本研究探討美國總體經濟宣告與聯邦公開市場委員會（Federal Open Market Committee， FOMC）宣告之意外 (surprise) 對比特幣期貨市場高頻價格發現之影響。研究樣本期間為 2018 年至 2025 年，採用 芝加哥商品交易所 (Chicago Mercantile Exchange， CME) 比特幣期貨的五分鐘高頻資料，依循高頻事件研究法與加權最小平方法（weighted least squares， WLS），分析總經宣告意外對比特幣報酬與波動之影響；同時結合 Jarociński (2024)所建構之四類貨幣政策衝擊，探討不同貨幣政策訊息對比特幣價格之影響。實證結果顯示，比特幣對通膨與就業相關資訊最為敏感，高於預期之 CPI、PPI、PCE 與非農就業數據普遍導致比特幣價格下跌，顯示市場主要透過折現率效果解讀總體經濟資訊。此外，比特幣市場存在明顯之短期過度反應與修正現象，市場約需 5 至 15 分鐘完成資訊吸收與重新定價。在貨幣政策方面，全樣本期間僅前瞻指引衝擊與資訊效果衝擊具有顯著影響；然而自 2021 年後，四類貨幣政策衝擊皆對比特幣價格產生顯著效果，其中緊縮性政策衝擊呈現負向影響，而資訊效果衝擊則呈現正向影響。整體而言，本研究發現比特幣已逐漸由過去相對獨立於總體經濟體系之外的資產，轉變為對貨幣政策與總體經濟資訊高度敏感之風險性資產，並為加密貨幣市場高頻價格發現與資產定價機制提供新的實證證據。;This study investigates the impact of U.S. macroeconomic announcements and Federal Open Market Committee (FOMC) monetary policy shocks on the high-frequency price discovery process of Bitcoin futures. The data are five-minute CME Bitcoin futures prices， covering the period from 2018 to 2025. Following the high-frequency event study framework and employing a Weighted Least Squares (WLS) approach， this study examines the effects of macroeconomic announcement surprises on Bitcoin returns and volatility. In addition， the study incorporates the four types of monetary policy shocks identified by Jarociński (2024) to explore how different dimensions of monetary policy information affect Bitcoin prices. The empirical results indicate that Bitcoin is particularly sensitive to inflation- and labor market-related information. Positive surprises in the Consumer Price Index (CPI)， Producer Price Index (PPI)， Personal Consumption Expenditures (PCE)， and Nonfarm Payrolls (NFP) generally lead to declines in Bitcoin prices， suggesting that market participants primarily interpret macroeconomic news through the discount rate channel. Furthermore， the Bitcoin market exhibits significant short-term overreaction and mean-reversion behavior， requiring approximately 5 to 15 minutes to fully absorb and incorporate new information into prices. Regarding monetary policy shocks， only forward guidance shocks and information shocks have significant effects during the full sample period. However， after 2021， all four types of monetary policy shocks become statistically significant. Contractionary monetary policy shocks exert a negative impact on Bitcoin returns， whereas information shocks generate a positive impact. Overall， the findings suggest that Bitcoin has gradually evolved from an asset relatively detached from the macroeconomic system into a risk-sensitive financial asset that responds strongly to monetary policy and macroeconomic information. This study provides new empirical evidence on high-frequency price discovery and asset pricing mechanisms in cryptocurrency markets.
