Abstract
Improved access to the scarce, digital resource justifies analyzing Bitcoin from a macroeconomic perspective. Using ten years of historical monthly returns, this study examines Bitcoin’s hedging capabilities with respect to inflation measures following the Fisher hypothesis. Short-term interest rates are used to split the ex post observed inflation into an ex ante expected and unexpected part by applying autoregressive distributed lag models. Having 40 countries under scrutiny, the results show that Bitcoin has partial hedging capabilites against expected inflation in specific countries. In a cross-sectional view on expected inflation, rolling window regressions reveal a diminishing number of significant inflation betas over time.
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