Does Bitcoin Hedge Categorical Economic Uncertainty? A Quantile Analysis
This paper examines the hedge and safe-haven abilities of Bitcoin against U.S. aggregate and categorical economic policy uncertainty (EPU) via the application of quantile regression model augmented with a dummy and some control variables. Using monthly data from September 2011 to December 2019, empi...
| Main Authors: | , , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
SAGE Publishing
2021-05-01
|
| Series: | SAGE Open |
| Online Access: | https://doi.org/10.1177/21582440211016377 |
| _version_ | 1818670992284712960 |
|---|---|
| author | Khaled Mokni Elie Bouri Ahdi Noomen Ajmi Xuan Vinh Vo |
| author_facet | Khaled Mokni Elie Bouri Ahdi Noomen Ajmi Xuan Vinh Vo |
| author_sort | Khaled Mokni |
| collection | DOAJ |
| description | This paper examines the hedge and safe-haven abilities of Bitcoin against U.S. aggregate and categorical economic policy uncertainty (EPU) via the application of quantile regression model augmented with a dummy and some control variables. Using monthly data from September 2011 to December 2019, empirical results indicate that Bitcoin does not act as a strong hedge against the aggregate U.S. EPU. However, it acts as a strong safe-haven for this aggregate measure of uncertainty when the Bitcoin market is bearish. Looking deeper into the disaggregated level of the U.S. EPU data, the analyses involving categorical EPU data indicate the ability of Bitcoin to act as a strong hedge and safe-haven against specific uncertainties related to fiscal policy, taxes, national security, and trade policy. |
| first_indexed | 2024-12-17T07:16:55Z |
| format | Article |
| id | doaj.art-230e90cea0ba45748a1106196171c708 |
| institution | Directory Open Access Journal |
| issn | 2158-2440 |
| language | English |
| last_indexed | 2024-12-17T07:16:55Z |
| publishDate | 2021-05-01 |
| publisher | SAGE Publishing |
| record_format | Article |
| series | SAGE Open |
| spelling | doaj.art-230e90cea0ba45748a1106196171c7082022-12-21T21:58:51ZengSAGE PublishingSAGE Open2158-24402021-05-011110.1177/21582440211016377Does Bitcoin Hedge Categorical Economic Uncertainty? A Quantile AnalysisKhaled Mokni0Elie Bouri1Ahdi Noomen Ajmi2Xuan Vinh Vo3Gabès University, TunisiaUniversity of Economics Ho Chi Minh City, VietnamManouba University, TunisiaUniversity of Economics Ho Chi Minh City, VietnamThis paper examines the hedge and safe-haven abilities of Bitcoin against U.S. aggregate and categorical economic policy uncertainty (EPU) via the application of quantile regression model augmented with a dummy and some control variables. Using monthly data from September 2011 to December 2019, empirical results indicate that Bitcoin does not act as a strong hedge against the aggregate U.S. EPU. However, it acts as a strong safe-haven for this aggregate measure of uncertainty when the Bitcoin market is bearish. Looking deeper into the disaggregated level of the U.S. EPU data, the analyses involving categorical EPU data indicate the ability of Bitcoin to act as a strong hedge and safe-haven against specific uncertainties related to fiscal policy, taxes, national security, and trade policy.https://doi.org/10.1177/21582440211016377 |
| spellingShingle | Khaled Mokni Elie Bouri Ahdi Noomen Ajmi Xuan Vinh Vo Does Bitcoin Hedge Categorical Economic Uncertainty? A Quantile Analysis SAGE Open |
| title | Does Bitcoin Hedge Categorical Economic Uncertainty? A Quantile Analysis |
| title_full | Does Bitcoin Hedge Categorical Economic Uncertainty? A Quantile Analysis |
| title_fullStr | Does Bitcoin Hedge Categorical Economic Uncertainty? A Quantile Analysis |
| title_full_unstemmed | Does Bitcoin Hedge Categorical Economic Uncertainty? A Quantile Analysis |
| title_short | Does Bitcoin Hedge Categorical Economic Uncertainty? A Quantile Analysis |
| title_sort | does bitcoin hedge categorical economic uncertainty a quantile analysis |
| url | https://doi.org/10.1177/21582440211016377 |
| work_keys_str_mv | AT khaledmokni doesbitcoinhedgecategoricaleconomicuncertaintyaquantileanalysis AT eliebouri doesbitcoinhedgecategoricaleconomicuncertaintyaquantileanalysis AT ahdinoomenajmi doesbitcoinhedgecategoricaleconomicuncertaintyaquantileanalysis AT xuanvinhvo doesbitcoinhedgecategoricaleconomicuncertaintyaquantileanalysis |