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The Bitcoin–Macro Disconnect

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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.

Suggested Citation

  • Gianluca Benigno & Carlo Rosa, 2023. "The Bitcoin–Macro Disconnect," Staff Reports 1052, Federal Reserve Bank of New York.
    • Handle: RePEc:fip:fednsr:95715
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    More about this item

    Keywords

    Bitcoin; asset prices; United States; high-frequency data; monetary surprises; macroeconomic announcements;
    All these keywords.

    JEL classification:

    • F3 - International Economics - - International Finance
    • F4 - International Economics - - Macroeconomic Aspects of International Trade and Finance
    • G1 - Financial Economics - - General Financial Markets

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