紐約聯(lián)儲(chǔ)-比特幣-宏觀斷開 The Bitcoin–Macro Disconnect 2023

NO.1052TheBitcoin–MacroDisconnectGianlucaBenigno|CarloRosaTheBitcoin–MacroDisconnectGianlucaBenignoandCarloRosaFederalReserveBankofNewYorkStaffReports,no.1052February2023JELclassification:F3,F4,G1AbstractThispaperinvestigatesthelinkbetweenBitcoinandmacroeconomicfundamentalsbyestimatingtheimpactofmacroeconomicnewsonBitcoinusinganeventstudywithintradaydata.Thekeyresultisthat,unlikeotherU.S.assetclasses,Bitcoinisorthogonaltomonetaryandmacroeconomicnews.Thisdisconnectispuzzlingasunexpectedchangesindiscountratesshould,inprinciple,affectthepriceofBitcoinevenwheninterpretingBitcoinasapurelyspeculativeasset.Keywords:Bitcoin,U.S.assetprices,high-frequencydata,monetarysurprises,macroeconomicannouncements_________________Benigno:FederalReserveBankofNewYork(email:gianluca.benigno@).Rosa:UniversityofParma(email:carlorosa1@).TheauthorsthankJoeDelehantyforexcellentresearchassistance.Thispaperpresentspreliminaryfindingsandisbeingdistributedtoeconomistsandotherinterestedreaderssolelytostimulatediscussionandelicitcomments.Theviewsexpressedinthispaperarethoseoftheauthor(s)anddonotnecessarilyreflectthepositionoftheFederalReserveBankofNewYorkortheFederalReserveSystem.Anyerrorsoromissionsaretheresponsibilityoftheauthor(s).Toviewtheauthors’disclosurestatements,visit/research/staff_reports/sr1052.html.21Introduction4frtoomn52ASimpleSpeculativeAssetModelbt=+εt+1(1)bt=+εt+1(1)tozero(i.e.Et[εt+1]=0)andRt=1+rtisthegrossrealinterestrate.Intheqt=qt(Rt,Rt+1,Rt+2,....)qt+1=qt+1(Rt+1,Rt+2,Rt+3,....)withqt,Rt=<0,qt,Rt+1=<0andsoon.Assumption2:Thesensitivityoftheprobabilityofthebubbleburstingisqt,Rt<qt,Rt+1<0Wenowsolve(1)forwardfromtimet=0.ByapplyingthelawofiteratedEtbt+i=bt()?1probabilityoftheasset6inProperty1:Theelasticityofthespeculativeassettofuturechangesinthe?Rt+ibt ??Rt+ibtεbt,Rt+i≡εbt,Rt=εbt,Rt==(εqr,Rr?1)?Rtbtεbt,Rt+1==(εqr+1,Rr+1+εqr,Rr+1?1)Thus,aslongasqt,Rt=<0,qt,Rt+1=<0,theresponseoftheassetrealRttYt(2)whereΦ(.,.)isagenericreactionfunctionwithΦΠ>0,andΦY>0asinthe7eewsaboutthefuturepathofpolicyhavelarger3Data3.1Assetpricedata8Figure1:MarketcapitalizationofdigitalcurrenciesThisfigureplotsthemarketcapitalizationofBitcoin,Ethereum,and21otherdigitalcurrencies(i.e.,Aave,Binance-Coin,Cardano,ChainLink,Cosmos,CryptocomCoin,Dogecoin,EOS,Iota,Litecoin,Monero,NEM,Polkadot,Solana,Stellar,Tether,Tron,Uniswap,USDCoin,WrappedBitcoin,andXRP).ThedashedlineontherightaxisdisplaysthemarketcapitalizationofBitcoinrelativetothose23digitalcurrencies.ThesampleperiodisfromApril2013toDecember2022.tesismotivatedbythefactthatBitcoinandfranc(CHF),theMexicanpeso(MXN),andtheSouthAfricanRand(ZAR).1Theg1Forinstance,BandiandRussell(2008)arguethat5-minutereturnsprovideareasonablebalancebetweensamplingtoofrequently(andconfoundingpricereactionswithmarketmicrostructurenoise,suchasthebid-askbounce,staleness,pricediscreteness,andtheclusteringofquotes)andsamplingtooinfrequently(andblurringpricereactionstonews).9setovel2S&P500isastockmarketindexthatmeasuresthestockperformanceof500largecompanieslistedonstockexchangesintheUnitedStates.ThenotionalvalueofoneE-miniS&P500contract(tickerES)is50timesthevalueoftheS&P500stockindex,insteadof250timesforthestandardfutures(tickerSP).hTable1:Summarystatisticsof5-minassetpricereturnsTheTablereportsthesummarystatisticsforthe5-minassetpricereturnsinpercentagepoints.ThesampleperiodisfromJanuary2000toDecember2022(ordeterminedbydataavailability).