Equilibrium Bitcoin Pricing

• 成果类型: Article
• 署名作者: Biais, Bruno; Bisiere, Christophe; Bouvard, Matthieu; Casamatta, Catherine; Menkveld, Albert J. J.
• 署名单位: Hautes Etudes Commerciales (HEC) Paris; Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics; Vrije Universiteit Amsterdam
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13206
• 发表日期: 2023
• 页码: 967-1014
• 关键词: stock-prices; volatility; MODEL

摘要

We offer a general equilibrium analysis of cryptocurrency pricing. The fundamental value of the cryptocurrency is its stream of net transactional benefits, which depend on its future prices. This implies that, in addition to fundamentals, equilibrium prices reflect sunspots. This in turn implies multiple equilibria and extrinsic volatility, that is, cryptocurrency prices fluctuate even when fundamentals are constant. To match our model to the data, we construct indices measuring the net transactional benefits of Bitcoin. In our calibration, part of the variations in Bitcoin returns reflects changes in net transactional benefits, but a larger share reflects extrinsic volatility.