The Empirical Analysis of Bitcoin Market in the General Equilibrium Framework
30 Pages Posted: 11 Aug 2019
Date Written: July 31, 2019
This paper firstly pursues the fundamental price of Bitcoin in the general equilibrium framework and its empirical characteristics. Our theoretical model predicts that (i) the Bitcoin price and the total hash rate are determined simultaneously in the long-run and (ii) the hash rate of Bitcoin Granger-causes Bitcoin prices in the short-run. Using a cointegration framework, our empirical analysis provides consistent results with these theoretical predictions. Our empirical results suggest that the Bitcoin market has been under a fundamental value instead of speculative bubbles.
Keywords: cryptocurrency, asymmetric information, arbitrage, cointegration
JEL Classification: E43, G18, G28, H12
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