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.
The cryptocurrency uncertainty index / Lucey, B. M.; Vigne, Samuel Alexandre; Yarovaya, L.; Wang, Y.. - In: FINANCE RESEARCH LETTERS. - ISSN 1544-6123. - 45:(2022), pp. 1-14. [10.1016/j.frl.2021.102147]
The cryptocurrency uncertainty index
Vigne, S. A.;
2022
Abstract
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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