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<p>This study examines whether Bitcoin returns are influenced by macro-financial variables, including inflation, interest rates, economic policy uncertainty (EPU), stock market performance, and liquidity conditions, in order to determine whether Bitcoin behaves as a hedge asset, a speculative instrument, or a macro-sensitive financial asset. The study uses monthly U.S. data covering the period from 2011 to 2025. A dynamic autoregressive distributed lag (ARDL) model is employed to analyze short-run macro-financial relationships, while robustness checks are conducted using Newey–West estimators, vector autoregression (VAR), and Granger causality tests. The analysis additionally incorporates structural break detection, rolling-correlation analysis, and subperiod estimation to account for evolving cryptocurrency market regimes and time-varying financial integration. The empirical results indicate that Bitcoin returns are primarily driven by short-run financial market dynamics rather than stable macroeconomic fundamentals. Stock market performance emerges as one of the most robust determinants of Bitcoin returns, while economic policy uncertainty exerts significant but time-varying effects across specifications. Changes in the Federal Funds Rate display weak negative effects, whereas inflation and money supply growth generally exhibit limited explanatory power. The Granger causality results confirm that macro-financial variables jointly predict Bitcoin returns in the short run. The findings further reveal regime-dependent dynamics, particularly after the COVID-19 period, during which Bitcoin became increasingly integrated with equity markets and more sensitive to monetary tightening. Overall, the findings suggest that Bitcoin exhibits significant short-run co-movement with broader financial market conditions. This study contributes to the cryptocurrency literature by integrating multiple macro-financial variables within a unified short-run dynamic framework using recent data through 2025. By combining ARDL, VAR, Newey–West robustness estimation, and Granger causality analysis, the study provides updated evidence on Bitcoin’s evolving integration with traditional financial markets and offers practical implications for investors, portfolio managers, and policymakers. The study further contributes by incorporating structural instability and evolving market dependence within a coherent short-run cryptocurrency-finance framework.</p>

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Bitcoin returns and macro-financial drivers: evidence of short-run sensitivity and market linkages

  • 期刊论文

  • 发表日期：

    2026年7月7日

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  • Ihsen Abid

摘要

This study examines whether Bitcoin returns are influenced by macro-financial variables, including inflation, interest rates, economic policy uncertainty (EPU), stock market performance, and liquidity conditions, in order to determine whether Bitcoin behaves as a hedge asset, a speculative instrument, or a macro-sensitive financial asset. The study uses monthly U.S. data covering the period from 2011 to 2025. A dynamic autoregressive distributed lag (ARDL) model is employed to analyze short-run macro-financial relationships, while robustness checks are conducted using Newey–West estimators, vector autoregression (VAR), and Granger causality tests. The analysis additionally incorporates structural break detection, rolling-correlation analysis, and subperiod estimation to account for evolving cryptocurrency market regimes and time-varying financial integration. The empirical results indicate that Bitcoin returns are primarily driven by short-run financial market dynamics rather than stable macroeconomic fundamentals. Stock market performance emerges as one of the most robust determinants of Bitcoin returns, while economic policy uncertainty exerts significant but time-varying effects across specifications. Changes in the Federal Funds Rate display weak negative effects, whereas inflation and money supply growth generally exhibit limited explanatory power. The Granger causality results confirm that macro-financial variables jointly predict Bitcoin returns in the short run. The findings further reveal regime-dependent dynamics, particularly after the COVID-19 period, during which Bitcoin became increasingly integrated with equity markets and more sensitive to monetary tightening. Overall, the findings suggest that Bitcoin exhibits significant short-run co-movement with broader financial market conditions. This study contributes to the cryptocurrency literature by integrating multiple macro-financial variables within a unified short-run dynamic framework using recent data through 2025. By combining ARDL, VAR, Newey–West robustness estimation, and Granger causality analysis, the study provides updated evidence on Bitcoin’s evolving integration with traditional financial markets and offers practical implications for investors, portfolio managers, and policymakers. The study further contributes by incorporating structural instability and evolving market dependence within a coherent short-run cryptocurrency-finance framework.