Examining the co-movement between cryptocurrency uncertainty and central bank digital currency uncertainty

Thai Hong Le; Duc Anh Nguyen; Tu Thanh Vu

doi:10.46223/HCMCOUJS.econ.en.15.3.3400.2025

15(5)2025 (IN PRESS)

Examining the co-movement between cryptocurrency uncertainty and central bank digital currency uncertainty

Author - Affiliation:

Thai Hong Le - University of Economics and Business, Vietnam National University Hanoi, Hanoi , Vietnam

Duc Anh Nguyen - University of Economics and Business, Vietnam National University Hanoi, Hanoi , Vietnam

Tu Thanh Vu - University of Economics and Business, Vietnam National University Hanoi, Hanoi , Vietnam

Corresponding author: Thai Hong Le - thailh@vnu.edu.vn

DOI:10.46223/HCMCOUJS.econ.en.15.3.3400.2025

Submitted: 30-04-2024
Accepted: 04-09-2024
Published: 13-01-2025

Abstract

This paper aims to investigate the dynamic co-movement between the Cryptocurrency Uncertainty indices and the Central Bank Digital Currency Uncertainty indices. In doing so, we apply the biwavelet coherence framework using weekly data spanning over the period from January 13, 2017, to December 30, 2022. The empirical results reveal the significant co-movement between each of the Cryptocurrency Uncertainty Indices with the Central Bank Digital Currency Uncertainty Indices. Overall, our findings suggest that the Cryptocurrency Policy Uncertainty index is highly correlated with the Central Bank Digital Currency Uncertainty index in the medium and long-term, but with the Central Bank Digital Currency Attention index in the short term. Our findings thus indicate that the Cryptocurrency Policy Uncertainty index can be used to predict the Central Bank Digital Currency Uncertainty index. On another hand, the Cryptocurrency Environmental Attention index is shown to have correlation with the Central Bank Digital Currency Uncertainty indices historically in the long frequency.

JEL codes

C58; E58; G29

Keywords

biwavelet coherence; central bank digital currency uncertainty; cryptocurrency uncertainty

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DOI: https://doi.org/10.46223/HCMCOUJS.econ.en.15.3.3400.2025