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Equilibrium Bitcoin Pricing

descriptionPublicationkeyboard_double_arrow_right Article , Other literature type , Book , Research 01 Jan 2018 France, Netherlands Publisher:WileyJournal:The Journal of Finance, volume 78, pages 967-1,014 (issn: 0022-1082, eissn: 1540-6261,

Authors: Bruno Biais; Christophe Bisière; Matthieu Bouvard; Catherine Casamatta; Albert J. Menkveld; Albert J. Menkveld;

doi: 10.1111/jofi.13206 , 10.2139/ssrn.3261063

handle: 1871.1/6e7fc2ac-05e1-4d8a-9661-f66746248823 , 10419/223219

Equilibrium Bitcoin Pricing

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Abstract

ABSTRACTWe 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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France, Netherlands

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Keywords

330, ddc:330, Virtuelle Währung, Kosten-Nutzen-Analyse, Gleichgewichtsmodell, [SHS.ECO]Humanities and Social Sciences/Economics and Finance, [SHS.ECO] Humanities and Social Sciences/Economics and Finance, B- ECONOMIE ET FINANCE

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	influence This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).	Top 1%
	impulse This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.	Top 1%