Gate.io Research: Bitcoin Periodic Correlation Analysis

TL;DR1.BlackRockandCoinbase’sPartnershipstrengthensapositiveinstitutionalattitude2.USmacrorecoverybutinflationispushingFedtobemoreaggressiveonraisinginterestrates3.BitcoinreturnisgrowingclosertoUSequitymarkets4.BitcoinreturnisstrictlynegativelycorrelatedwithUSinterestrates5.BitcoinreturnissensitivetoM0changesratherthanM1orM2intheUS1.ResearchBackground

1.1InstitutionalPreference

BlackRockInc.(NYSE:BLK)announceditspartnershipwithCoinbaseGlobalInc.(NASDAQ:COIN)onAugust4,2022,sendingCoinbasesharesrocketingthatday.Thispartnershipisastrongstimulusforthenegativecryptomarketsentiment,hammeredbyfallingpricesandgovernmentinvestigations.As,BlackRock,thelargestassetmanager,ismakingiteasierforinstitutionalinvestorstomanageandtradeBitcoin.TheannouncementfueledCoinbasesharestorocketforafewdaysandwaseventuallycalmedbyCoinbase'sQ2earnings.Nevertheless,thismoveisconsideredaleapinthecryptomarketasinstitutionalinvestorsarereachingin.'Thepactisaseismicshiftinthecryptoindustry.'saidLeahWald,CEOofValkyrieInvestments.TopBlackRockclientswillgainaccesstoBitcointhroughitsAladdininvestmentmanagementsystem,makingiteasiertomanagetheirexposurealongwiththeirstocksandbonds.Andthefocus'willinitiallybeonBitcoin',BlackRockmentioned.BlackRockisthelargestassetmanagerintheworld,with8.5trillionUSDundermanagementbyJune2022andthereareapproximately21trillionUSDworthoffinancialassetsmanagedonAladdin.AccordingtoCreditSuisse,thetotalwealthoftheworldby2020is418trillionUSD,andthetotalassetonAladdincountsfor5%ofit.1.2MacroRecovery

美联储利率决定发布后 美元指数下跌:金色财经报道，美联储利率决定发布后，美元指数下跌，最新挫0.504%，报102.630； 欧元兑美元上涨，最新升0.66%，报1.084；美元兑日元下跌，最新挫0.33%，报132.050。[2023/3/23 13:20:48]

TheUSeconomyadded528,000jobsinJuly,beatingestimatesby100%,andJunejobdataisupwardlyrevisedto398,000.ThebiggestpushinJulywasleisureandhospitality,particularlyinfoodserviceanddrinking.Andtheunemploymentratefellto3.5%whichisathistoricallowtyingthepre-pandemiclevel.Thisisastrongshowingofeconomicrecovery.However,theskyrocketinginflationisstillahugehurdlefortheFederalReservetocross.Standingonthishistoricalturningpointofeconomicuncertainty,itisveryimportanttoreviewwhathistoryhastaughtusandmoveforwardwiththenewforcesinthecryptoindustry.Inthisstudy,wewillexaminethehistoricalcorrelationsofBitcoinreturnsrelativetoothereconomicandmarketvariablestoshowthewaybeforeandhopetogainsomeinsightsintothepathahead.Standingonthishistoricalturningpointofeconomicuncertainty,itisveryimportanttoreviewwhathistoryhastaughtusandmoveforwardwiththenewforcesinthecryptoindustry.Inthisstudy,wewillexaminethehistoricalcorrelationsofBitcoinreturnsrelativetoothereconomicandmarketvariablestoshowthewaybeforeandhopetogainsomeinsightsintothepathahead.2.MethodofResearch&Data

Bitcoinmarketismoreofaglobalmarketratherthanaregionalone.Butinthisresearch,wearefocusingontheUSeconomyasastartingpointandwouldextendtoothereconomiesinthefuture.ThisresearchwilladoptmonthlydatafromJan.2015toJun.2022.WearepickingBitcoinmonthlyreturnsasitisabetterindicatorandeasiertocomparetoothervariables,especiallymacroeconomicvariablesinthisresearch.Correlationsbetweenallthevariableswillbecalculatedanddifferenttimeframeswillbeselectedtocalculatethecorrelationindifferenttimeframes,inanattempttoseechangesindifferentmarketconditions.ThefollowingUSmacroeconomicdataareselected:ItisimportanttostatethatanycorrelationfoundinthisresearchdoesNOTindicatecausation.Thecorrelationonlysuggeststhetendencyoftwovariablestomovetogether,andhowdeepthattendencyis.Causationrelationscanonlybeinferredthroughfurtherstudies.AlldatausedinthisresearchisfromtheSt.LouisFREDdatabase.3.SimpleCorrelationAnalysis

