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Displaying results 1 to 25 of 26.

  1. Bitcoin is not the new gold
    a comparison of volatility, correlation, and portfolio performance
    Author: Klein, Tony; Thu, Hien Pham; Walther, Thomas
    Published: May 21, 2018
    Publisher:  School of Finance, University of St. Gallen, St. Gallen

    Cryptocurrencies such as Bitcoin are establishing themselves as an investment asset and are often named the New Gold. This study, however, shows that the two assets could barely be more different. Firstly, we analyze and compare conditional variance... more

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    Cryptocurrencies such as Bitcoin are establishing themselves as an investment asset and are often named the New Gold. This study, however, shows that the two assets could barely be more different. Firstly, we analyze and compare conditional variance properties of Bitcoin and Gold as well as other assets and nd differences in their structure. Secondly, we implement a BEKK-GARCH model to estimate time-varying conditional correlations. Gold plays an important role in financial markets with flight-to-quality in times of market distress. Our results show that Bitcoin behaves as the exact opposite and it positively correlates with downward markets. Lastly, we analyze the properties of Bitcoin as portfolio component and nd no evidence for hedging capabilities. We conclude that Bitcoin and Gold feature fundamentally different properties as assets and linkages to equity markets. Our results hold for the broad cryptocurrency index CRIX. As of now, Bitcoin does not reflect any distinctive properties of Gold other than asymmetric response in variance

     
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    Source: Union catalogues
    Language: English
    Media type: Book
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    Series: Working papers on finance ; no. 2018, 12
    Subjects: BEKK; Bitcoin; CRIX; Cryptocurrency; Gold; GARCH; Conditional Correlation; Asymmetry; Long Memory
    Scope: 1 Online-Ressource (circa 29 Seiten), Illustrationen
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    Working Paper Version 2 - May 21, 2018
  2. Digital money as a medium of exchange and monetary policy in open economies
    Author: Ikeda, Daisuke
    Published: July 2022
    Publisher:  Institute for Monetary and Economic Studies, Bank of Japan, Tokyo, Japan

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    Language: English
    Media type: Book
    Format: Online
    Series: Array ; no. 2022, E-10
    Subjects: Cryptocurrency; Monetary policy autonomy; Currency counterfeiting; Government transaction policy
    Scope: 1 Online-Ressource (circa 35 Seiten), Illustrationen
  3. Risk-taking behavior during downturn
    evidence of loss-chasing and realization effect in the cryptocurrency market
    Author: Voraprapa Nakavacharaa; Roongkiat Ratanabanchuen; Kanis Saengchote; Thitiphong Amonthumniyom; Pongsathon Parinyavuttichai; Polpatt Vinaibodee
    Published: [2023]
    Publisher:  [Puey Ungphakorn Institute for Economic Research], [Bangkok]

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    Media type: Book
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    Series: Discussion paper / Puey Ungphakorn Institute for Economic Research ; no. 206 (April 2023)
    Subjects: Cryptocurrency; Realization Effect; Loss-Chasing; Behavioral Finance
    Scope: 1 Online-Ressource (circa 35 Seiten), Illustrationen
  4. Good vs. bad volatility in major cryptocurrencies
    the dichotomy and drivers of connectedness
    Author: Sila, Jan; Kočenda, Evžen; Krištoufek, Ladislav; Kukacka, Jiri
    Published: [2023]
    Publisher:  Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague, Prague

    Cryptocurrencies exhibit unique statistical and dynamic properties compared to those of traditional financial assets, making the study of their volatility crucial for portfolio managers and traders. We investigate the volatility connectedness... more

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    Cryptocurrencies exhibit unique statistical and dynamic properties compared to those of traditional financial assets, making the study of their volatility crucial for portfolio managers and traders. We investigate the volatility connectedness dynamics of a representative set of eight major crypto assets. Methodologically, we decompose the measured volatility into positive and negative components and employ the time-varying parameters vector autoregression (TVP-VAR) framework to show distinct dynamics associated with market booms and downturns. The results suggest that crypto connectedness reflects important events and exhibits more variable and cyclical dynamics than those of traditional financial markets. Periods of extremely high or low connectedness are clearly linked to specific events in the crypto market and macroeconomic or monetary history. Furthermore, existing asymmetry from good and bad volatility indicates that information about market downturns spills over substantially faster than news about comparable market surges. Overall, the connectedness dynamics are predominantly driven by fundamental crypto factors, while the asymmetry measure also depends on macro factors such as the VIX index and the expected inflation.

