Macro factors in the returns on cryptocurrencies

17 Pages Posted: 2 Feb 2021 Last revised: 13 Apr 2021

See all articles by Kei Nakagawa

Kei Nakagawa

Nomura Asset Mamagement Co,Ltd

Ryuta Sakemoto

Okayama University; Keio University

Date Written: December 16, 2020


This study investigates the relationship between expected returns on cryptocurrencies and macroeconomic fundamentals.
We employ a dynamic factor model and summarize information as common factors.
We find that the common factors are strongly linked to the cryptocurrency expected returns at a quarterly frequency, while we do not observe this relationship using macroeconomic indicators such as inflation and money supply. This suggests that macroeconomic information matters in the longer term, which contrasts with the previous literature that explores a short-term relationship.

Keywords: Cryptocurrencies, Macroeconomic Factor, Factor Model

JEL Classification: G10, G11, G17

Suggested Citation

Nakagawa, Kei and Sakemoto, Ryuta, Macro factors in the returns on cryptocurrencies (December 16, 2020). Available at SSRN: or

Kei Nakagawa (Contact Author)

Nomura Asset Mamagement Co,Ltd ( email )

2-2-1, Toyosu
Koto-ku, Tokyo 135-0061

HOME PAGE: http://

Ryuta Sakemoto

Okayama University ( email )

1-1-1 Tsushimanaka, Kita Ward
Okayama, 700-0082

Keio University ( email )

2-15-45 Mita
Tokyo, 108-8345

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