“Probability”reportstheprobabilityofthenullhypothesisoftheJarque-Beratestthat5-minutereturnsarenormallydistributed.ExchangeratesaredefinedinunitsofUSdollarsneededtobuyoneunitoftheforeigncurrency,suchthatapositivechangeimpliesadepreciationoftheUSdollar.EURGBPJPYCHFZAR.1.13.2Monetarysurprisesthr?f2,8,t=γ0+γTTargett+γPPatht+γLLSAPt(3)3Inrecentwork,Swanson(2021)identifiesthreeindicatorsofmonetarypolicysurprises,aswedointhisstudy.Thispapercomplementshisworkalongafewdimensions.First,theidentificationofLSAPsurprisesisdifferentbecauseweuseonlythepost-2008,ratherthanthefullsample,periodtoextractLSAPsurprises.Second,wefocusonexplainingBitcoinreturns,ratherthanTreasuryyieldchanges.Third,thesampleperiodendsinDecember2022,ratherthaninJune2019,thusallowingustostudytheeffectsofmonetarypolicyduringtheCOVID-19crisis.4ThedatesofscheduledFOMCmeetingsaresetfarinadvance,andthustheycanbeviewedheTable2:SummarystatisticsofmonetarysurprisesThetablereportssummarystatisticsforthefederalfundtargetratechangesandmonetarysurprisesonscheduledFOMCmeetingdays.ThesampleisfromJanuary2000toDecember2022.ThevariableTargetmeasuresunanticipatedchangesinthecurrentfederalfundsratetarget.ThevariablePathmeasureschangesinfuturesratesouttohorizonsofoneyearthatareindependentofchangesinthecurrentfundratetarget.ThevariableLSAPmeasuresunanticipatedchangesinlarge-scaleassetpurchases.“Jarque-Berap-value”reportsthep-valueofthenullhypothesisoftheJarque-Beratestthatpolicysurprisesorstockreturnsarenormallydistributed.LSAPStd.Dev.0.10000asexogenousandwidelyknown.Ontheotherhand,thetimingofunscheduledmeetingsarisesouslySincethecontextoftheratedecisionisdifferentwefocusonlyonscheduledmeetings3.3MacroeconomicsurprisesMacroNewsi,t=MacroAnni,t?Et?e[MacroNewsi,t=ideviationofthemacronews,i.e.,MacroAnni,t?Et?e[MacroAnni,t].Sinceiisae5Balduzzietal.(2001)andAndersenetal.(2003)aresomeofthemanypreviousstudiesthathaveverifiedthatthesesurveydatapassstandardtestsforunbiasednessandefficiency.yricen4Empiricalresults4.1SpecificannouncementdaysionofthefinancialmarketimpactofnewsFigureTable3:SummarystatisticsofUSmacroeconomicnewsTheTablereportsaselectionofdescriptivestatisticsforUSmacroeconomicnewsusedinthispaper,includingreleasetime(EasternTime),unitsofmeasure,andBloombergticker.ThesampleperiodisfromJanuary2000toDecember2022(ordeterminedbydataavailability).“Obs.”standsforthetotalnumberofobservationsintheannouncementsandexpectationsdatasample.“Std.Dev.”standsforthestandarddeviationofthemacroeconomicnewssurprisebeforebeingstandardized.Theacronym“s.a.”standsforseasonallyadjusted;“m-m”and“q-q”indicatefrommonthtomonth,andfromquartertoquarterrespectively.