IMF-加密货币周期与美国货币政策（英）-2023.8-57页_3mb

The Crypto Cycle and US Monetary Policy

A single crypto factor explains approximately 80% of crypto price variations and has become increasingly correlated with global equity markets, particularly since 2020. The rising correlation is driven by the entry of institutional investors, who trade crypto and equities, making the risk profile of the marginal equity and crypto investor more similar.

U.S. monetary policy significantly affects the crypto cycle through the risk-taking channel, similar to its impact on global equity markets. A one percentage point rise in the shadow federal funds rate leads to a persistent 0.15 standard deviation decline in the crypto factor, surpassing the typical equity factor response.

The analysis uses dynamic factor models, vector autoregressions, and heterogeneous-agent frameworks to validate these findings. The results suggest that policy surprises have a more pronounced effect on crypto prices post-2020 as institutional participation increases. While other transmission channels like liquidity and USD appreciation were considered, the primary driver is the changing investor composition in crypto markets.

Policy implications highlight the need for regulatory frameworks to mitigate potential systemic spillovers given the sensitivity of crypto markets to monetary policy.