The Bitcoin-macro disconnect

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

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Series:	Staff Report ; 1052
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	1837176833 [GVK] hdl:10419/272865 [Handle]
Classification:	F3 - International Finance ; F4 - Macroeconomic Aspects of International Trade and Finance ; G1 - General Financial Markets
Source:	EconStor

Persistent link: https://www.econbiz.de/10014302774