美联储2月加息25BP的概率为99.7%:金色财经报道，据CME“美联储观察”：美联储2月加息25个基点至4.50%-4.75%区间的概率为99.7%，加息50个基点的概率为0.3%；到3月累计加息25个基点的概率为18.8%，累计加息50个基点的概率为81.0%，累计加息75个基点的概率为0.3%。[2023/1/23 11:26:34]

3.1Methodology

Simplecorrelationanalysiswoulduseallthedatatocalculateonecorrelationcoefficientbetweenanytwovariables.Thisanalysisistogiveamacroviewoftherelationbetweenallthevariablesandservesasabenchmarkforthefollowinganalysis.3.2Correlations&Analysis

ThechartaboveshowsthesimplecorrelationcoefficientsbetweenBitcoinreturnsandothervariables.Therearethreeinterestingfactswefound:1.Althoughthecorrelationcoefficientsarelowingeneral,withahighof0.27andalowof-0.23,thecoefficientsarehigherincertainmarketreturnscategories.2.ThecorrelationbetweenBitcoinreturnsandinflationforallurbanconsumersisnear0,andthecorrelationwithinflationinfoodissignificantlyhigherat-0.23.ThisisagoodindicationthattheUSmoneysupplycausedinflation,andtheoversupplycoupledwithCovidencouragedalargenumberofindividualindicatorstopurchaseBTCduringtheCovidWFHperiod.3.Thecorrelationintheinterestratecategoryisallnegative,suggestingtheriskynatureofBitcoinreturns.ThiscouldbecausedbystronginterestmovesbytheFederalReservetocontrolinflation.4.CommoditymarketdoesnothaveanobviousrelationwithBitcoinreturns.4.AnnualCorrelationAnalysis

4.1Methodology

AnnualcorrelationanalysiswoulddivideeachvariableintodifferentnatureyearsandcalculatethecorrelationwithineachyeartofindaprogressionofrelationsbetweenBitcoinreturnsandothervariables.ThechangesincorrelationcoefficientswouldoffergoodinsightsintohowBitcoinreturnsprogressovertheyears.Wewouldalsocomparetheannualcorrelationwiththesimplecorrelationfromtheprevioussection.Andsincewearestillintheyear2022,wefurtherexaminedtheresultswithandwithoutdatafrom2022attheendofthesection.4.2Correlations&Analysis

Pantera Capital CEO：加密货币在美联储加息期间是存储财富的“最佳场所”:2月18日消息，区块链风投基金Pantera Capital的首席执行官兼创始人Dan Morehead表示，在美联储加息的潜在影响下，数字资产将是存储资本的“最佳场所”。股市和加密市场的投资者目前都在关注美联储可能采取的应对通胀的方向。截至本月，美国通胀率已突破7.5%。Morehead称：“我认为加密市场很快就会脱钩。投资者会想：随着美联储从地球上唯一的买家变成卖家，债券将会崩溃。利率上升将降低股票和房地产的吸引力。那么，当股票和债券都在下跌时，人们应该投资什么呢？（通常它们是负相关的）而区块链是一个非常合理的投资领域。”（Cointelegraph）[2022/2/18 10:00:28]

