Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/272865 
Year of Publication: 
2023
Series/Report no.: 
Staff Report No. 1052
Publisher: 
Federal Reserve Bank of New York, New York, NY
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.
Subjects: 
Bitcoin
U.S. asset prices
high-frequency data
monetary surprises
macroeconomic announcements
JEL: 
F3
F4
G1
Document Type: 
Working Paper

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