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Can Bitcoin Be an Inflation Hedge? Evidence from a Quantile-on-Quantile Model

Abstract : In this study we quantify and analyze the dynamic dependence between US, eurozone, UK and Japan Bitcoin market returns and realized and unexpected inflation, conditional on different market states and various nuances of inflation. Using a Quantile-on-Quantile regression, we investigate the hedging properties of Bitcoin against inflation, thereby offering a fresh look at the return-inflation puzzle from the point of view of alternative investments. We find that while bullish UK, Euro and Japanese Bitcoin markets facilitate hedging against inflation by offering higher returns, the USD Bitcoin market performs worse with inflation. In general, our results indicate an asymmetric relationship between inflation, both realized and unexpected, and alternative investments such as the Bitcoin market.
Keywords : bitcoin hedge inflation
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https://hal-rennes-sb.archives-ouvertes.fr/hal-03334215
Contributor : Steven Gouin <>
Submitted on : Friday, September 3, 2021 - 3:32:05 PM
Last modification on : Saturday, September 4, 2021 - 3:02:00 AM

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Roman Matkovskyy, Akanksha Jalan. Can Bitcoin Be an Inflation Hedge? Evidence from a Quantile-on-Quantile Model. Revue Economique, Presses de Sciences Po, 2021, Prépublication (7), pp.1021-1041. ⟨10.3917/reco.pr2.0173⟩. ⟨hal-03334215⟩

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