Does bitcoin hedge against the economic policy uncertainty: based on the continuous wavelet analysis

Figures & data

Table 1. Descriptive statistic for $\mathit{B}{R}_t$, $\mathrm{\Delta }\mathit{EP}{U}_t$ observations.

	Variable	Mean(%)	Max	Min	S.D.	Skewness	Kurtosis	ADF	No.
Daily	$\mathit{CBR}$	.1111	.1466	−.2883	.0202	−1.3743	25.5550	−61.51***	3469
	$\mathit{WBR}$	.1115	.1263	−.2155	.0173	−1.0004	17.9189	−47.92***	3469
	$\mathrm{\Delta }$ EPU	−1.6613	525.36	−381.67	62.29	.1837	9.4336	−91.95***	3469
Monthly	$\mathit{CBR}$	3.4008	.7404	−.2007	.1237	1.8314	11.7521	−8.41***	114
	$\mathit{WBR}$	3.4169	.7521	−.1920	.1244	1.8816	12.0339	−8.61***	114
	$\mathrm{\Delta }$ EPU	−45.82	122.63	−119.20	33.55	−.0205	5.7626	−14.97***	114

*** Denotes the rejection of the null hypothesis at the 1% significance level.

Figure 1. (a.1-c.1) The volatility of daily bitcoin return (daily $\mathit{CBR}\mathrm{\setminus WBR}$) and $\mathrm{\Delta }\mathit{EPU}$, (d.1-f.1) The volatility of monthly $\mathit{CBR}\mathrm{\setminus WBR}$ and $\mathrm{\Delta }\mathit{EPU}$, respectively. (a.2-f.2) The wavelet power spectrum of daily and monthly $\mathit{CBR}\mathrm{\setminus WBR}$, $\mathrm{\Delta }\mathit{EPU}$ respectively. The white line refers to the COI. The color code of power varies from blue (low power) to yellow (high power).

Figure 2. Wavelet coherency of daily CBR-$\mathrm{\Delta }\mathit{EPU}$ (a), WBR-$\mathrm{\Delta }\mathit{EPU}$ (b), and monthly CBR-$\mathrm{\Delta }\mathit{EPU}$ (c), WBR-$\mathrm{\Delta }\mathit{EPU}$ (d) respectively. The arrows contour denotes the 5% significance level. The color code of power varies from blue (low power) to yellow (high power).

Figure 3. Wavelet coherency of monthly CBR-USA $\mathrm{\Delta }\mathit{EPU}$ (a), WBR-USA $\mathrm{\Delta }\mathit{EPU}$ (b), respectively. The arrows contour denotes the 5% significance level. The color code of power varies from blue (low power) to yellow (high power).

Figure 4. Wavelet coherency of monthly CBR-China $\mathrm{\Delta }\mathit{EPU}$ (a), WBR-USA $\mathrm{\Delta }\mathit{EPU}$ (b), respectively. The arrows contour denotes the 5% significance level. The color code of power varies from blue (low power) to yellow (high power).