Net liquidity vs Bitcoin: historical tests
Study nl_study_v1 · computed 2026-10-20 · sample 2015-01-14 to 2026-10-14 (605 weekly observations)
Over non-overlapping 13-week windows, the correlation between the change in Fed net liquidity and the Bitcoin log return was 0.03 (95% interval -0.26 to 0.32, n = 46). A relationship measured over the same window does not show that liquidity leads prices; the lead tests below check that separately.
USD billions · Wednesday levels · snapshot of 2026-10-14 · Bitcoin on right axis (close on or up to 3 days before each Wednesday)
Contribution to change
| Component | Last week | Selected range |
|---|---|---|
| Fed assets | +8.1bn | −1,246.4bn |
| TGA (subtracted) | 0.0bn | −213.7bn |
| ON RRP (subtracted) | +2.1bn | +1,442.6bn |
| Net liquidity | +10.2bn | −17.5bn |
Last week: 2026-10-07 → 2026-10-14. Range: 2023-09-27 → 2026-10-14.
Scenario from 2026-10-14
Net liquidity $5,869.6bn → $5,869.6bn (0.0bn)
Holding other inputs constant. This is arithmetic on the proxy, not an asset-price forecast.
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Underlying indicator · Net liquidity methodology
Results
| Test | Full r (95% CI) | n | Before 2023-01-01 | Held out (from 2023-01-01) | Same sign |
|---|---|---|---|---|---|
| 4-week same window | 0.10 (-0.06 to 0.26) | 151 | 0.11 (n 102) | 0.03 (-0.25 to 0.31, n 48) | 58% |
| 4-week liquidity change → next return | 0.06 (-0.10 to 0.22) | 150 | 0.07 (n 101) | 0.03 (-0.26 to 0.32, n 47) | 53% |
| 13-week same window | 0.03 (-0.26 to 0.32) | 46 | 0.03 (n 31) | 0.00 (-0.53 to 0.53, n 14) | 57% |
| 13-week liquidity change → next return | 0.17 (-0.13 to 0.44) | 45 | 0.15 (n 30) | 0.32 (-0.28 to 0.74, n 13) | 62% |
Where the relationship failed
Largest 13-week windows where net liquidity and Bitcoin moved in opposite directions:
| Window | Δ net liquidity | Bitcoin return |
|---|---|---|
| 2015-10-14 → 2016-01-20 | −293.5bn | 65.3% |
| 2024-08-21 → 2024-11-20 | −115.8bn | 60.9% |
| 2019-01-30 → 2019-05-01 | −106.4bn | 54.8% |
| 2016-04-20 → 2016-07-20 | −46.2bn | 50.6% |
| 2022-11-16 → 2023-02-15 | −121.3bn | 46.1% |
Design
- Net liquidity: Wednesday WALCL − WDTGAL − RRPONTSYD (USD millions, exact same-date alignment).
- Bitcoin: FRED CBBTCUSD close on the Wednesday, or the latest close up to 3 days earlier.
- Horizons fixed in advance at 4 and 13 weeks. No lag search was run; no lag is presented as a trading rule.
- Inference uses non-overlapping windows only. Intervals are Fisher-z 95%; with few windows they are wide.
- Held-out period fixed at 2023-01-01 and not tuned.
- Rolling 52-week correlations of weekly changes (553 points) are descriptive only: they overlap and are not used for inference. Latest: -0.04.