The Bitcoin-macro disconnect

Gianluca Benigno, Carlo Rosa

This paper investigates the link between Bitcoin and macroeconomic fundamentals by estimating the impact of macroeconomic news on Bitcoin using an event study with intraday data. The key result is that, unlike other U.S. asset classes, Bitcoin is orthogonal to monetary and macroeconomic news. This disconnect is puzzling as unexpected changes in discount rates should, in principle, affect the price of Bitcoin even when interpreting Bitcoin as a purely speculative asset.

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Year of publication:	[2023]
Authors:	Benigno, Gianluca ; Rosa, Carlo
Publisher:	New York, NY : Federal Reserve Bank of New York
Subject:	Bitcoin \| U.S. asset prices \| high-frequency data \| monetary surprises \| macroeconomic announcements \| Geldpolitik \| Monetary policy \| USA \| United States \| Ankündigungseffekt \| Announcement effect \| Börsenkurs \| Share price \| Volatilität \| Volatility \| Schätzung \| Estimation

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Extent:	1 Online-Ressource (circa 31 Seiten) Illustrationen
Series:	Staff reports / Federal Reserve Bank of New York. - New York, NY : [Verlag nicht ermittelbar], ZDB-ID 2189304-4. - Vol. no. 1052 (February 2023)
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper
Language:	English
Other identifiers:	hdl:10419/272865 [Handle]
Classification:	F3 - International Finance ; F4 - Macroeconomic Aspects of International Trade and Finance ; G1 - General Financial Markets
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013548985