Abstract
This study examines the time-series relation between Bitcoin and forward inflation expectation rates. Using a vector autoregressive process, we find that changes in Bitcoin Granger cause changes in the forward inflation rate. Furthermore, imposing an exogenous shock to Bitcoin’s price results in a persistent increase in the forward inflation rate. Our findings provide support for the notion that Bitcoin may be used as a hedge against inflation as changes in the price of Bitcoin tend to lead changes in the expected inflation.
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