Journal
FINANCE RESEARCH LETTERS
Volume 45, Issue -, Pages -Publisher
ACADEMIC PRESS INC ELSEVIER SCIENCE
DOI: 10.1016/j.frl.2021.102147
Keywords
Cryprocurrencies; Policy and price uncertainty; Uncertainty index; Cryptocurrency uncertainty index
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The Cryptocurrency Uncertainty Index (UCRY) has been developed based on news coverage, capturing uncertainty in cryptocurrency price and policy. The index exhibits distinct movements around major events in the cryptocurrency space, and can be used for academic, policy, and practice-driven research beyond Bitcoin.
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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