Equilibrium Bitcoin Pricing

Bruno Biais, Christophe Bisière, Matthieu Bouvard, Catherine Casamatta, Albert J. MenkveldFinance国际金融UTD24

Journal of Finance2023-01-19Centre National de la Recherche Scientifique; Toulouse School of Economics; HEC Paris; Vrije Universiteit AmsterdamDOI

Citations213

ABSTRACT 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.

CryptocurrencyVolatility (finance)EconomicsEconometricsTransactional analysisTransactional leadershipComputer scienceEconomic theories and modelsComplex Systems and Time Series AnalysisFinancial Markets and Investment Strategies