Is the Bitcoin price dynamics economically reasonable? Evidence from fundamental laws

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F19%3A10401527" target="_blank" >RIV/00216208:11230/19:10401527 - isvavai.cz</a>

Výsledek na webu

<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=5ok5Q0ngPL" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=5ok5Q0ngPL</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1016/j.physa.2019.04.109" target="_blank" >10.1016/j.physa.2019.04.109</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Is the Bitcoin price dynamics economically reasonable? Evidence from fundamental laws

Popis výsledku v původním jazyce

Dynamics of the Bitcoin price as the most prominent cryptocurrency is studied in the light of two fundamental economic laws - the Law of One Price and the Equation of Exchange. Utilizing the unprecedented data availability of Bitcoin statistics, we are able to construct a theoretical exchange rate base of the cryptocurrency with respect to the US dollar. Through the concept of statistical equilibrium verified by the cointegration relationship, we show several interesting points. First, the Bitcoin price dynamics is very well captured by the underlying transaction data which leads to a strong fundamental basis of the cryptocurrency. Second, several historical bubbles hit the confidence intervals around the fundamental price but then start their correction back to the equilibrium. Third, the fundamental price implied by the transaction data is not ever-increasing but reflects the ups and downs of Bitcoin utility in transactions. And fourth, our theory-implied fundamental price suggests that the current (December 2018) Bitcoin price is very close to its fundamental price estimated at around $3,500.

Název v anglickém jazyce

Is the Bitcoin price dynamics economically reasonable? Evidence from fundamental laws

Popis výsledku anglicky

Dynamics of the Bitcoin price as the most prominent cryptocurrency is studied in the light of two fundamental economic laws - the Law of One Price and the Equation of Exchange. Utilizing the unprecedented data availability of Bitcoin statistics, we are able to construct a theoretical exchange rate base of the cryptocurrency with respect to the US dollar. Through the concept of statistical equilibrium verified by the cointegration relationship, we show several interesting points. First, the Bitcoin price dynamics is very well captured by the underlying transaction data which leads to a strong fundamental basis of the cryptocurrency. Second, several historical bubbles hit the confidence intervals around the fundamental price but then start their correction back to the equilibrium. Third, the fundamental price implied by the transaction data is not ever-increasing but reflects the ups and downs of Bitcoin utility in transactions. And fourth, our theory-implied fundamental price suggests that the current (December 2018) Bitcoin price is very close to its fundamental price estimated at around $3,500.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50201 - Economic Theory

Projekt

—

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2019

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Physica A: Statistical Mechanics and its Applications

ISSN

0378-4371

e-ISSN

—

Svazek periodika

536

Číslo periodika v rámci svazku

December

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

7

Strana od-do

1-7

Kód UT WoS článku

000500034900031

EID výsledku v databázi Scopus

2-s2.0-85066989719