The Empirical Analysis of Bitcoin Market in the General Equilibrium Framework

30 Pages Posted: 11 Aug 2019

See all articles by Jun Aoyagi

Jun Aoyagi

University of California, Berkeley - Department of Economics

Takahiro Hattori

Ministry of Finance - Japan

Date Written: July 31, 2019

Abstract

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

Suggested Citation

Aoyagi, Jun and Hattori, Takahiro, The Empirical Analysis of Bitcoin Market in the General Equilibrium Framework (July 31, 2019). Available at SSRN: https://ssrn.com/abstract=3433833 or http://dx.doi.org/10.2139/ssrn.3433833

Jun Aoyagi

University of California, Berkeley - Department of Economics ( email )

CA
United States

Takahiro Hattori (Contact Author)

Ministry of Finance - Japan ( email )

3-1-1 Kasumigaseki
Chiyoda-ku
Tokyo, 100-8940
Japan

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