This study investigates the relationship between economic policy uncertainty (EPU) and cryptocurrencies (Bitcoin, Ethereum, Tether) using monthly data from January 2021 to April 2023. Quantile regression and Granger causality analyses reveal a short-term hedging potential for Bitcoin and Ethereum against EPU, particularly in the US market. However, this hedging effect diminishes in the long term. Tether shows a positive long-term association with EPU. The study suggests a need for a collaborative framework among stakeholders to mitigate cryptocurrency market volatility.

Chengying He, Yong Li, Tianqi Wang, Salman Ali Shah