Does ETF Institutionalization Change Macro-Financial Risk Transmission in Digital Assets? Evidence from Ethereum

Abstract

We examine whether the institutionalization of digital assets through regulated exchange-traded funds changes the transmission of macro-financial risk. Using daily data from January 2019 to March 2026, we study the launch of the spot Ethereum exchange-traded fund on 23 July 2024 as a dated institutional event and test whether Ethereum’s response to United States inflation surprises changed after the introduction of regulated ETF access. A triple-difference design shows that the interaction between headline Consumer Price Index surprises and lagged Ethereum network activity reverses sign around the ETF launch. Before the ETF, the interaction is small and positive (+0.06, p = 0.04), indicating that a more active network amplified Ethereum’s directional response to inflation news. After the ETF, the interaction becomes large and negative (-0.25, p