Uniswap Labs paper: Crypto asset price increases since 2023 have no bearing on stock market context

Odaily News Recently, researchers from Uniswap Labs, Copenhagen Business School and Circle published a paper titled A Study on the Drivers of Crypto Asset Prices. The article uses a structural vector autoregression model to study the factors that affect cryptocurrency returns. The model uses the common movement of asset prices to identify the impact of monetary policy and risk sentiment in the conventional market on crypto asset prices. Specifically, the researchers decomposed daily Bitcoin returns into three factors reflecting conventional risk premiums, monetary policy, and crypto-specific shocks. By leveraging the common movement of Bitcoin and stablecoin market capitalization, the shocks to specific cryptocurrencies are further decomposed into changes in crypto risk premiums and cryptocurrency adoption levels. The analysis shows that crypto asset prices are significantly affected by conventional risk and monetary policy factors. It is worth noting that during the decline of the crypto market in 2022, the factors of tightening monetary policy accounted for more than two-thirds. In contrast, since 2023, the compression of crypto risk premiums has been the main driver of cryptocurrency returns, regardless of the active stock market background.