Monetary policy and Bitcoin

【Author】 Karau, Soeren

【Source】JOURNAL OF INTERNATIONAL MONEY AND FINANCE

【影响因子】2.762

【Abstract】I empirically study the impact of monetary policy on Bitcoin, and show that is has evolved over time. First, based on high-frequency data, the paper documents that Bitcoin prices did not immediately respond to US monetary policy announcements in the past; they only started doing so in late 2020, in a manner similar to other risky asset prices. Second, based on a structural VAR analysis I study the impact of monetary policy over longer horizons. I confirm the contractionary impact of a US monetary tightening in the post-2020 time period, but show that, historically, a US tightening used to persistently increase rather than decrease Bitcoin prices. To explain this result, I exploit spreads in Bitcoin valuations across currencies and blockchain data and link increased Bitcoin demand to East Asian economies subject to capital controls, particularly China. I discuss implications for the discussion of where demand for Bitcoin stems from: its recent responses to monetary policy confirm its role as a primarily speculative asset; yet, at least historically Bitcoin seems to have derived part if its value from enabling cross-border value transfers and capital flight.& COPY; 2023 Elsevier Ltd. All rights reserved.

【Keywords】Bitcoin; Blockchain; High-frequency analysis; Monetary policy; Proxy VAR

【发表时间】2023 OCT

【收录时间】2023-08-20

【文献类型】

【主题类别】

--