How does economic policy uncertainty connect with the dynamic spillovers between precious metals and bitcoin markets?

In this paper, we examine the role of United States Economic Policy Uncertainty (US EPU) on the connectedness between bitcoin and precious metals using both dynamic spillover and nonparametric causality-in-quantiles approaches. First, using the time varying parameter vector autoregressions spillover...

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Bibliographic Details
Published in:Resources policy 2021-08, Vol.72, p.102077, Article 102077
Main Authors: Fasanya, Ismail O., Oliyide, Johnson A., Adekoya, Oluwasegun B., Agbatogun, Taofeek
Format: Article
Language:English
Subjects:
Bitcoin
Causality
Causality-in-quantiles
Connectedness
Digital currencies
Economic policy
Economic policy uncertainty
Economics
Investors
Markets
Metals
Noble metals
Nonlinearity
Precious metals
Quantiles
Spillover effect
Spillovers
Uncertainty
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Summary:In this paper, we examine the role of United States Economic Policy Uncertainty (US EPU) on the connectedness between bitcoin and precious metals using both dynamic spillover and nonparametric causality-in-quantiles approaches. First, using the time varying parameter vector autoregressions spillover test, we found that there is strong connectedness between the Bitcoin and precious metals markets. Second, BDS test shows that nonlinearity is a very crucial factor to be put into consideration when examining the causal effect of economic policy uncertainty on the interactions between Bitcoin and precious metals markets. Third, the non-parametric causality-in-quantile test confirms that the connectedness between the markets and economic policy uncertainty is stronger mostly around the median and higher quantiles. Thus, the connection between bitcoin and precious metals might not act as a hedge or safe haven against economic policy uncertainties especially around these periods. Our findings have pertinent policy implications for investors and markets analysts. •We examine the connection between U.S. EPU and bitcoin-precious metals spillovers.•We employed both TVP-VAR and Nonparametric Causality-in-Quantiles Approaches.•There is evidence of strong connection between bitcoin and precious metals markets.•Interactions between bitcoin and precious metals with EPU behave in a non-linear fashion.•The markets and EPU connectedness is mostly around the median and higher quantiles.
ISSN:0301-4207
1873-7641
DOI:10.1016/j.resourpol.2021.102077