Cryptocurrency Dependency of Realized Variance and Economic Policy Uncertainty
學年 114
學期 2
出版（發表）日期 2026-02-03
作品名稱 Cryptocurrency Dependency of Realized Variance and Economic Policy Uncertainty
作品名稱（其他語言）
著者 Ta-Cheng Chang; Wei-Ying Nie; Hsuan-Ling Chang; Kuang-Chieh Yen
單位
出版者
著錄名稱、卷期、頁數 Applied Economics Letters
摘要 We examine how economic policy uncertainty (EPU) influences realized variance dependency and tail-risk synchronization across major cryptocurrencies. Using 5-min high-frequency returns to construct realized variance and signed jump variance measures, we document that global and Western EPU (the US, UK, France) significantly strengthen both variance dependency (VD) and signed jump variance dependency (SJVD) among the top 15 cryptocurrencies, whereas Asian EPUs exhibit weaker and less consistent effects. The sensitivity of SJVD is particularly pronounced, reflecting the asymmetric transmission of tail risk during uncertainty shocks. These findings remain robust after controlling for Bitcoin’s realized volatility and hold in post-COVID subsample analysis. Our results suggest that cryptocurrency markets exhibit greater systemic interconnectedness and heightened tail-risk co-movements during periods of elevated policy uncertainty, with important implications for risk management and financial stability monitoring.
關鍵字 Cryptocurrency; variance dependency; economic policy uncertainty; signed jump variance; Bitcoin
語言 en_US
ISSN 1466-4291
期刊性質 國外
收錄於 SSCI
產學合作
通訊作者
審稿制度 是
國別 GBR
公開徵稿
出版型式 ,電子版
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機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/128583 )