“FRB”standsfortheFederalReserveBoard,“BC”fortheBureauoftheCensus,“BLS”standsfortheBureauofLaborStatistics,“ETA”forEmploymentandTrainingAdministration,“BEA”forBureauofEconomicAnalysis,“CB”forConferenceBoard,and“ISM”forInstituteofSup-plyManagement.Macroeconomicnewsthatarelargerthanfivetimesitsin-samplestandarddeviationarefilteredout.bsReleasetimeUnitsofmeasurementAgencyRealactivity01FRBlSales6BCBLS0.26BLSInitialJoblessClaimsETAForward-looking9onsBEA35.1CBgPrices.2ISMPPIExFood&Energy031-1BLSCPIExFood&Energy00.1.5BLS4.2TheresponseofassetpricestomonetarysurprisesInthissectionwetestHypothesesandiethatmonetarynewsaffectssyeR[t?5min,t+25min]=α+βTTargett+βPPatht+βLLSAPt+εt(5)Figure2:AssetpriceresponsesonspecificdaysIntradailyplotsofexchangerates(denominatedbyUSD),preciousmetals,USstockprices,andBitcoinaroundthereleaseoftheJune3,2016EmploymentreportandJune16,2021,FOMCstatement.NonfarmpayrollsintheJune2016reportwerelower-than-expected.TheJune2021FOMCstatementwasmorehawkishthananticipated.(A)TheResponseAroundtheReleaseoftheUnemploymentReportAnnounce-mentonJune3,2016(B)TheResponseAroundtheReleaseoftheFOMCStatementonJune16,2021smatesoftheeffectsofdandemergingtrentTable4:TheresponseofassetpricestomonetarysurprisesThetablereportstheresultsfromaregressionofintradaypercentagechangesinexchangerates,preciousmetalprices,USstockprices,andBitcoin(fromfiveminutesbeforetheeventtotwenty-fiveminutesafter)onaconstant,Target,Path,andLSAPfactors.ThesampleisfromJanuary2000toDecember2022andJanuary2017toDecember2022forBitcoin.ExchangeratesaredefinedasunitsofUSdollarsneededtobuyoneunitofforeigncurrency,suchthatapositivechangeimpliesadepreciationoftheUSdollar.ThevariableTargetmeasuresunanticipatedchangesinthecurrentfederalfundsratetarget.ThevariablePathmeasureschangesinfuturesratesouttohorizonsofoneyearthatareindependentofchangesinthecurrentfundratetarget.ThevariableLSAPmeasurestheunanticipatedannouncementaboutassetpurchases.Theeconometricmethodisordinaryleastsquareswithheteroskedasticity-consistentstandarderrors.Thesuperscripts***,**,and*indicatestatisticalsignificanceatthe1%,5%,and10%levels,respectively.EURGBPJPYCHFZARLSAPR2lethe4.3TheresponseofassetpricestomacroeconomicnewsaricR[t?5min,t+25min]=αi+βiMacroNewsi,t+εi,t(6)sryytolnSTo6Ifwerestrictthesampletotheperiod2017-2021,theCPIcoefficientisnolongersignificantforBitcoin,butitremainssignificantlydifferentfromzeroforotherassets.Table5:TheresponseofassetpricestoUSmacroeconomicnewsThetablereportstheresultsfromaregressionofintradaypercentagechangesinexchangerates,preciousmetalprices,USstockpricesandBitcoin(fromfiveminutesbeforetheeventtotwenty-fiveminutesafter)onmonetarynews(PanelA)and(standardized)macroeconomicnews(PanelB).ThesampleisfromJanuary2017toDecember2022.ExchangeratesaredefinedasunitsofUSdollarsneededtobuyoneunitofforeigncurrency,suchthatapositivechangeimpliesadepreciationoftheUSdollar.Thesignsoftheannouncementsurprisesinthecountercyclicalindicators(unemploymentrateandinitialjoblessclaims)denotedwiththetsymbolhavebeenflipped.Macroeconomicnewsthatarelargerthanfivetimesitsin-samplestandarddeviationarefilteredout.Theeconometricmethodisordinaryleastsquareswithheteroskedasticity-consistentstandarderrors.Thesuperscripts***,**,and*indicatestatisticalsignificanceatthe1%,5%,and10%levels,respectively.EURGBPJPYCHFMXNZARR2R2R2R2Claims****R2TradeBalanceR2***R2***R2PPIExFood&EnergyR2CPIExFood&EnergyR2fespondn