Crytocurrency Valuation – An Asset Pricing Perspective

比特币是第一种加密货币，最初被设计为一种电子现金形式，可以在没有金融机构中介的情况下进行在线支付。虽然比特币和其他加密货币仍然服务于这一目的，但它们现在被广泛认为是金融资产，被视为投资或投机目的。全球最大的两家衍生品交易所芝加哥商品交易所（CME）和芝加哥期权交易所（Cboe）交易比特币期货，一些作者认为加密货币是一种新的资产类别。尽管加密货币越来越受欢迎，但人们并没有很好地理解它们。为什么有人愿意支付五位数的美元来购买代表一个虚拟货币单位的数据？为什么没有大宗商品支持的私人资金有价值呢？我们只是见证了一个巨大的泡沫，还是现代加密货币依赖于独特的设计特征来证明至少部分需求是合理的——例如，诱导高度伪造安全性的加密技术，或者设置加密货币供应上限的协议，作为不发行过多虚拟货币的承诺装置？这些设计特性是重要的价值驱动因素吗？还有什么可以解释加密货币的价值和波动性？虽然在技术层面上，从计算机科学和法律的角度广泛讨论了加密货币和底层区块链（或分布式账本）技术的独特特征，但缺乏经济学研究来回答上述问题。因此，我们试图从经济和金融的角度加深对加密货币的理解。更具体地说：我们希望开发一个经济模型，从经济原语解释为什么加密货币具有非零值，并了解加密货币的各种设计特征中哪些会影响其价值。有三个子目标指定了最重要的问题：(1)我们希望对加密货币的独特设计特征提供概述和基本理解，并确定与加密货币的定价和风险状况相关的特征。在这一点上，我们将依靠文献综述和自己对交易的各种加密货币的探索性实证分析。(2)我们计划开发一个经济模型，该模型允许正式分析步骤1中确定的对加密货币价值和波动性最重要的设计特征的影响。在这种建模方法中，我们打算考虑两个主要的代理群体，消费者和矿工，以及他们的群体间动态，以得出价格影响。(3)我们试图利用不同加密货币之间的横截面变化来实证评估我们的模型预测的相关性。预期的结果不仅从理论角度来看是新颖的，而且与正在进行的关于加密货币的优点和危险的公开辩论高度相关。

Bitcoin, the first cryptocurrency, was originally designed to be a form of electronic cash that enables online payment without intermediation by financial institutions. While Bitcoin and other cryptocurrencies still serve that purpose, they are nowadays widely considered as financial assets and are held as investments or for speculative purposes. The CME and the Cboe, two of the world's largest derivatives exchanges, trade Bitcoin futures, and some authors consider cryptocurrencies a new asset class. Despite their growing popularity cryptocurrencies are not well understood. Why is someone ready to pay a five-digit dollar amount for a piece of data representing a unit of virtual cash? Why is private money without commodity backing valuable at all? Are we simply witnessing an enormous bubble or do modern cryptocurrencies rely on unique design features that justify at least part of the demand - for instance, the cryptographic techniques inducing a high degree of counterfeit safety or the protocols that set an upper bound on cryptocurrency supply acting as commitment device not to issue too much virtual money? Are such design features crucial value drivers? What else explains a cryptocurrency’s value and volatility? Although, at a technical level, the unique features of cryptocurrencies and the underlying blockchain (or distributed ledger) technology have been extensively discussed from a computer science and a legal perspective, there is a lack of economic research to answer the questions above. We therefore seek to deepen the understanding of cryptocurrencies from an economic and finance perspective. More specifically: We want to develop an economic model that explains, from economic primitives, why cryptocurrencies have a non-zero value at all and understand which of the various design features of cryptocurrencies affect their value. There are three sub-goals that specify the overriding question: (1) We want to provide an overview and basic understanding of the unique design features of a cryptocurrency and to identify those that are relevant for the pricing and risk profile of cryptocurrencies. At this point, we will rely on both a literature review and an own exploratory empirical analysis of the variety of cryptocurrencies traded. (2) We plan to develop an economic model that allows to formally analyze the effects of those design features that are identified in step 1 as most important for a cryptocurrency’s value and volatility. Within this modelling approach, we intend to consider two main agent groups, the consumers and the miners, and their intergroup dynamics to derive price implications. (3) We seek to empirically assess the relevance of our model predictions using the cross-sectional variation between different cryptocurrencies.The expected outcomes are not only novel from a theoretical perspective, but also highly relevant for informing the ongoing public debate on the merits and dangers of cryptocurrencies.