Can Bitcoin Be an Inflation Hedge? Evidence from a Quantile-on-Quantile Model

Roman Matkovskyy and Akanksha Jalan

Revue économique, 2021, vol. 72, issue 5, 785-797

Abstract: In this study we quantify and analyze the dynamic dependence between US, eurozone, UK and Japan Bitcoin market returns and realized and unexpected inflation, conditional on different market states and various nuances of inflation. Using a Quantile-on-Quantile regression, we investigate the hedging properties of Bitcoin against inflation, thereby offering a fresh look at the return-inflation puzzle from the point of view of alternative investments. We find that while bullish UK, Euro and Japanese Bitcoin markets facilitate hedging against inflation by offering higher returns, the USD Bitcoin market performs worse with inflation. In general, our results indicate an asymmetric relationship between inflation, both realized and unexpected, and alternative investments such as the Bitcoin market. JEL Codes: C32, E31, G15.

Keywords: bitcoin; hedge; inflation (search for similar items in EconPapers)
JEL-codes: C32 E31 G15 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (5)

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