What can monetary policy tell us about Bitcoin?

Marcin Pietrzak ()
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Marcin Pietrzak: Polish Academy of Sciences

Annals of Finance, 2023, vol. 19, issue 4, No 5, 545-559

Abstract: Abstract Bitcoin enthusiasts argue that it is free from central banks decisions and it is a hedge against inflation. Using high-frequency monetary surprises associated with decisions made by the Fed and the ECB, I show that these claims are not supported by the data. Bitcoin systemically reacts to monetary and central bank information shocks. I find that these reactions vary over time: not only by changing the magnitude but sometimes sign of reaction. Fed’s disinflationary shocks increase Bitcoin price, while the ECB’s decrease, hence providing little support for it as an inflation hedge.

Keywords: Bitcoin; Time-varying parameter VAR; Monetary policy; Information effect (search for similar items in EconPapers)
JEL-codes: E42 E43 E44 E52 E58 G12 (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1007/s10436-023-00432-3

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