The cryptocurrency uncertainty index
We have developed and made available a new Cryptocurrency Uncertainty Index (UCRY) based on news coverage. Our UCRY Index captures two types of uncertainty: that of the price of cryptocurrency (UCRY Price) and uncertainty of cryptocurrency policy (UCRY Policy). We show that the constructed index exh...
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| Định dạng: | Journal Article |
| Ngôn ngữ: | English |
| Thông tin xuất bản: |
Elsevier Ltd
2021
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| Truy cập trực tuyến: | http://digital.lib.ueh.edu.vn/handle/UEH/62013 https://doi.org/10.1016/j.frl.2021.102147 |
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| Tóm tắt: | We have developed and made available a new Cryptocurrency Uncertainty Index (UCRY) based on news coverage. Our UCRY Index captures two types of uncertainty: that of the price of cryptocurrency (UCRY Price) and uncertainty of cryptocurrency policy (UCRY Policy). We show that the constructed index exhibits 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. |
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