ThefigureaboveshowsthecorrelationevolutionbetweenBitcoinreturnsandmajormarketindexreturns.Asthefigureshows,thetrendvariesovertheyearsandisextremelyunstable.However,thecorrelationsareveryclosetoeachotheruntil2022.Thiscouldbeexplainedbythelackofdatain2022orthesignificantbearmarketorabadmacroeconomicenvironment.Whenwetakeacloselookatthisgraph,theupwardtrendisveryclear,especiallybefore2022.ThereisagrowingtiebetweenBitcoinreturnsandmajormarketindexes.Thereisanothercharacteristicofthisgraphwhencomparedtotheothers,isthatthelinesareverytighttogether.Thisiscausedbythehighcorrelationbetweenmarketindexes,around80%oftheequitymarketmovestogether.Thefigureaboveshowstheannualcorrelationbetweeninflationsandlabormarketstatistics.Somecleartrendscanbeobserved:1.ThecorrelationbetweeninflationandBitcoinreturnsisdroppingovertheyears,whiletheinflationinfoodandBitcoinreturnsareslowlygrowingties.ThismaysuggestthatBitcoinisgrowingawayfromitsdigitalgolddefinitionandbecomingmoreofariskyasset.2.ThecorrelationsbetweenBitcoinreturnsandlabormarketstatisticsareallrisingfrom2015to2021anddroppingsharplyin2022,especiallythecorrelationwiththeunemploymentrateofpeoplewithbachelor'sorhigherdegreesandagesover25.ThisfigureshowsthecorrelationtrendbetweenBitcoinreturnsandmoneysupply.Itisclearthatthecorrelationlevelsarerisingthrough2015and2021.Thecorrelationpeakedin2021andsoonturneddownin2022.Thedownturnin2022,couldbejustanadjustmentofanupwardtrend,likemanybefore.Oritissimplyduetothelackofdatain2022.ThistrendalsoshowsthatBitcoin'sbehaviorresemblesthatofariskyasset,withapositivecorrelationtomoneysupplies.Figure5showsthecorrelationbetweenBitcoinreturnsanddifferentinterestratelevels.SimilartoFigure2,thelinesareverytightandtrendinginthesamedownwarddirection.ThedownwardtrendofthefigureisveryclearandthisisinlinewithwhatwasfoundinpreviousfiguresthatBitcoinisbehavinglikeariskyassetratherthanarisklessone.Asimpleeconomicslessonhere.Whenthereistoomuchmoneyintheeconomy,theFederalReservewouldincreasetheinterestratetoreduceliquidity.Lessmoneyintheeconomywouldcauseriskyassets,likeequities,totank.Therefore,thecorrelationbetweentheequitymarketandinterestratelevelisnegative.WhenBitcoinisnegativelycorrelatedwithinterestratesandpositivelycorrelatedwiththeequitymarket,wecouldinferthatBitcoinisactinglikeariskyasset.4.3AnnualCorrelationSummary

美联储在固定利率逆回购中接纳了10873亿美元:8月13日消息，美联储在固定利率逆回购中接纳了10873亿美元，规模刷新历史新高。 （金十）[2021/8/13 1:52:10]

Theannualcorrelationcoefficientssummaryisasfollows:Asthetableabovesummarizes,thereareverycleartrendsbetweenBitcoinreturnsandmostofthevariables.However,allthetrendsshiftedin2022.Asmentioned,thiscouldbeexplainedbythelackofdata,sincethereareonly6monthsofdatainthesample.OrthestrongBearmarketistoblamefortheshift.Ingeneral,BitcoinisbehavingclosetoariskyassetwithagrowingcorrelationwiththeUSequitymarket.5.Bull&BearCorrelationAnalysis

5.1Methodology

Inthismethod,wewouldtrytocutthedatabybullandbearmarketconditions,andcalculatethecorrelationbetweentheBitcoinreturnsandothervariablesineachmarketcondition.Inthismethod,wewouldliketoexploretheinteractionsindifferentmarketconditions.SincethedefinitionofBullorBearmarketconditionisnotstrictlydefined,thedivisionofdataissubjectivetoourdefinitionsandtheconclusionissubjecttopersonalview.Ourdefinitionisasfollows:Bullmarket:whentheBTCreturnsareingeneralpositiveandrising.Bearmarket:whentheBTCreturnsareingeneralnegativeanddecreasing.Figure6showsthemonthlyreturnsofBitcoinforthepastfewyears,andwewilldividetheBullandBearmarketasfollows:5.2CorrelationsandAnalysis

Accordingtoourbullandbearmarketdivision,thecorrelationbetweenBitcoinreturnsandmarketindexesishigherinbullmarketsandlowerinbearmarkets.ThisfindingsuggeststhatBitcoinreturnsaremoreinsyncwithstockmarketreturnsduringbullrunsandlessinpaceduringbearmarkets.TheCorrelationbetweenmoneysupplyandBitcoinreturnsisnotuniform,suggestingthemoneybaseismorecloselyrelatedtoBitcoinreturnsthanM1andM2duringdifferentmarketconditions.Figure9showstheevolutionofBitcoinasanasset.Duringthefirstbullmarket,thepositivecorrelationsuggestsBitcoinismorelikearisklessasset.However,asBitcoinevolvesoverthemarketcondition,itisgainingtheattributeofariskyasset,ratherthanarisklessone.Aswementionedatthebeginningofthissection,thedefinitionofbullandbearmarketsisnotstrict.Wemadeourdefinitionsandbasedouranalysisonthem.Theresultsinthissectionarenottobeinferredasinvestmentsuggestions.6.BTCReturnsVolatilityComparisonAnalysis

