近年來，加密貨幣與傳統金融市場日益連動，其在面對總體經濟衝擊時，究竟是發揮避險功能的「數位黃金」，抑或淪為承接投機熱錢的「高風險資產」，成為學術與實務界關注之焦點。本研究建構於 Liu， Tsyvinski， and Wu (2022) 之加密貨幣三因子模型 (市場 CMKT、規模 CSMB、動能 CMOM) 之上，並納入美國經濟政策不確定性 (EPU)、全球地緣政治風險 (GPR) 與恐慌指數 (VIX)，透過向量自迴歸 (VAR) 與普通最小平方法 (OLS)，深入探討總經不確定性對加密貨幣橫截面報酬之動態衝擊與狀態調節效應。 實證結果揭示了加密貨幣定價機制的強烈「狀態依賴性 (State- dependence) 」與因子異質性。第一，市場大盤 (CMKT) 面臨雙向拉扯，EPU 攀升能吸引資金流入發揮體制外避風港作用，而 VIX 上升則會引發流動性變現需求，暴露出其高風險資產本質。第二，規模因子 (CSMB) 呈顯著之非對稱反應，政策不明朗時，小型代幣的流動性風險溢酬擴大；但在極端恐慌 (高VIX) 引發傳統市場流動性緊縮預期時，資金將爆發顯著的「逃向品質 (Flight to Quality) 」拋售潮，導致規模策略發生崩潰。第三，動能因子 (CMOM) 則展現出高度的定價獨立性，其報酬軌跡主要由市場內生之行為財務學偏誤所驅 動，未受外部總經極端狀態之顯著干擾。 本研究釐清了傳統總經風險在加密貨幣橫截面上的傳導機制，研究成果不僅填補了數位資產狀態依賴定價之理論缺口，亦為機構投資人與量化交易者在面臨大環境劇變時，進行跨市場資產配置與動態風控提供了堅實的實證依據。;This study investigates the dynamic impacts and state-dependent effects of macroeconomic uncertainties on cryptocurrency cross-sectional returns. Building on the cryptocurrency three-factor model (Market， Size， Momentum) of Liu et al. (2022)， we employ VAR and OLS models to analyze the effects of U.S. Economic Policy Uncertainty (EPU)， Global Geopolitical Risk (GPR)， and the Volatility Index (VIX). Empirical results reveal strong state-dependence and factor heterogeneity in cryptocurrency pricing. First， the market factor (CMKT) exhibits a two-way pull: rising EPU attracts alternative safe-haven inflows， whereas extreme VIX triggers broad liquidity realization demand， exposing cryptocurrencies as high-risk assets. Second， the size factor (CSMB) shows an asymmetric response: EPU expands the liquidity risk premium for small tokens， but a VIX-induced liquidity squeeze in traditional markets triggers a severe "flight to quality" sell-off， causing the size strategy to break down. Third， the momentum factor (CMOM) demonstrates high pricing independence. Driven by endogenous behavioral biases， its return trajectory remains largely unaffected by external macroeconomic extremes. This research elucidates the transmission mechanisms of macroeconomic risks across the cryptocurrency cross-section， filling a theoretical gap in state-dependent pricing and providing a solid empirical basis for dynamic risk management and cross-market asset allocation.