Table6:Theresponseofassetpricestomonetaryandmacroeconomicnews:Sample2017-2022Thetablereportstheresultsfromaregressionofintradaypercentagechangesinexchangerates,preciousmetalprices,USstockprices,andBitcoin(fromfiveminutesbeforetheeventtotwenty-fiveminutesafter)onaconstantandthe(standardized)macroeconomicnews.TherowalignedwiththemacroeconomicnewsreportstheestimatedslopecoefficientandtherowbelowreportstheregressionR2(in%).ThesampleisfromJanuary2000toDecember2022,andfromJanuary2017toDecember2022forBitcoin.ExchangeratesaredefinedasunitsofUSdollarsneededtobuyoneunitoftheforeigncurrency,suchthatapositivechangeimpliesadepreciationoftheUSdollar.Thesignsoftheannouncementsurprisesinthecountercyclicalindicators(unemploymentrateandinitialjoblessclaims)denotedwiththetsymbolhavebeenflipped.Macroeconomicnewsthatarelargerthanfivetimesitsin-samplestandarddeviationarefilteredout.Theeconometricmethodisordinaryleastsquareswithheteroskedasticity-consistentstan-darderrors.Thesuperscripts***,**,and*indicatestatisticalsignificanceatthe1%,5%,and10%levels,respectively.PanelA:TheresponseofassetpricestomonetarynewsEURGBPJPYCHFZARLSAPR2PanelB:TheresponseofassetpricestomacroeconomicnewsEURGBPJPYCHFMXNZARGoldSilverS&P500R2R2R2R2R2R2R2R2PPIExFood&EnergyR2CPIExFood&EnergyR2002.6Table7:Theresponseofassetpricestomonetaryandmacroeconomicnews:MedianregressionThetablereportstheresultsfromaregressionofintradaypercentagechangesinexchangerates,preciousmetalprices,USstockpricesandBitcoin(fromfiveminutesbeforetheeventtotwenty-fiveminutesafter)onaconstant,Target,PathandLSAPfactors(inPanelA),andonaconstantandthe(standardized)macroeconomicnews(inPanelB).ThesampleisfromJanuary2000toJune2022forallassetsbutBitcointhatisfromJanuary2017toJune2022.ExchangeratesaredefinedinunitsofUSdollarsneededtobuyoneunitoftheforeigncurrency,suchthatapositivechangeimpliesadepreciationoftheUSdollar.Macroeconomicnewsthatarelargerthanfivetimesitsin-samplestandarddeviationarefilteredout.TherowalignedwiththemacroeconomicnewsreportstheestimatedslopecoefficientandtherowbelowreportstheregressionR2.Thesignsoftheannouncementsurprisesinthecountercyclicalindicators(unemploymentrateandinitialjoblessclaims)denotedwiththetsymbolhavebeenflipped.Theeconometricmethodisquantileregression.Thesuperscripts***,**,and*indicatestatisticalsignificanceatthe1%,5%,and10%levels,respectively,andarebasedonrobust(Huber)standarderrors.PanelA:TheresponseofassetpricestomonetarynewsEURGBPJPYCHFXNZAR**thLSAPR2PanelB:TheresponseofassetpricestomacroeconomicnewsEURGBPJPYCHFMXNZARGoldSilverS&P500BitcoinR2R2R2R2R2R2R2R2PPIExFood&EnergyR2CPIExFood&EnergyR20010000006000**0007Intheinterestofbrevity,theresultsfordailydataareavailableinaseparateAppendix.Asexpected(see,e.g.,Corbetetal.(2020)andPyoandLee(2020)),thestandarderrorsaremuchlarger,andseveraloftheannouncementeffectsarenolongerstatisticallysignificant.Table8:Theresponseofassetpricestomonetaryandmacroeconomicnews:One-hourevent-windowThetablereportstheresultsfromaregressionofintradaypercentagechangesinexchangerates,preciousmetalprices,USstockpricesandBitcoin(fromfiveminutesbeforetheeventtofifty-fiveminutesafter)onaconstant,Target,PathandLSAPfactors(inPanelA),andonaconstantandthe(standardized)macroeconomicnews(inPanelB).ThesampleisfromJanuary2000toJune2022forallassetsbutBitcointhatisfromJanuary2017toJune2022.ExchangeratesaredefinedinunitsofUSdollarsneededtobuyoneunitoftheforeigncurrency,suchthatapositivechangeimpliesadepreciationoftheUSdollar.Macroeconomicnewsthatarelargerthanfivetimesitsin-samplestandarddeviationarefilteredout.TherowalignedwiththemacroeconomicnewsreportstheestimatedslopecoefficientandtherowbelowreportstheregressionR2.Thesign