Does uncertainty predict cryptocurrency returns? A copula-based approach

Ur Koumba, Calvin Mudzingiri, Jules Mba

Research output: Contribution to journalArticlepeer-review

21 Citations (Scopus)

Abstract

This study is confined in analysing how the economic policy uncertainty (EPU) effects affect exchange rates on cryptocurrency assets in times of financial turbulence characterized by low confidence in the financial stock markets, and tranquil periods where the financial stock markets behave smoothly. Our research employs the D-Vine pair-copula method on daily selected cryptocurrency (Bitcoin, Ethereum and Ripple) prices within the period of the 10 August 2016 to the 23 February 2018. Our findings document the presence of the dependence between the US EPU and cryptocurrencies and indicate a significant correlation with Ethereum which exhibits a much better return.

Original languageEnglish
Pages (from-to)67-88
Number of pages22
JournalMacroeconomics and Finance in Emerging Market Economies
Volume13
Issue number1
DOIs
Publication statusPublished - 2 Jan 2020

Keywords

  • Cryptocurrency
  • copula
  • dependence structure
  • policy uncertainty

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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