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Displaying results 1 to 8 of 8.

  1. Bursting the bitcoin bubble
    assessing the fundamental value and social costs of bitcoin
    Author: Podhorsky, Andrea
    Published: [2019]
    Publisher:  Asian Development Bank Institute, Tokyo, Japan

    This paper develops a microeconomic model of bitcoin production to analyze the economic effects of the Bitcoin protocol. I view the bitcoin as a tradable commodity that is produced by miners and whose supply is managed by the protocol. The findings... more

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    DS 188
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    This paper develops a microeconomic model of bitcoin production to analyze the economic effects of the Bitcoin protocol. I view the bitcoin as a tradable commodity that is produced by miners and whose supply is managed by the protocol. The findings show that bitcoin's volatile price path and inefficiency are related, and that both are a consequence of the protocol's system of supply management. I characterize the fundamental value of a bitcoin and demonstrate that the return on bitcoin appreciates proportionally to the rate of increase in the level of difficulty. In the model, where the price of a bitcoin is based on marginal production costs, successive positive demand shocks result in a rapidly increasing price path that may be mistaken for a bubble. The generalized supremum augmented Dickey-Fuller (GSADF) test is used to demonstrate that the model is able to account for the explosive behavior in the bitcoin price path, providing strong evidence that bitcoin is not a bubble. I also show that the difficulty adjustment mechanism results in social welfare losses from 17 March 2014 to 13 January 2019 of $323.8 million, which is about 9.3% of the miners' total electricity costs during this time period.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/222701
    Series: ADBI working paper series ; no. 934 (March 2019)
    Subjects: bitcoin; digital coins; Bitcoin protocol; cryptocurrency; bitcoin bubble
    Scope: 1 Online-Ressource (circa 59 Seiten), Illustrationen
  2. Bitcoin and web search query dynamics
    is the price driving the hype or is the hype driving the price?
    Author: Süssmuth, Bernd
    Published: [2019]
    Publisher:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    Using a battery of timely multivariate time series techniques I study the Bitcoin cryptocurrency price series and web search queries with regard to their mutual predictability, Granger-causality and cause-effect delay structure. The Bitcoin is at... more

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    DS 63
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    Using a battery of timely multivariate time series techniques I study the Bitcoin cryptocurrency price series and web search queries with regard to their mutual predictability, Granger-causality and cause-effect delay structure. The Bitcoin is at first treated as a general currency, then as a generic asset. Google queries, although cointegrated, are found to be not helpful in predicting the USD exchange rate of Bitcoin as the speculative bubble in the latter antedates explosive behavior in the former. Chinese Baidu engine queries and compounded Baidu-Google queries predict Bitcoin price dynamics at relatively high frequencies ranging from two to five months. In the other direction, causality runs from the cryptocurrency price to queries statistics across nearly all frequencies. In both directions, the reaction time computed from a phase delay measure for the relevant frequency bands with significant causality ranges from slightly more than one month to about four months.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/201901
    Series: Array ; no. 7675 (May 2019)
    Subjects: bitcoin; bubbles; frequency domain; causality
    Scope: 1 Online-Ressource (circa 37 Seiten), Illustrationen
  3. Quantifying endogeneity of cryptocurrency markets
    Author: Mark, Michael; Sila, Jan; Weber, Thomas A.
    Published: [2019]
    Publisher:  Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague, Prague

    In this paper we construct a "reflexivity" index for Bitcoin crypto currency that measures the amount of activity generated endogenously within the market. For this purpose we fit a univariate self-exciting Hawkes process with two-classes of... more

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    DS 167
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    In this paper we construct a "reflexivity" index for Bitcoin crypto currency that measures the amount of activity generated endogenously within the market. For this purpose we fit a univariate self-exciting Hawkes process with two-classes of parametric kernels to high-frequency trade data that allows for a parsimonious representation of endogenous-exogenous dynamics.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/228070
    Series: IES working paper ; 2019, 29
    Subjects: Hawkes process; endogeneity; branching ratio; maximum-likelihood estimation; cryptocurrencies; bitcoin
    Scope: 1 Online-Ressource (circa 20 Seiten), Illustrationen
  4. Beyond the doomsday economics of "proof-of-work" in cryptocurrencies
    Author: Auer, Raphael A.
    Published: January 2019
    Publisher:  Bank for International Settlements, Monetary and Economic Department, [Basel]

