Is Bitcoin A Hedge Against Central Banking? Evidence from AI-Driven Monetary Policy Expectations
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arXiv
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| Main Authors: | , , , , |
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| Format: | Preprint |
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2026
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| _version_ | 1866913020930686976 |
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| author | Nicolas, Maxime L. D. Sicard, François Laboure, Marion Sun, Zixin Rodríguez-Martínez, Anahí |
| author_facet | Nicolas, Maxime L. D. Sicard, François Laboure, Marion Sun, Zixin Rodríguez-Martínez, Anahí |
| contents | This study investigates the transmission of monetary policy narratives to Bitcoin prices, distinguishing the impact of ex-ante expectations from ex-post interest rate implementation. We introduce a high-frequency Monetary Policy Expectations (MPE) index, using a Large Language Model (LLM)-based classification of 118,000+ market messages to achieve a precise hawkish/dovish decomposition. Results from a framework combining Long Short-Term Memory (LSTM) networks with SHapley Additive exPlanations (SHAP) indicate that Bitcoin functions as a sensitive barometer of central bank signaling; specifically, hawkish narratives consistently trigger negative price responses independently of actual Federal Funds Rate adjustments. We demonstrate that the MPE index Granger-causes Bitcoin returns at short-to-medium horizons, establishing linear predictive causality, while the LSTM-SHAP framework reveals pronounced non-linear, macroeconomic regime-dependent interactions. These findings highlight Bitcoin's structural sensitivity to global monetary discourse, establishing LLM-derived sentiment as a potent leading macroeconomic indicator for the digital asset landscape. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2604_08825 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | Is Bitcoin A Hedge Against Central Banking? Evidence from AI-Driven Monetary Policy Expectations Nicolas, Maxime L. D. Sicard, François Laboure, Marion Sun, Zixin Rodríguez-Martínez, Anahí General Economics Economics This study investigates the transmission of monetary policy narratives to Bitcoin prices, distinguishing the impact of ex-ante expectations from ex-post interest rate implementation. We introduce a high-frequency Monetary Policy Expectations (MPE) index, using a Large Language Model (LLM)-based classification of 118,000+ market messages to achieve a precise hawkish/dovish decomposition. Results from a framework combining Long Short-Term Memory (LSTM) networks with SHapley Additive exPlanations (SHAP) indicate that Bitcoin functions as a sensitive barometer of central bank signaling; specifically, hawkish narratives consistently trigger negative price responses independently of actual Federal Funds Rate adjustments. We demonstrate that the MPE index Granger-causes Bitcoin returns at short-to-medium horizons, establishing linear predictive causality, while the LSTM-SHAP framework reveals pronounced non-linear, macroeconomic regime-dependent interactions. These findings highlight Bitcoin's structural sensitivity to global monetary discourse, establishing LLM-derived sentiment as a potent leading macroeconomic indicator for the digital asset landscape. |
| title | Is Bitcoin A Hedge Against Central Banking? Evidence from AI-Driven Monetary Policy Expectations |
| topic | General Economics Economics |
| url | https://arxiv.org/abs/2604.08825 |