经济政策不确定性与数字货币市场波动影响研究——基于比特币市场的实证分析

doi:10.12005/orms.2022.0167

运筹与管理 ›› 2022, Vol. 31 ›› Issue (5): 183-189.DOI: 10.12005/orms.2022.0167

经济政策不确定性与数字货币市场波动影响研究——基于比特币市场的实证分析

柏建成^1,2, 黄云飞¹, 高增安¹, 何田¹

1.西南交通大学经济管理学院,四川成都 610013;
2.盐城师范学院商学院,江苏盐城 224002

收稿日期:2020-01-10 出版日期:2022-05-25 发布日期:2022-07-20
作者简介:柏建成(1983-),男,山东淄博人,博士研究生,讲师,研究方向为金融科技、金融监管;黄云飞(1995-),男,四川攀枝花人,硕士研究生;研究方向:金融监管,反洗钱;高增安(1965-),男,四川天全人,教授、博士生导师,研究方向为金融监管、反洗钱;何田(1996-),女,四川绵阳人,硕士研究生,研究方向为数字金融、金融监管。
基金资助:
国家社会科学基金资助项目(16XGJ001);四川省科技厅科技计划项目(21RKX0638);江苏省高校哲学社会科学研究基金项目(2019SJA1730)

Research on the Impact of Economic Policy Uncertainty and Cryptocurrency Market volatility ——Empirical Analysis Based on GARCH-MIDAS Model

BAI Jian-cheng^1,2, HUANG Yun-fei¹, GAO Zeng-an¹, He Tian¹

1. School of Economics and Management, Southwest Jiaotong University, Chengdu 610031, China;
2. Business School of Yancheng Teachers University, Yancheng 224002, China

Received:2020-01-10 Online:2022-05-25 Published:2022-07-20

摘要/Abstract

摘要： 本文运用混频模型(GARCH-MIDAS)实证研究了全球和7个国家的经济政策不确定性指标(EPU)对比特币市场的波动率影响。样本内结果表明,全球和七个国家的EPU指数对未来比特币市场波动率有显著的影响,EPU在样本内能提升比特币波动率的预测效果,且美国和澳大利亚的EPU与比特币市场波动率呈正相关,其余EPU与之呈负相关。然后运用模型置信集合(MCS)样本外检验发现,美国经济政策不确定性指标相比其他EPU指标更能提高对比特币市场波动率的预测精度。进一步指出,了解全球以及七国经济政策不确定性对数字货币市场的影响,有助于监管机构和政策制定者判断数字货币市场的未来走向,从而防范数字货币市场引发的金融风险。

关键词: 数字货币, 市场波动, 经济政策不确定性, GARCH-MIDAS模型

Abstract: This article empirically studies the impact of the economic policy uncertainty index (EPU) on the volatility of the Bitcoin market globally and in seven countries specifically through the mixed frequency model (GARCH-MIDAS). The results in the sample show that the world and seven countries' EPU indexes have a significant impact on the future Bitcoin market volatility; EPU can improve the prediction effect of Bitcoin volatility in the sample; and there is a positive correlation between the US and Australian EPU and Bitcoin market volatility, and negative one for the rest. Then, based on the Model Confidence Set (MCS) out-of-sample test, it is found that, compared with other EPU indicators, the uncertainty indicator of US economic policy can improve the prediction accuracy of the Bitcoin market volatility. In addition, this study further points out that understanding the impact of global and seven countries' economic policy uncertainties on digital currency market contributes to supervision organizations and policy makers to judge the trend of digital currency market and prevent financial risks caused by cryptocurrency market.

Key words: cryptocurrency, market volatility, economic policy uncertainty, GARCH-MIDAS model

中图分类号:

F831.5

柏建成, 黄云飞, 高增安, 何田. 经济政策不确定性与数字货币市场波动影响研究——基于比特币市场的实证分析[J]. 运筹与管理, 2022, 31(5): 183-189.

BAI Jian-cheng, HUANG Yun-fei, GAO Zeng-an, He Tian. Research on the Impact of Economic Policy Uncertainty and Cryptocurrency Market volatility ——Empirical Analysis Based on GARCH-MIDAS Model[J]. Operations Research and Management Science, 2022, 31(5): 183-189.

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经济政策不确定性与数字货币市场波动影响研究——基于比特币市场的实证分析

Research on the Impact of Economic Policy Uncertainty and Cryptocurrency Market volatility ——Empirical Analysis Based on GARCH-MIDAS Model

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