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1.
This paper investigates the evolution of cryptocurrencies. By nature and essence, Bitcoin challenged and implicitly threatened central bank money and its role in the monetary system. Meanwhile, central banks have been studying cryptocurrencies and launched pilot projects on their own digital currency, the Central Bank Digital Currency. Until recently, most economists considered Bitcoin merely as a speculative asset; however, the El Salvador decision in 2021 to establish it as a legal tender (through the Bitcoin Law) questions the status quo perception of Bitcoin. Given El Salvador’s legal obligation by law of their acceptance, allowing tax payments to the government and debts to be settled using Bitcoin, the Bitcoin Law challenges the boundaries of money. In light of the El Salvador experience, we consider different perspectives on the nature of money, allowing us to reject or include Bitcoin inside the money spectrum. 相似文献
2.
This study examines the dependence and contagion risk between Bitcoin (BTC), Litecoin (LTC) and Ripple (XRP) using non-parametric mixture copulas (developed by Zimmer, 2012) and recently proposed methods of full-range tail dependence copulas (advanced by Hua, 2017, Su and Hua, 2017), for the period from 04-08-2013 to 17-06-2018. The Chi-plots and Kendall plots results show heavy tail dependence between each pairs of the cryptocurrencies. Evidence from the mixture copula indicates that for the BTC-LTC pair the upper-tail dependence is both stronger and more prevalent, while for the other pairs of cryptocurrencies the lower-tail dependence is very strong and more prevalent. However, the results of the full-range tail dependence copulas reveal a strong and prevalent upper and lower-tail dependence of each pairs of cryptocurrencies. These results provide evidence of significant risk contagion among price returns of major cryptocurrencies, both in bull and bear markets. 相似文献
3.
Using daily data from August 9, 2015, to July 7, 2020, this study examines the effects of economic policy uncertainty (EPU) on the returns of four cryptocurrencies: Bitcoin, Ethereum, Litecoin, and Ripple. To this end, two new measures of EPU (Twitter-based economic uncertainty and Twitter-based market uncertainty) are considered. A Granger causality test using the recursive evolving window approach shows a significant causality between the Twitter-based EPU measures and the BTC/USD exchange rate from October 2016 to July 2017. Moreover, a significant causality was noted from the EPU measures to the ETH/USD exchange rate from June 2019 to February 2020 and from the EPU measures to the XRP/USD exchange rate from January 2020 to February 2020. The Twitter-based EPU measures primarily positively affect the returns of the related cryptocurrencies during these periods. These results are robust to different measures of Twitter-based EPU and different econometric techniques. Potential implications, including the COVID-19 era, are also discussed. 相似文献
4.
This systematic literature review summarizes the extant research in the Behavioral Finance (BeFi) and digital asset spaces to understand better the interactions of behavioral effects on the pricing of assets constructed, enabled, and exchanged in Decentralized Finance (DeFi) markets. We find that asset pricing in these rapidly evolving markets is better explained through BeFi than through traditional finance (TradFi) theory. Investor attention, sentiment, heuristics and biases, and network effects interact to form a highly volatile and dynamic market. We offer a deterministic research framework with propositions for future research. We further provide investors with a theoretically and empirically supported structure to better inform their decisions through an understanding of BeFi applications to DeFi. 相似文献
5.
With the rise of cryptocurrency tokens as a new asset class, the question of the fair evaluation of a cryptocurrency token has become a question of increasing importance. We estimate the pricing kernel with which users price factors affecting their token holdings. We investigate how traditional risk factors such as market risk are evaluated, as well as how blockchain specific risk factors are priced in. In order to do so, we introduce an asset pricing model and modify its properties to make it applicable to cryptocurrency markets. We group the risk factors into market related and Bitcoin- and Ethereum blockchain specific risk factors. We find that blockchain specific risk factors are priced in. There is evidence that risk factors have moved from Bitcoin to Ethereum specific risk factors with an increasing importance of market factors, providing evidence for a decoupling of on-chain and off-chain trading activity. 相似文献
6.
We investigate the performance and learning ability of traders in an environment governed by ambiguity, such as the cryptocurrency market. Using a profit decomposition methodology, we find significant cross-sectional and temporal heterogeneity in performance. Traders do not learn to progressively increase the magnitude of returns; however, they are able to improve on their ability to realise profits as a mechanism of adaptation to survive through ambiguity. This adaptation increases as traders progress through their career. Moreover, we find evidence in support of the gambler’s fallacy. We argue that learning in ambiguous environments has limitations, allowing traders primarily to survive. 相似文献
7.
Central bank digital currency (CBDC) has increasingly received attention among policymakers and academics. From a theoretical perspective, the introduction of a CBDC arouses long-standing questions, foreseeing the possibility for the private (non-financial) sector to access the central bank reserves. The aim of this paper is to strengthen the understanding of the CBDC through the Endogenous Money Theory (EMT). The paper examines the balance sheets of the central bank, commercial banks, and the non-financial private system, tracking all the assets and liabilities of the macro-agents involved in the introduction of a CBDC. It explains the logical chain of relationships starting with the creation of bank loans from commercial banks, transformed into deposits, and ultimately converted into CBDC. Such a chain of relationships is also explained by amending the four quadrants model proposed by many post-Keynesian scholars. 相似文献
8.
This article aims to find the best safe-haven for stock investors in the American market since the COVID-19 pandemic outbreak. The research period covers March 2020–May 2022. Among the possible alternatives, we analyse the traditional ones: US bonds, gold, and silver, as well as the new ones: stable DeFi and CeFi coins, and most popular cryptocurrencies: Bitcoin and Ether. We study quantile coherency between S&P 500 and each asset and the respective conditional correlation. We show that the safe-haven properties of the assets varied over time and that centralized stablecoins could have been used as safe-haven against American stocks during the pandemics. 相似文献
9.
This paper sets out to explore whether the innovative Economic Policy Uncertainty (EPU) index and the safe haven asset of gold influence returns of high-capitalization cryptocurrencies in a non-linear manner. Estimations take place both concerning flourishing and stressed periods in the digital currency markets. Econometric outcomes reveal that the returns of almost half of the cryptocurrencies investigated are tightly connected to the EPU index in bull markets while even more currencies are linked with the index during bear markets. Similar findings are revealed as concerns gold as it proves to be more influential during bear markets due to its hedging capacities. There is also evidence that causality in variance is significant in all but the higher quantile concerning both EPU and gold estimations in both bull and bear markets. 相似文献
10.
The purpose of this paper is twofold: (i) to investigate some of the main issues surrounding the classification of digital currencies, and (ii) to identify the accounting practices and standards tied to digital currencies. This paper discusses two different types of digital currencies, including: central bank digital currencies (CBDCs) and privately issued cryptocurrencies such as Bitcoin. The findings of this study suggest that current accounting standards do not precisely cover the accounting treatment of digital currencies, even though the estimated value of market capitalisation of cryptocurrency in 2022 was USD 200 billion. This conceptual paper identifies the imminent need for an accounting standard to provide guidance on the identification, classification, measurement, and presentation of digital currencies. In the interim, existing accounting standards can be amended to incorporate digital currencies to avoid inconsistent global accounting approaches. 相似文献