• We introduce a moment-based measure of Bitcoin fragility • Fragility captures the dominance of crash-driven over boom-driven tail risk. • Bitcoin fragility increases with economic policy uncertainty (EPU). • Bitcoin fragility decreases with equity market volatility (VIX). • These effects operate through jump intensities rather than jump probabilities. We propose a novel measure of Bitcoin fragility based on the asymmetric behavior of extreme returns within a parametric jump–diffusion framework. Fragility is defined as the relative dominance of crash-driven over boom-driven tail risk and admits a direct economic interpretation in terms of the existence of moments of gross and inverted returns. Using daily Bitcoin returns from 2013 to 2024 and rolling-window estimation, we document substantial time variation in fragility and examine its association with global uncertainty and volatility indicators. The empirical analysis is deliberately reduced-form and does not aim at causal identification. We find that economic policy uncertainty is positively associated with Bitcoin fragility, while equity market volatility is negatively associated. These relationships operate primarily through changes in jump intensities rather than jump probabilities, indicating that macro-financial uncertainty affects the severity of extreme outcomes more than their frequency. Overall, our results characterize Bitcoin as a fragile speculative asset whose downside tail dominance varies systematically with global financial conditions. This highlights a distinct dimension of tail risk, complementary to existing volatility- and dependence-based measures.
Buchwalter et al. (Fri,) studied this question.