The Economics of Bitcoins -- Market Characteristics and Price Jumps

12 Pages Posted: 14 Jan 2015  

Marc Gronwald

University of Aberdeen; CESifo (Center for Economic Studies and Ifo Institute)

Date Written: December 29, 2014

Abstract

This paper deals with the economics of Bitcoins in two ways. First, it broadens the discussion on how to capture Bitcoins using economic terms. Center stage in this analysis take the discussion of some unique characteristics of this market as well as the comparison of Bitcoins and gold. Second, the paper empirically analyses Bitcoin prices using an autoregressive jump-intensity GARCH model; a model tested and proven by the empirical finance community. Results suggest that Bitcoin price are particularly marked by extreme price movements; a behaviour generally observed in immature markets.

Keywords: bitcoins, jump models, commodity pricing

JEL Classification: C12, C22, C58, G12

Suggested Citation

Gronwald, Marc, The Economics of Bitcoins -- Market Characteristics and Price Jumps (December 29, 2014). CESifo Working Paper Series No. 5121. Available at SSRN: https://ssrn.com/abstract=2548999

Marc Gronwald (Contact Author)

University of Aberdeen ( email )

Dunbar Street
Aberdeen AB24 3QY, Scotland AB24 3QY
United Kingdom

CESifo (Center for Economic Studies and Ifo Institute) ( email )

Poschinger Str. 5
Munich, DE-81679
Germany

Register to save articles to
your library

Register

Paper statistics

Downloads
826
rank
25,513
Abstract Views
2,187
PlumX