Inflation and cryptocurrencies revisited: A time-scale analysis

【Author】 Conlon, Thomas; Corbet, Shaen; McGee, J. Richard

【Source】ECONOMICS LETTERS

【影响因子】1.469

【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. (C) 2021 The Author(s). Published by Elsevier B.V.

【Keywords】Inflation expectations; Bitcoin; Ethereum; Hedging; Wavelets; Cryptocurrencies

【发表时间】2021 SEP

【收录时间】2022-01-02

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