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Applied Economics Letters Volume 30, 2023 - Issue 6
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Research Article

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

Jose Arreola Hernandeza Rennes School of Business, Rennes, FranceORCID Iconhttps://orcid.org/0000-0002-5158-6967
ORCID Icon,
Mohammad Zahid Hasanb School of Law and Business, University of Notre Dame, AustraliaCorrespondence[email protected]
&
Ron P. McIverc UniSA Business, University of South Australia, AustraliaORCID Iconhttps://orcid.org/0000-0001-8754-1560
ORCID Icon
Pages 761-765 | Published online: 31 Dec 2021
 
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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.

JEL CLASSIFICATION:

Disclosure statement

No potential conflict of interest was reported by the author(s).

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