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.

在本文中，我们使用动态溢出和非参数因果关系方法研究了美国经济政策不确定性（US EPU）在比特币与贵金属之间的联系上的作用。首先，使用时变参数向量自回归溢出测试，我们发现比特币与贵金属市场之间存在紧密的联系。其次，BDS测试表明，在检查经济政策不确定性对比特币与贵金属市场之间的相互作用的因果关系时，非线性是要考虑的非常关键的因素。第三，非参数因果关系检验证实，市场与经济政策不确定性之间的联系主要在中位数和较高分位数附近更强。因此，比特币和贵金属之间的联系可能不会成为经济政策不确定性的避险或避风港，尤其是在这些时期附近。我们的发现对投资者和市场分析师具有相关的政策含义。