Akademik Veri Yönetim Sistemi
Estudios de Economía, cilt.52, sa.1, ss.27-58, 2025 (SSCI)
This paper explores the impact of uncertainties and risks on the returns of cryptocurrencies by considering the two dimensions of uncertainty sourcing from economic policy uncertainty and geopolitical risk. Therefore, we ana-lyze whether there is a causality from the global economic policy uncertainty (GEPU) and geopolitical risk (GPR) to the cryptocurrency returns in the pe-riod from 2015:01 through 2023:05. In our analysis, we use the GEPU and GPR indexes as independent variables and the historical values of Bitcoin, Ethereum, Litecoin, Ripple, Monero, and Dash as dependent variables. We em-ploy the Fourier augmented causality test considering the original series, and also the positive and negative components of the series. Our findings reveal that the GPR has predictive power for all cryptocurrencies while GEPU has not predictive power for only Bitcoin. Furthermore, we find evidence of the causality nexus that runs from negative shocks of GEPU to the negative shocks of Litecoin and Ripple, and from the negative shocks of GPR to the negative shocks of Litecoin and Monero indicating when there are significant decreases at the GEPU, these values can be used to predict the decreases of Litecoin and Ripple. Similarly, we can also imply it for the causality relationship from GPR to Litecoin and Monero. When we consider there might be a causal relation-ship not only between shocks of the same type but also between different types of shocks we find that there is unidirectional causality from negative shocks of