Equilibrium Bitcoin Pricing

被引：40
|
作者：
Biais, Bruno [1 ]
Bisiere, Christophe [2 ]
Bouvard, Matthieu [2 ]
Casamatta, Catherine [2 ]
Menkveld, Albert J. J. [3 ]
机构：
[1] HEC Paris, Jouy En Josas, France
[2] Univ Toulouse, Capitole TSM Res, Toulouse Sch Econ, Toulouse, France
[3] Vrije Univ Amsterdam, Amsterdam, Netherlands
来源：
JOURNAL OF FINANCE | 2023年 / 78卷 / 02期
关键词：
STOCK-PRICES; VOLATILITY; MODEL;
D O I：
10.1111/jofi.13206
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
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.
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页码：967 / 1014
页数：48
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