Abstract
This study employs two mixed-frequency volatility models to examine the impact of climate policy uncertainty on cryptocurrency price volatility. The empirical findings reveal that climate policy uncertainty has a significant positive impact on cryptocurrency price volatility and that this effect is mainly driven by extreme climate policy shocks. That is, abrupt and substantial shifts in climate policy lead to increased volatility in cryptocurrency prices. Moreover, different cryptocurrencies exhibit different responses to climate policy uncertainty. In addition, the predictive performance of the model that accounts for extreme shocks to climate policy uncertainty outperforms the basic GARCH-MIDAS-CPU model for all three cryptocurrencies.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
