B1881
Title: Do uncertainty indices affect cryptocurrency uncertainty: A lesson from turbulent times
Authors: Barbara Bedowska-Sojka - Poznan University of Economics (Poland) [presenting]
Joanna Gorka - Nicolaus Copernicus University (Poland)
Abstract: The aim is to examine the dependence between uncertainty indices and the uncertainty of cryptocurrencies. The focus is on volatility spillover effects among various indices proxying risk, namely geopolitical events, economic policy, commodity, stock and bond markets, and cryptocurrency uncertainty indices. Based on weekly data from April 2018 to April 2023, which cover several market upturns and downturns, it is found that the transmission from uncertainty indices to cryptocurrency uncertainties is rather weak on average, yet accelerates during turbulent periods such as the Covid-19 outbreak or the beginning of the Ukraine war. Overall, it is concluded that while cryptocurrency pricing is largely disconnected from economic risk, the ability of the asset class to serve as a 'safe haven' may be limited.
