本研究欲研究在COVID-19疫情期間，政策的不確定性對於加密貨幣會產生什麼影響效果，以英國與美國作為研究對象。其中透過英國政策不確定性指標(UK_EPU)、美國政策不確定性指標(US_EPU)、全球政策不確定性指標(UCRY)來代表政策不確定性的衡量指標；比特幣和以太坊則作為加密貨幣的代表。針對這些變數執行單根檢定、共整合檢定、以及誤差修正模型試圖瞭解變數間的均衡關係。實證結果發現，在COVID-19期間加密貨幣的價格僅會受本身落後期數的影響，而在COVID-19發生之後則是不受任何變數的影響。表示加密貨幣的波動性與國家長期的政策指標之間並不存在顯著影響關係，即使COVID-19期間的政策具有高度不確定性，仍不會影響加密貨幣的表現。

This paper aims to discuss the impact of uncertainty policy on cryptocurrencies during the COVID-19 period in the United Kingdom and the United States. The measurement indicators representing uncertainty policy are the Economic Policy Uncertainty of UK(UK_EPU), Economic Policy Uncertainty of USA(US_EPU), and the Cryptocurrency Policy Uncertainty Index (UCRY). Bitcoin and Ethereum are chosen as representative cryptocurrencies. By conducting unit root tests, co-integration tests, vector autoregression model, and vector error correction model, this paper is seeking to understand the equilibrium connection with these variables.
After empirical research, the results present that during the occurrence of COVID-19, the price of cryptocurrencies is only influenced by its own lagged values. However, after the occurrence of COVID-19, the price of cryptocurrencies is not affected by any of the variables used in this research. This means that there is no significant relationship between the volatility of cryptocurrencies and long-term policy indicators of the sample countries. Even during the COVID-19 pandemic when characterized by high policy uncertainty, this uncertainty will still not affect the performance of cryptocurrencies.

Thesis Validation Letter i
摘要 ii
Abstract iii
Table of Contents iv
Table of Figures v
Table of Tables vi
Section 1 Introduction 1
1.1 Research background and motivation 1
1.2 Research purposes 3
1.3 Research framework 4
Section 2 Literature Review 5
2.1 Indicators of the Policy Uncertainty Measurement 5
2.2 The impact of uncertainty policy on cryptocurrencies 6
2.3 Time Series Model Analysis Methods 6
Section 3 Research methods 8
3.1 Data and research model 9
3.2 Unit root test 10
3.3 Co-integration test 12
3.4 Vector Autoregression model 14
3.5 Vector error correction model 14
Section 4 Empirical Research Results 16
4.1 Descriptive statistics 16
4.2 Result of Unit root test 18
4.3 Result of Co-integration test 23
4.4 Analysis result of VAR 32
4.5 Analysis result of VECM 33
Section 5 Conclusion and Suggestion 43
5.1 Conclusion 43
5.2 Suggestion 44
References 46

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