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 546
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: BIS working papers ; no 765
    Subjects: Cryptocurrencies; cryptoassets; digital currencies; blockchain; proof-of-work; proof-of-stake; distributed ledger technology; consensus; bitcoin; ethereum; money; digitalisation; finance; history of money
    Scope: 1 Online-Ressource (circa 31 Seiten), Illustrationen
    Notes:

    An earlier version of this paper was titled "The mechanics of decentralised trust in Bitcoin and the blockchain"
  5. Market structure in Bitcoin mining
    Author: Ma, June; Gans, Joshua; Tourky, Rabee
    Published: [2019]
    Publisher:  SSRN, [S.l.]

    We analyze the Bitcoin protocol for electronic peer-to-peer payments and the operations that support the "blockchain" that underpins it. It is shown that the protocol maps formally into a dynamic game that is an extension of standard models of R&D... more

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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    We analyze the Bitcoin protocol for electronic peer-to-peer payments and the operations that support the "blockchain" that underpins it. It is shown that the protocol maps formally into a dynamic game that is an extension of standard models of R&D racing. The model provides a technical foundation for any economic analysis of 'proof-of-work' protocols. Using the model, we demonstrate that free entry is solely responsible for determining resource usage by the system for a given reward to mining. The endogenous level of computational difficulty built into the Bitcoin protocol does not mitigate this usage and serves only to determine the time taken to process transactions. Regulating market structure will mitigate resource use highlighting the importance of identifying the benefits of competition for the operation of the blockchain

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    Series: Rotman School of Management working paper ; no. 3103104
    Subjects: Virtuelle Währung; Share Economy; Forschung; Markteintritt; Wettbewerb; Regulierung; Blockchain; bitcoin; blockchain; racing; mining; competition; free entry
    Scope: 1 Online-Ressource (circa 22 Seiten), Illustrationen
  6. Bitcoin: a solution for payment systems or a solution in search of a problem?
    Author: Conesa, Carlos
    Published: 2019
    Publisher:  Banco de España, Madrid

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 513
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Documentos ocasionales / Banco de España ; no. 1901
    Subjects: blockchain; hash function; bitcoin; cryptoassets; cryptography; innovation; technology
    Scope: 1 Online-Ressource (circa 33 Seiten), Illustrationen
  7. Beyond the doomsday economics of "proof-of-work" in cryptocurrencies
    Author: Auer, Raphael A.
    Published: 04 February 2019
    Publisher:  Centre for Economic Policy Research, London

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    LZ 161
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    Location:
    Universitätsbibliothek Mannheim
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; DP13506
    Subjects: cryptocurrencies; crypto-assets; digital currencies; blockchain; proof-of-work; proof-of-stake; distributed ledger technology; consensus; bitcoin; ethereum; money; digitalisation; inance; history of money
    Scope: 1 Online-Ressource (circa 31 Seiten), Illustrationen
  8. Another look at cryptocurrency bubbles
    Author: Gronwald, Marc
    Published: [2019]
    Publisher:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    This paper deals with cryptocurrency bubbles. First, it points out that a number of recent papers on cryptocurrency bubbles are awed due to an insufficient consideration of the fundamental value of cryptocurrencies. As even fiat money is said to... more

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 63
    Inter-library loan:
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    This paper deals with cryptocurrency bubbles. First, it points out that a number of recent papers on cryptocurrency bubbles are awed due to an insufficient consideration of the fundamental value of cryptocurrencies. As even fiat money is said to exhibit features of bubbles, the same applies to cryptocurrencies. Thus, any empirical investigation into either the presence of cryptocurrency bubbles or the fundamental value of cryptocurrencies is needless. Second, the paper conducts a short empirical analysis into the relationship of the prices of Etherum and Bitcoin. Evidence of explosive periods is found in the price of Etherum even if this price is expressed in terms of Bitcoin rather than US Dollars. These periods, however, are found to be in the first half of 2016 and 2017, respectively, but not during the price peak period of Bitcoin witnessed end of 2017 and beginning of 2018.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/201969
    Series: Array ; no. 7743 (July 2019)
    Subjects: cryptocurrencies; bubbles; bitcoin; Etherum; fundamental value; intrinsic value; fiatmoney
    Scope: 1 Online-Ressource (circa 15 Seiten), Illustrationen