MACRO-ECONOMIC DETERMINANTS OF BITCOIN RETURNS: EVIDENCE FROM OLS, VAR, AND ARDL MODEL
Author
Bhattarai, Prajwal
Term
4. semester
Publication year
2026
Submitted on
2026-01-04
Pages
68
Abstract
Denne afhandling undersøger, hvordan makroøkonomiske variable – renter, inflation, pengemængde (M2), dollarindeks og Economic Policy Uncertainty (EPU) – påvirker Bitcoin-afkast ved brug af ugentlige tidsserier fra 2015 til 2025. For at indfange både kort- og langsigtsdynamik anvendes flere empiriske metoder, herunder OLS, ARDL (og ARDL-ECM) samt VAR, understøttet af standard tidsserietests og diagnostik. Resultaterne peger på, at monetære faktorer, især renter og inflation, har den stærkeste indflydelse på Bitcoins afkast; dollarindekset er stærkt negativt relateret til afkast, mens inflation på kort sigt er positivt relateret og dermed kan indikere en begrænset hedgefunktion ved stigende inflation. EPU påvirker afkast med forsinkelse, og pengemængden udviser svagere direkte effekter. VAR- og ARDL-ECM-resultaterne tyder på, at Bitcoin hurtigt justerer mod langsigtet ligevægt efter makroøkonomiske stød. Samlet set fremstår Bitcoin som en makrosensitiv aktivklasse frem for en fuldstændig uafhængig alternativ investering.
This thesis examines how macroeconomic variables—interest rates, inflation, money supply (M2), the U.S. dollar index, and the Economic Policy Uncertainty (EPU) index—affect Bitcoin returns using weekly time-series data from 2015 to 2025. To capture both short- and long-run dynamics, it employs multiple empirical approaches, including OLS, ARDL (and ARDL-ECM), and VAR, supported by standard time-series tests and diagnostics. The evidence indicates that monetary factors, particularly interest rates and inflation, exert the strongest influence on Bitcoin; the dollar index is strongly negatively related to returns, while inflation is positively related in the short run, suggesting a limited hedging role when inflation rises. EPU affects returns with a lag, and money supply shows weaker direct effects. VAR and ARDL-ECM results suggest Bitcoin adjusts quickly toward long-run equilibrium after macroeconomic shocks. Overall, Bitcoin appears macro-sensitive rather than fully independent from traditional economic forces.
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