Proceedings of the 2022 International Conference on mathematical statistics and economic analysis (MSEA 2022)

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Global Economic Policy Uncertainty and Ethereum Price—A Time-Series Analysis from 2015 to 2022

Authors
Mei Li1, 2, 3, *
1City University of New York, Department of Economics, 365 5th Ave New York, New York, NY, USA
2Energy Development Research Institute, CSG, China
3Production Scientific Research Base CSG, No.11 Kexiang Road, Science City, Guangzhou, China
*Corresponding author. Email: mli@gradcenter.cuny.edu
Corresponding Author
Mei Li
Available Online 29 December 2022.
DOI
10.2991/978-94-6463-042-8_15How to use a DOI?
Keywords
Ethereum; global economic uncertainty; cryptocurrency; Granger causality; cointegration; error correction
Abstract

This research paper explores the relationship between the global economic policy uncertainty index (GEPU) and Ethereum price. By employing the Hodrick-Prescott Filter Decomposition, the price of Ethereum is decomposed into a trend component, which reflects the increasingly wide usage, and the cyclical component, which shows its character as a safe haven asset and a speculative financial asset. By examining the relationship between the GEPU and the cyclical component of Ethereum, I find that GEPU Granger causes cyclical Ethereum, and they have a cointegration relationship. Their error correction models also demonstrate that cyclical Ethereum responds in the short-run to changes in GEPU and deviations from long-run equilibrium. The dynamics make the cyclical Ethereum converge towards their long-run equilibrium relationship.

Copyright
© 2023 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the 2022 International Conference on mathematical statistics and economic analysis (MSEA 2022)
Series
Advances in Computer Science Research
Publication Date
29 December 2022
ISBN
978-94-6463-042-8
ISSN
2352-538X
DOI
10.2991/978-94-6463-042-8_15How to use a DOI?
Copyright
© 2023 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Mei Li
PY  - 2022
DA  - 2022/12/29
TI  - Global Economic Policy Uncertainty and Ethereum Price—A Time-Series Analysis from 2015 to 2022
BT  - Proceedings of the 2022 International Conference on mathematical statistics and economic analysis (MSEA 2022)
PB  - Atlantis Press
SP  - 90
EP  - 94
SN  - 2352-538X
UR  - https://doi.org/10.2991/978-94-6463-042-8_15
DO  - 10.2991/978-94-6463-042-8_15
ID  - Li2022
ER  -