Have cryptocurrencies become an inflation hedge after the reopening of the U.S. economy?

【Author】 Sakurai, Yuji; Kurosaki, Tetsuo

【Source】RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE

【影响因子】6.143

【Abstract】In this paper, we study how the comovement between cryptocurrencies and the U.S. inflation expectation rates has changed during the post-reopening of the U.S. economy after the Covid-19 crisis. To do so, we develop a new concept of "exceedance co-kurtosis"which allows us to quantify asymmetry in strong comovement between each cryptocurrency and the inflation expectation rate. The key findings are as follows. First, we show the change in the co-kurtosis asymmetry for major cryptocurrencies: the downside co-kurtosis was higher than the upside co-kurtosis but it decreased after the reopening of the economy. Although the unconditional correlations between cryptocurrencies and the inflation expectation rates remain very low, our results indicate that the major cryptocurrencies become a slightly better inflation hedge after the reopening. Second and more interestingly, the results do not depend on whether a cryptocurrency has a cap on maximum supply or not. Therefore, treating the major cryptocurrencies as digital commodities could be misleading from the viewpoint of portfolio optimization.

【Keywords】Bitcoin; Ethereum; Litecoin; Portfolio optimization; Covid-19 crisis

【发表时间】2023 APR

【收录时间】2023-06-16

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-市场分析