新冠肺炎大流行、经济政策的不确定性和加密货币的对冲作用:全球视角

IF 9 1区 经济学 Q1 BUSINESS, FINANCE China Finance Review International Pub Date : 2023-05-29 DOI:10.1108/cfri-06-2022-0108
Muhammad Aftab, I. Haq, Mohamed Baity
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引用次数: 1

摘要

目的新冠肺炎大流行导致了全球经济政策的不确定性,这增加了研究缓解不确定性的方法的必要性。这项研究旨在考察加密货币作为对冲和避风港的潜力,以应对经济政策的不确定性。设计/方法论/方法本研究调查了五种主要加密货币在国家层面和集团层面经济政策不确定性指数方面的行为,通过Baker等人开发的基于文本的方法进行测量。(《经济学季刊》,20161311593-1636)。该研究涵盖了2013年7月至2020年9月的一系列新兴和发达经济体。该研究采用了Narayan等人的方法。(《经济建模》,2016,53388–397),以研究加密货币的对冲和避险特性。发现这项研究发现,除了一些例外,顶级加密货币对经济政策的不确定性起着对冲作用。此外,有证据支持加密货币可以在新冠肺炎大流行期间作为避风港的观点。因此,在不确定时期,投资者可能会从使用加密货币作为风险管理途径中受益。独创性/价值这项研究通过以一种新的方式测试加密货币的对冲和避险特性,并使用最近的创新方法分析其超前和滞后行为,为现有文献做出了贡献。此外,它还考察了广泛的新兴和发达市场,深入了解了使用加密货币作为风险缓解途径的潜力。
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The COVID-19 pandemic, economic policy uncertainty and the hedging role of cryptocurrencies: a global perspective
PurposeThe COVID-19 pandemic has led to global economic policy uncertainty, which has increased the need to investigate ways to mitigate the uncertainty. This study aims to examine the potential of cryptocurrencies as a hedge and safe haven avenue against economic policy uncertainty.Design/methodology/approachThis study investigates the behavior of the five leading cryptocurrencies in relation to country-level and group-level economic policy uncertainty indices, as measured by the text-based method developed by Baker et al. (The Quarterly Journal of Economics, 2016, 131, 1593–1636). The research covers a broad range of emerging and developed economies from July 2013 to September 2020. The study employs the approach of Narayan et al. (Economic Modelling, 2016, 53, 388–397) to examine the hedging and safe-haven properties of cryptocurrencies.FindingsThis study finds that the top cryptocurrencies play a hedging role against economic policy uncertainty, with some exceptions. Additionally, there is evidence to support the idea that cryptocurrencies can serve as a safe haven during the COVID-19 pandemic. As a result, investors may benefit from using cryptocurrencies as a risk-management avenue during times of uncertainty.Originality/valueThis research contributes to the existing literature by testing the cryptocurrencies' hedging and safe haven properties in a new way, by analyzing their lead and lag behaviors using a recent and innovative approach. Additionally, it examines a wide range of emerging and advanced markets, providing insight into the potential of using cryptocurrencies as a risk mitigation avenue.
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来源期刊
CiteScore
12.40
自引率
1.20%
发文量
112
期刊介绍: China Finance Review International publishes original and high-quality theoretical and empirical articles focusing on financial and economic issues arising from China's reform, opening-up, economic development, and system transformation. The journal serves as a platform for exchange between Chinese finance scholars and international financial economists, covering a wide range of topics including monetary policy, banking, international trade and finance, corporate finance, asset pricing, market microstructure, corporate governance, incentive studies, fiscal policy, public management, and state-owned enterprise reform.
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