Global Economic Policy Uncertainty and Ethereum Price—A Time-Series Analysis from 2015 to 2022

Abstract

This research paper explores the relationship between the global economic policy uncertainty index (GEPU) and Ethereum price.By employing the Hodrick-Prescott Filter Decomposition, the price of Ethereum is decomposed into a trend component, which reflects the increasingly wide usage, and the cyclical component, which shows its character as a safe haven asset and a speculative financial asset.By examining the relationship between the GEPU and the cyclical component of Ethereum, I find that GEPU Granger causes cyclical Ethereum, and they have a cointegration relationship.Their error correction models also demonstrate that cyclical Ethereum responds in the short-run to changes in GEPU and deviations from long-run equilibrium.The dynamics make the cyclical Ethereum converge towards their long-run equilibrium relationship.