The Bitcoin-macro disconnect

Gianluca Benigno, Carlo Rosa

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.

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Year of publication:	[2023]
Authors:	Benigno, Gianluca ; Rosa, Carlo
Publisher:	New York, NY : Federal Reserve Bank of New York
Subject:	Bitcoin \| U.S. asset prices \| high-frequency data \| monetary surprises \| macroeconomic announcements \| Ankündigungseffekt \| Announcement effect \| USA \| United States \| Börsenkurs \| Share price \| Geldpolitik \| Monetary policy \| Volatilität \| Volatility \| Finanzmarkt \| Financial market \| Virtuelle Währung \| Virtual currency