Analysis on the influence factors of Bitcoin’s price based on VEC model
Tóm tắt
Bitcoin, the most innovate digital currency as of now, created since 2008, even through experienced its ups and downs, still keeps drawing attentions to all parts of society. It relies on peer-to-peer network, achieved decentralization, anonymous and transparent. As the most representative digital currency, people curious to study how Bitcoin’ price changes in the past. In this paper, we use monthly data from 2011 to 2016 to build a VEC model to exam how economic factors such as Custom price index, US dollar index, Dow jones industry average, Federal Funds Rate and gold price influence Bitcoin price. From empirical analysis we find that all these variables do have a long-term influence. US dollar index is the biggest influence on Bitcoin price while gold price influence the least. From our result, we conclude that for now Bitcoin can be treated as a speculative asset, however, it is far from being a proper credit currency.
Tài liệu tham khảo
Anwar S, Ghulam S, Zakir H (2011) Relationship between Financial Sector Development and Sustainable Economic Development: Time Series Analysis from Pakistan. International Journal of Economics and Finance, 3(1):262
Barber S, Boyen X, Shi E, et al. (2012) Bitter to better—how to make bitcoin a better currency[C]//International Conference on Financial Cryptography and Data Security. Springer Berlin Heidelberg, p 399–414
Bergstra J A, Weijland P (2014) Bitcoin: a Money-like Informational Commodity[J]. Eprint Arxiv
Cheah ET, Fry J (2015) Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin. Econ Lett 130:32–36
Cusumano MA (2014) The Bitcoin ecosystem. Commun ACM 57(10):22–24
Dyhrberg AH (2015) Bitcoin, gold and the dollar–A GARCH volatility analysis. Finance Res Lett
Dyhrberg AH (2015b) Hedging capabilities of bitcoin. Is it the virtual gold? Finance Res Lett 16:139–144
Dyhrberg AH (2016) Bitcoin, gold and the dollar – A GARCH volatility analysis. Finance Res Lett 16:85–92
Grinberg RB (2011) Bitcoin: An Innovative Alternative Digital Currency. Hastings Science & Technology Law Journal, Vol. 4, p 160. Available at SSRN: https://ssrn.com/abstract=1817857
Herrerias MJ (2010) The causal relationship between equipment investment and infrastructures on economic growth in China[J]. Frontiers of Economics in China, 5(4):509–526
Ho SY, Odhiambo NM. (2013) Banking sector development and economic growth in Hong Kong: an empirical investigation [J]. The International Business & Economics Research Journal (Online), 12(5):519
Jia L (2013) Bitcoin: theory, practice and influences. Stud Int Financ 12:14–25
Krugman P. (2011) Golden cyberfetters [J]. The New York Times, 7
Lawrence C (2003) Why is gold different from other assets? An empirical investigation [J]. London
Nakamoto S (2008) Bitcoin: a peer-to-peer electronic cash system
Sims CA (1980) Macroeconomics and reality. Econometrica 1–48
Smith G (2001) The price of gold and stock price indices for the United States. The World Gold Council 8:1–16
Šurda P, The Origin, Classification and Utility of Bitcoin (May 14, 2014). Available at SSRN: https://ssrn.com/abstract=2436823 or http://dx.doi.org/10.2139/ssrn.2436823
World Gold Council (2002) Managing portfolio risk with gold., http://www.gold.org
Wu C, Pandey V (2014) The value of Bitcoin in enhancing the efficiency of an investor’s portfolio. J Financ Plann 27:44–52
Yelowitz A, Wilson M (2015) Characteristics of Bitcoin users: an analysis of Google search data. Appl Econ Lett 22(13):1030–1036
Yermack D (2013) Is Bitcoin a real currency? An economic appraisal. Natl Bur Econ Res