Abstract

https://ssrn.com/abstract=2714921
 


 



Does Bitcoin Reveal New Information About Exchange Rates and Financial Integration?


Gina C. Pieters


Trinity University - Department of Economics

October 27, 2016


Abstract:     
I show that the prices of the internationally traded crypto-currency bitcoin can be used to estimate a currency's unofficial exchange rate and capital controls at a daily interval. Two important bitcoin features are documented: (1) Bitcoin-based exchange rates approximate the behavior, but not the level, of unofficial exchange rates, and (2) Bitcoin prices contain a bitcoin-trend term and must be appropriately normalized prior to being used for this purpose. Bitcoin-based exchange rates reveal that (3) there is no consistent pattern of Granger causality between unofficial rates and official rates by exchange rate regime or barriers at the daily frequency, and (4) that countries do engage in short-duration capital controls.

Number of Pages in PDF File: 36

Keywords: Black Market, Unofficial, Exchange Rate, Bitcoin, Financial Integration, Capital Barriers

JEL Classification: F31, F33, G15, O17


Open PDF in Browser Download This Paper

Date posted: January 14, 2016 ; Last revised: October 29, 2016

Suggested Citation

Pieters, Gina C., Does Bitcoin Reveal New Information About Exchange Rates and Financial Integration? (October 27, 2016). Available at SSRN: https://ssrn.com/abstract=2714921 or http://dx.doi.org/10.2139/ssrn.2714921

Contact Information

Gina C. Pieters (Contact Author)
Trinity University - Department of Economics ( email )
San Antonio, TX 78212
United States
Feedback to SSRN


Paper statistics
Abstract Views: 1,633
Downloads: 170
Download Rank: 131,773