIC-19 pandemic crisis both daily and monthly time series test. Furthermore, we find that the causality relationship between bitcoin and economic policy uncertainty is relatively indistinct around the period of bitcoin's currency recognition, while bitcoin returns are leading economic policy uncertainty changes during COVID-19 pandemic crisis, indicating the economic policy uncertainty fluctuation trend can refer to the fluctuation of bitcoin, bitcoin can be viewed as a leading indicator, but it could not be employed as a safe-haven asset hedge against uncertainty during the period of COVID-19 pandemic.
Subjects: 
Bitcoin
continuous wavelet analysis
economic policy uncertainty
lead-lag relationship
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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