Inflation and cryptocurrencies revisited: A time-scale analysis

Thomas Conlon, Shaen Corbet and Richard J. McGee

Economics Letters, 2021, vol. 206, issue C

Abstract: This letter revisits the time-series relation between cryptocurrency prices and forward inflation expectations. Using wavelet time-scale techniques, a positive link between cryptocurrencies and forward inflation rates is identified, focused on a brief period surrounding the onset of the COVID-19 pandemic. This coincides with a rapid and synchronized decrease in cryptocurrency prices and forward inflation expectations, followed by a swift recovery to pre-crisis levels. Outside of the crisis period, we find no clear evidence of any inflation hedging capacity of Bitcoin or Ethereum during times of increasing forward inflation expectations.

Keywords: Inflation expectations; Bitcoin; Ethereum; Hedging; Wavelets; Cryptocurrencies (search for similar items in EconPapers)
JEL-codes: G10 G12 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (33)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:206:y:2021:i:c:s0165176521002731

DOI: 10.1016/j.econlet.2021.109996

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