Navigating Cryptocurrency Policy Uncertainty

Abstract

This paper examines the dynamic interplay between cryptocurrency policy uncertainty and fluctuations in a wide range of financial assets, including global equity markets, green equities and bonds, as well as commodities. In the quest for a hedge and safe haven asset, we find that developed equity markets, green equities and commodity markets are promising candidates to provide protection against policy uncertainty in the cryptocurrency sector. Our findings also provide useful guidance by identifying the performance of hedging and safe haven assets across various market states.

Keywords: Hedge, Safe haven, Cryptocurrency market, Policy uncertainty, Quantile on quantile