3 ms·

If by "pretty well" you mean "not at all"... https://ibb.co/z7vgwSd https://ibb.co/z7vgwSd https://ibb.co/Zhqzdxk https://ibb.co/Zhqzdxk

rmrfstar 6y ago
To my eye, it looks like there is a plausible argument that BTC price innovations have a positive loading on Fed balance sheet growth. Can you link raw data? At this point, the marginal buyer is a leveraged investment firm. So, the hypothesis is not a crazy one.
- microtherion 6y ago
  I'm afraid I don't have the raw data.
  - deleted 6y ago
    [deleted]
  - rmrfstar 6y ago
    Both are FRED series (CBBTCUSD and WALCL). Rolling one year correlations of one week deltas: 0.3 +-+----+------+------+------+------+-----+------+------+------+----+-+ + + + + + A + + + + + | A AA | 0.2 +-+ AA AAAAAAA+ | AAA AA AAA AA | 0.1 +-+ AAAAA AA AA A A +-+ | AAAAA AAA A AA | | AA A | 0 +-+ A AA AA AAA +-+ | A AA A | | A AA AAA A | -0.1 +A+ AAA AA A A +-+ |AAA A AAAAA AAAA | |A A A | -0.2 A-+ AAAAA A AAA AA +-+ A AA AA AAAAA | -0.3 +-+ AA +-+ | A | + + + + + + + + + + + -0.4 +-+----+------+------+------+------+-----+------+------+------+----+-+ 2017/1/1 2018/11/25 2020/10/11
    - microtherion 6y ago
      So ELI5 what I am seeing here. Aren't those correlations all over the place?
      - rmrfstar 6y ago
        Yup, that's my takeaway. You see the same thing when you use future Fed moves as well (which is one way of checking that this graph isn't missing out on some announcement effect, as assets lag announcements).

rmrfstar 6y ago

To my eye, it looks like there is a plausible argument that BTC price innovations have a positive loading on Fed balance sheet growth. Can you link raw data? At this point, the marginal buyer is a leveraged investment firm. So, the hypothesis is not a crazy one.

microtherion 6y ago
I'm afraid I don't have the raw data.
- deleted 6y ago
  [deleted]
- rmrfstar 6y ago
  Both are FRED series (CBBTCUSD and WALCL). Rolling one year correlations of one week deltas: 0.3 +-+----+------+------+------+------+-----+------+------+------+----+-+ + + + + + A + + + + + | A AA | 0.2 +-+ AA AAAAAAA+ | AAA AA AAA AA | 0.1 +-+ AAAAA AA AA A A +-+ | AAAAA AAA A AA | | AA A | 0 +-+ A AA AA AAA +-+ | A AA A | | A AA AAA A | -0.1 +A+ AAA AA A A +-+ |AAA A AAAAA AAAA | |A A A | -0.2 A-+ AAAAA A AAA AA +-+ A AA AA AAAAA | -0.3 +-+ AA +-+ | A | + + + + + + + + + + + -0.4 +-+----+------+------+------+------+-----+------+------+------+----+-+ 2017/1/1 2018/11/25 2020/10/11
  - microtherion 6y ago
    So ELI5 what I am seeing here. Aren't those correlations all over the place?
    - rmrfstar 6y ago
      Yup, that's my takeaway. You see the same thing when you use future Fed moves as well (which is one way of checking that this graph isn't missing out on some announcement effect, as assets lag announcements).