【研究發展處訊】

經濟學系顏廣杰助理教授、鄭輝培助理教授發表最新期刊論文

The relationship between the economic policy uncertainty and the cryptocurrency market

作者：Hui-Pei Cheng(鄭輝培) and Kuang-Chieh Yen(顏廣杰)

Finance Research Letters (SSCI)

卷期數：35

出版日期：July 2020

摘要：

In this paper, we investigate whether the economic policy uncertainty (EPU) index provided by Baker et al. (2016) can predict cryptocurrency returns. We show that the EPU index of China can predict the Bitcoin monthly returns while that of U.S. or other Asian countries has no predictive power. Furthermore, the China EPU index has no predictive power for the other main cryptocurrencies. Moreover, China's ban on crypto-trading affects the returns of Bitcoin only among the main cryptocurrencies.

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