The Technology and Economic Determinants of Cryptocurrency Exchange Rates: The Case of Bitcoin
The Technology and Economic Determinants of Cryptocurrency Exchange Rates: The Case of Bitcoin
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DOI：
10.2139/ssrn.2515233
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发表时间：
2014-10
期刊：
影响因子：
--
通讯作者：
Xin Li;C. Wang
中科院分区：
文献类型：
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作者：
Xin Li;C. Wang
比特币等加密货币引发了激烈的讨论。尽管受到了广泛的公众关注，但关于基于区块链的加密货币的价值，理论理解是有限的，正如它们对传统货币的汇率所表达的那样。在本文中，我们对比特币汇率（对美元）的决定进行了理论驱动的实证研究，同时考虑了技术和经济因素。为了解决平稳和非平稳时间序列混合中的协整问题，我们在估计中使用带有边界检验方法的自回归分布滞后（ARDL）模型。同时，为了检测潜在的结构性变化，我们在Mt. Gox（最大的比特币交易市场之一）关闭的两个时期估计我们的经验模型。根据我们的分析，在短期内，比特币汇率会随着经济基本面和市场状况的变化而调整。Mt. Gox收盘后，比特币长期汇率对经济基本面更为敏感，对技术因素的敏感性较低。我们还确定了挖矿技术的重大影响，以及挖矿难度在比特币交易所价格确定中的重要性正在下降。我们从理论上讨论了比特币汇率的技术和经济决定因素。我们使用带有边界检验的ARDL模型来解决平稳和非平稳时间序列混合的协整问题。我们发现比特币汇率更多地与经济基本面相关，而随着比特币的发展，与技术因素的关系更小。我们发现随着技术的进步，计算能力对比特币的影响正在减少
Cryptocurrencies, such as Bitcoin, have ignited intense discussions. Despite receiving extensive public attention, theoretical understanding is limited regarding the value of blockchain-based cryptocurrencies, as expressed in their exchange rates against traditional currencies. In this paper, we conduct a theory-driven empirical study of the Bitcoin exchange rate (against USD) determination, taking into consideration both technology and economic factors. To address co-integration in a mix of stationary and non-stationary time series, we use the autoregressive distributed lag (ARDL) model with a bounds test approach in the estimation. Meanwhile, to detect potential structural changes, we estimate our empirical model on two periods separated by the closure of Mt. Gox (one of the largest Bitcoin exchange markets). According to our analysis, in the short term, the Bitcoin exchange rate adjusts to changes in economic fundamentals and market conditions. The long-term Bitcoin exchange rate is more sensitive to economic fundamentals and less sensitive to technological factors after Mt. Gox closed. We also identify a significant impact of mining technology and a decreasing significance of mining difficulty in the Bitcoin exchange price determination. We theoretically discuss the technology and economic determinants of the Bitcoin exchange rateWe use the ARDL model with bounds test to address co-integration of a mix of stationary and non-stationary time seriesWe find Bitcoin exchange rate relates more with economic fundamentals and less with technology factors as Bitcoin evolvesWe find the impact of computational capacities on Bitcoin is decreasing as technology progresses