NBER-通货膨胀预期与加密货币投资

NBER WORKING PAPER SERIESINFLATION EXPECTATION AND CRYPTOCURRENCY INVESTMENTLin William CongPulak GhoshJiasun LiQihong RuanWorking Paper 32945http://www.nber.org/papers/w32945NATIONAL BUREAU OF ECONOMIC RESEARCH1050 Massachusetts AvenueCambridge, MA 02138September 2024Qihong Ruan also acknowledges support from Cornell FinTech Initiative, Digital Economy and Financial Technology (DEFT) Lab, and Ripple's University Blockchain Research Initiative (UBRI). The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.NBER working papers are circulated for discussion and comment purposes. They have not been peer-reviewed or been subject to the review by the NBER Board of Directors that accompanies official NBER publications.© 2024 by Lin William Cong, Pulak Ghosh, Jiasun Li, and Qihong Ruan. All rights reserved. Short sections of text, not to exceed two paragraphs, may be quoted without explicit permission provided that full credit, including © notice, is given to the source.Inflation Expectation and Cryptocurrency InvestmentLin William Cong, Pulak Ghosh, Jiasun Li, and Qihong RuanNBER Working Paper No. 32945September 2024JEL No. G0ABSTRACTUsing proprietary data from the predominant cryptocurrency exchange in India together with the country's Household Inflation Expectations Survey, we document a significantly positive association between inflation expectations and individual cryptocurrency purchases. Higher inflation expectations are also associated with more new investors in cryptocurrencies. We investigate investment heterogeneity in multiple dimensions, and find the effect to be concentrated in Bitcoin (BTC) and Tether (USDT) trading. The results are robust after controlling for speculative demand captured by surveys of investors' expected cryptocurrency returns, and admit causal interpretations as confirmed using multiple instrumental variables. Our findings provide direct evidence that households already adopt cryptocurrencies for inflation hedging, which in turn rationalizes their high adoption in developing countries without a globally dominant currency.Lin William CongSC Johnson College of BusinessCornell UniversitySage HallIthaca, NY 14853and NBERwill.cong@cornell.eduPulak GhoshIndian Institute of Management Bangalore Bannerghatta Road Bangalore, Karnataka 560076 Indiapulak.ghosh@iimb.ac.inJiasun LiGeorge Mason University 4400 University Drive MSN 1B8Fairfax, VA 22030 jli29@gmu.eduQihong RuanCornell University Department of Economicsqr33@cornell.edu1IntroductionA fundamental question in cryptocurrency research examines the origins of global demandfor cryptocurrencies (e.g., Weber, Candia, Coibion, and Gorodnichenko, 2023). Answers tothis question help us better appreciate why some digital assets without fiat backing or under-lying cash flows ever accrue value. Over the years, the literature has developed a myriad ofpossible explanations for cryptocurrency demands, yet