Quantifying the hedge and safe-haven properties of bond markets for cryptocurrency indices

PurposeThis study quantified the hedge and safe haven features of bond markets for multiple cryptocurrency indices from June 2014 to April 2021 to highlight whether bond markets offer hedging facilities to uncertainty indices of cryptocurrencies.Design/methodology/approachThe authors employed the methodology of Baur and McDermott (2010) and AGDCC-GARCH model to measure the hedge and safe-haven characteristics of three bond markets (BBGT, SPGB and SKUK) for three uncertainty indexes of cryptocurrencies (UCRPR, UCRPO and ICEA).FindingsThe authors find that bond markets are neither hedge nor safe havens except for SKUK which is a safe haven investment for cryptocurrency indices and offers substantial diversification during the periods of economic fragility. In addition, the hedge effectiveness of SPGB outperforms other bonds during crisis periods and provides sufficient diversification potential for cryptocurrency indices.Practical implicationsThe findings are important for policymakers, regulatory bodies, financial firms and investors in assessing hedge and safe haven characteristics of bond markets against cryptocurrency indices.Originality/valueEmploying the novel methodology of AGDCC-GARCH with three different bond markets and three uncertainty indices of cryptocurrencies, the current study adds to the existing strand of literature in terms of quantifying hedge and safe-haven attributes of bond markets for cryptocurrency uncertainty indexes.

“Ubiquitous uncertainties”: spillovers across economic policy uncertainty and cryptocurrency uncertainty indices

PurposeThe purpose of this paper is to extend the literature on the spillovers across economic policy uncertainty (EPU) and cryptocurrency uncertainty indices.Design/methodology/approachThis paper uses cross-country economic policy uncertainty indices and the novel data measuring the cryptocurrency price uncertainties over the period 2013–2021 to construct a sample of 946 observations and applies the time-varying parameter vector autoregression (TVP-VAR) model to do an empirical study.FindingsThe findings suggest that there are cross-country spillovers of economic policy uncertainty. In addition, the total uncertainty spillover between economic policies and cryptocurrency peaked in 2015 before gradually decreasing in the following periods. Concomitantly, the cryptocurrency uncertainty has acted as the “receiver.” More importantly, the authors found the predictive power of economic policy uncertainty to predict the cryptocurrency uncertainty index. This paper’s results hold robust when using alternative measurement of cryptocurrency policy uncertainty.Originality/valueThis study is the first research that deeply investigates the association between two uncertainty indicators, namely economic policy uncertainty and the cryptocurrency uncertainty index. We provide fresh evidence about the dynamic connectedness between country-level economic policy uncertainty and the cryptocurrency index. Our work contributes a new channel driving the variants of uncertainties in the cryptocurrency market.

Determinants of the Fiscal Support of Governments in Response to the COVID-19 Pandemic

Fiscal support measures have different implications for public finances in the near term and beyond the COVID-19 pandemic. For this purpose, this paper examines the determinants of governments' fiscal support in response to the COVID-19 pandemic. The empirical analysis is based on the cross-sectional data estimations from 129 developed and developing countries. The estimation results indicate that a higher level of uncertainty related to COVID-19 (measured by the World Pandemic Uncertainty Indices) is positively related to fiscal support. Besides, countries with a higher total population and population over 65 years and older provide higher fiscal support. These results are valid when considering the developed countries separately. Policy implications for public finances during the COVID-19 pandemic are also discussed.

Analysis of Runoff According to Application of SWMM-LID Element Technology (II): Parameter Uncertainty Analysis

This study quantitatively analyzed the degree of uncertainty associated with runoff based on the sensitivity analysis of runoff parameters using Low Impact Development (LID) element technology of study (I). Uncertainty was analyzed for parameter uncertainty, uncertainty of runoff, and uncertainty about the degree of parameter and runoff. Parameter uncertainty indices showed lower uncertainty indices as a whole and uncertainty indices of peak runoff were higher than that of total runoff in runoff uncertainty. The reason for this is that the LID element technology itself is intended to store low-frequency small-scale rainfall, so that the uncertainty index of peak rainfall seems to be highly uncertain. As a result of the analysis of uncertainty degree associated with runoff, it was found that the uncertainty of storage depth of bio retention cell and rain garden was low, while the heaviness parameters of rain barrel had the highest uncertainty index. In future experiments and research, it is necessary to modify the parameter range suitable for Korea, which will be helpful for urban development, reduction of nonpoint source pollution, and designing of low frequency rainfall storage facilities.