郐冬：没有直接性证据证明美联储降息对比特币走势产生影响:加密分析师郐冬今日发微博称，很多投资者将美联储降息与比特币的走势，关联到了一起，但目前还没有直接性证据，能证明美联储降息对比特币走势产生至关影响。因为比特币是诞生于2009年初，它没有经历过08年的危机，所以没有较好的参照对象。一般来说，美联储降息对美股会有短期的支撑作用，能缓解当前股市投资者的信心，同时由于降息意味着货币宽松、通胀压力进一步扩大，因此对黄金来说也是短期的利好。但目前来看，比特币并没有受到降息的影响，而出现很明显的买入增量，这点可以从3月3日晚的走势可以直观看到。而在过去美联储的三次降息中(例如2019年)，比特币的价格并没有短期内获得回升，相反，它那会的回报率甚至是负数。因此，比特币与美联储降息还没有明显的关联，希望各位能理性思考。[2020/3/4]

6.1Methodology

Inthepreviousanalysis,wehaveestablishedthatBitcoinreturnsaregrowingmorepositivelycorrelatedwithmajorUSequitymarketindexes.Inthissection,wewillexplorethevolatilityofBitcoincomparedtotheUSequitymarketindexes.Wewillcalculatethestandarddeviationtoquantifyvolatilityforeachyear.Thehigherthestandarddeviationis,thegreaterthevolatilityis.6.2Volatility

Thefigureaboveshowsthevolatilitylevelsovertheyears.WecanclearlyseethatBitcoinvolatilitiesaresignificantlyhigherthanthatoftheequitymarkets.ThisisenoughtosaythatBitcoinisariskyassetwithhighvolatility.Anotherinterestingdiscoveryisthatequitymarketreturnsvolatilityisraisingfrom2017to2020,butBitcoinreturnsvolatilityisdropping.Combinedwiththegrowingcorrelation,thisisshowingsomelevelofconvergencebetweentheBitcoinmarketandthemajorUSequitymarket.7.Conclusion

Bitcoinandblockchaintechnology,withtheirgrowingimpactandtechnicalcapability,aregainingmoreandmoreattentionaroundtheworld,andBlackRockisjustthelatestofmany.Thisstudy,asmentionedinthebeginning,isasimplerecapofhowBitcoinhasevolvedintermsofrelationswiththemarketandeconomicvariablesovertheyears.Thereweremanyupsanddowns,andsowillthefuture.Whathasnotchangedisourfaithinthistechnologyanditsbrightfuture.Therearesomesimpleconclusionsthatwecandrawfromthisstudy:1.Bitcoinisgrowingmorecloselytoanequity-likeriskyassetwithahighpositivecorrelationwiththeequitymarketsandanegativecorrelationwithinterestrates.2.BitcoinreturnsaremoresensitivetomonetarybasechangesratherthanM1orM2.3.Bitcoinreturnsarenegativelycorrelatedtoinflationbutpositivelycorrelatedtoinflationinfood.4.Bitcoinreturnsaremorecloselyrelatedtoequitymarketsduringbullruns.5.BitcoinreturnsvolatilityissignificantlyhigherthanthatofthemajorUSequitymarketswhichmeansBitcoinisfarriskier.Disclaimer

*Thisarticlerepresentsonlytheviewsoftheobserversanddoesnotconstituteanyinvestmentsuggestions.*Gate.ioreservesallrightstothisarticle.RepostingofthearticlewillbepermittedprovidedGate.ioisreferenced.Inallothercases,legalactionwillbetakenduetocopyrightinfringement.GatewaytoCryptoTradeover1,400cryptocurrenciessafely,quicklyandeasilyonGate.ioSignuptoenterthecryptogatewayandget40%commissionfromreferralsDownloadiOS/AndroidApprightnow.Reachouttous!Twitter:https://twitter.com/gate_ioTelegram:https://t.me/gate_ioInstagram：https://www.instagram.com/gateioglobalMedium：https://medium.com/@gateioPodcast:https://gateio.buzzsprout.com/?ch=buzzsGate.ioTeamOctober20

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