ABSTRACT

This paper deciphers the correlation of volatility between Bitcoin, stock and gold, in the context of uncertainty. The wavelet analysis results indicate that the selected assets are primarily positively correlated with each other, specifically in periods when the economic policy uncertainty (EPU) is high. Furthermore, the logit regression confirms that the EPU and categorial EPU indices have heterogeneous effects on the interdependence between Bitcoin, the S&P 500 and gold. Therefore, our findings provide insights for policy-makers to reduce the adverse impact of uncertainty on financial asset volatility.

中文翻译：

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不确定性如何影响金融资产之间的波动相关性？来自比特币、股票和黄金的证据

摘要

本文在不确定性的背景下破译了比特币、股票和黄金之间波动性的相关性。小波分析结果表明，所选资产之间主要呈正相关，特别是在经济政策不确定性（EPU）高的时期。此外，logit 回归证实 EPU 和类别 EPU 指数对比特币、标准普尔 500 指数和黄金之间的相互依存度具有异质性影响。因此，我们的研究结果为政策制定者减少不确定性对金融资产波动性的不利影响提供了见解。