Date of Award

4-2026

Document Type

Thesis

Degree Name

Bachelors

Department

Social Sciences

First Advisor

Khemraj, Tarron

Area of Concentration

Economics

Abstract

This thesis investigates whether Bitcoin behaves as a hedge or a risk asset in Brazil under domestic and global monetary policy shocks. Using monthly data from 2016 to 2024, the analysis examines the relationship between Bitcoin returns (in BRL), the USD/BRL exchange rate, the Brazilian Selic rate, and the U.S. Federal Funds Rate. To account for volatility clustering and time-varying risk commonly observed in cryptocurrency markets, the study employs a GARCH(1,1) framework to model both conditional returns and volatility. The results provide evidence on whether Bitcoin in Brazil responds positively to currency depreciation, consistent with a hedge against exchange- rate risk, or whether it behaves primarily as a liquidity-sensitive speculative asset affected by monetary tightening. By explicitly incorporating domestic monetary policy, global monetary shocks, and exchange-rate movements into both return and volatility equations, this thesis provides a structured framework for evaluating Bitcoin's macro financial role in an emerging-market context, contributing to the growing literature on digital assets and macro-financial transmission mechanisms.

Rights

The author has granted New College of Florida the nonexclusive right to archive, make accessible, and distribute for educational purposes this work in whole or in part in all forms of media, now or hereafter known. The copyright of this work remains with the author.

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