Accéder directement au contenu Accéder directement à la navigation
Nouvelle interface
Article dans une revue

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
Type de document :
Article dans une revue
Liste complète des métadonnées

https://hal-rennes-sb.archives-ouvertes.fr/hal-03334215
Contributeur : Elise BOUVET Connectez-vous pour contacter le contributeur
Soumis le : vendredi 3 septembre 2021 - 15:32:05
Dernière modification le : samedi 6 août 2022 - 03:22:36

Identifiants

Collections

Citation

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

Partager

Métriques

Consultations de la notice

119