{"title":"Cryptocurrencies, stocks, and economic policy uncertainty: A FAVAR analysis","authors":"Andrea Civelli, Laura E. Jackson","doi":"10.1016/j.najef.2025.102405","DOIUrl":null,"url":null,"abstract":"<div><div>We study the interactions between cryptocurrencies, stocks, and U.S. economic policy uncertainty (EPU) using a Factor-Augmented Vector Autoregressive framework, in which return comovements within each asset market are modeled by a single common factor. We document a remarkable heterogeneity across cryptocurrencies, with market fragmentation by functional characteristics of the projects. Through structural impulse-response analysis, we find that: (1) Stock returns positively respond to crypto shocks, but not vice versa; (2) Cryptocurrencies can be used to hedge against U.S. EPU, but display safe-haven characteristics against Chinese EPU. We interpret these results in light of recent crypto investment and pricing models.</div></div>","PeriodicalId":47831,"journal":{"name":"North American Journal of Economics and Finance","volume":"78 ","pages":"Article 102405"},"PeriodicalIF":3.8000,"publicationDate":"2025-03-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"North American Journal of Economics and Finance","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1062940825000452","RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0
Abstract
We study the interactions between cryptocurrencies, stocks, and U.S. economic policy uncertainty (EPU) using a Factor-Augmented Vector Autoregressive framework, in which return comovements within each asset market are modeled by a single common factor. We document a remarkable heterogeneity across cryptocurrencies, with market fragmentation by functional characteristics of the projects. Through structural impulse-response analysis, we find that: (1) Stock returns positively respond to crypto shocks, but not vice versa; (2) Cryptocurrencies can be used to hedge against U.S. EPU, but display safe-haven characteristics against Chinese EPU. We interpret these results in light of recent crypto investment and pricing models.
期刊介绍：
The focus of the North-American Journal of Economics and Finance is on the economics of integration of goods, services, financial markets, at both regional and global levels with the role of economic policy in that process playing an important role. Both theoretical and empirical papers are welcome. Empirical and policy-related papers that rely on data and the experiences of countries outside North America are also welcome. Papers should offer concrete lessons about the ongoing process of globalization, or policy implications about how governments, domestic or international institutions, can improve the coordination of their activities. Empirical analysis should be capable of replication. Authors of accepted papers will be encouraged to supply data and computer programs.
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