The Bitcoin–Macro Disconnect

Gianluca Benigno and Carlo Rosa

No 1052, Staff Reports from Federal Reserve Bank of New York

Abstract: 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.

Keywords: Bitcoin; asset prices; United States; high-frequency data; monetary surprises; macroeconomic announcements (search for similar items in EconPapers)
JEL-codes: F3 F4 G1 (search for similar items in EconPapers)
Pages: 31
Date: 2023-02-01
New Economics Papers: this item is included in nep-des, nep-fdg, nep-mon and nep-pay
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