IDEAS home Printed from https://ideas.repec.org/p/hal/journl/hal-03334215.html
   My bibliography  Save this paper

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

Author

Listed:
  • Roman Matkovskyy

    (ESC [Rennes] - ESC Rennes School of Business)

  • Akanksha Jalan

    (ESC [Rennes] - ESC Rennes School of Business)

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.

Suggested Citation

  • Roman Matkovskyy & Akanksha Jalan, 2021. "Can Bitcoin Be an Inflation Hedge? Evidence from a Quantile-on-Quantile Model," Post-Print hal-03334215, HAL.
    • Handle: RePEc:hal:journl:hal-03334215
    DOI: 10.3917/reco.pr2.0173
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Yarovaya, Larisa & Matkovskyy, Roman & Jalan, Akanksha, 2021. "The effects of a “black swan” event (COVID-19) on herding behavior in cryptocurrency markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
    2. Dmitry V. Boguslavsky & Natalia P. Sharova & Konstantin S. Sharov, 2021. "Cryptocurrency as Epidemiologically Safe Means of Transactions: Diminishing Risk of SARS-CoV-2 Spread," Mathematics, MDPI, vol. 9(24), pages 1-19, December.
    3. Gaies, Brahim & Chaâbane, Najeh & Arfaoui, Nadia & Sahut, Jean-Michel, 2024. "On the resilience of cryptocurrencies: A quantile-frequency analysis of bitcoin and ethereum reactions in times of inflation and financial instability," Research in International Business and Finance, Elsevier, vol. 70(PA).
    4. Jalan, Akanksha & Matkovskyy, Roman & Urquhart, Andrew & Yarovaya, Larisa, 2023. "The role of interpersonal trust in cryptocurrency adoption," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 83(C).
    5. Kolawole Ibrahim Gbolahan, 2023. "An Empirical Investigation of Bitcoin Hedging Capabilities against Inflation using VECM: The Case of United States, Eurozone, Philippines, Ukraine, Canada, India, and Nigeria," International Journal of Economics and Financial Issues, Econjournals, vol. 13(6), pages 91-100, November.

    More about this item

    Keywords

    bitcoin; hedge; inflation;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:journl:hal-03334215. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.