The Cryptocurrency Uncertainty Index

Abstract

We develop and make available a new Cryptocurrency Uncertainty Index (UCRY) based on news coverage. Our UCRY Index captures two types of the uncertainty: cryptocurrency price uncertainty (UCRY Price) and cryptocurrency policy uncertainty (UCRY Policy). We show that the constructed index has distinct movements around major events in cryptocurrency space. We suggest that this index captures uncertainty beyond Bitcoin, and can be used for academic, policy, and practice-driven research.

Keywords: Cryprocurrencies, policy and price uncertainty,uncertainty index, Cryptocurrency Uncertainty Index,

JEL Classification: C43, C54, D80