     
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    Media type: Book
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    hdl: 10419/286353
    Series: IES working paper ; 2023, 24
    Subjects: Volatility; Dynamic connectedness; Asymmetric effects; Cryptocurrency
    Scope: 1 Online-Ressource (circa 27 Seiten), Illustrationen
  5. Is ethereum proof of stake sustainable?
    considering from the perspective of competition among smart contract platforms
    Author: Saito, Kenji; Soejima, Yutaka; Sugiura, Toshihiko; Kitamura, Yukinobu; Iwamura, Mitsuru
    Published: September 2023
    Publisher:  Institute of Economic Research, Hitotsubashi University, Kunitachi, Tokyo, Japan

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    Media type: Book
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    hdl: 10086/80237
    Series: Array ; no. 748
    Subjects: Proof of Stake; Blockchain; Cryptocurrency; Smart Contract; Competition
    Scope: 1 Online-Ressource (circa 31 Seiten), Illustrationen
  6. Crypto assets and central bank digital currencies
    potential implications for developing countries
    Published: 2023
    Publisher:  United Nations, Geneva

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    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789210026178
    Series: United Nations publication
    Subjects: Cryptocurrency; Illicit financial flows; International Monetary System; Monetary Policy; Financial Regulation
    Scope: 1 Online-Ressource (circa 52 Seiten)
  7. A Bayesian DSGE approach to modelling cryptocurrency
    Author: Asimakopoulos, Stylianos; Lorusso, Marco; Ravazzolo, Francesco
    Published: 2023
    Publisher:  BI Norwegian Business School, Centre for Applied Macro-Petroleum economics (CAMP), Oslo

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    Media type: Book
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    hdl: 11250/3091713
    Series: CAMP working paper series ; no. 2023, 9
    Subjects: DSGE Model; Government Currency; Cryptocurrency; Bayesian Estimation
    Scope: 1 Online-Ressource (circa 98 Seiten)
  8. The emerging autonomy-stability choice for stablecoins
    Author: Oordt, Maarten R. C. van
    Published: [2022]
    Publisher:  Tinbergen Institute, Amsterdam, The Netherlands

    Lawmakers have called for better stablecoin regulation, but authorities tend to have little control over the global operators of distributed ledgers that process stablecoin transactions. This chapter illustrates how peg deviations may occur when the... more

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    Lawmakers have called for better stablecoin regulation, but authorities tend to have little control over the global operators of distributed ledgers that process stablecoin transactions. This chapter illustrates how peg deviations may occur when the issuer of a fiat-backed stablecoin loses its access to the traditional payment system of the jurisdiction that issues the relevant fiat currency. The need for reliable access to the traditional payment system in order to maintain a stable peg provides an important foothold for regulators to exercise control over fiat-backed stablecoins. Conditional upon regulators having little control over the operators of some distributed ledgers, an autonomy-stability choice may emerge where users of stablecoins ultimately face a choice between regulated stablecoins with a stable value but little autonomy and alternative stablecoin arrangements with more autonomy but a less stable value.

     
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    hdl: 10419/263935
    Series: Array ; TI 2022, 015
    Subjects: Stablecoins; Cryptocurrency; Exchange rate; Distributed ledgers; Regulation
    Scope: 1 Online-Ressource (circa 18 Seiten), Illustrationen
  9. On the volatility of cryptocurrencies
    Author: Stengos, Thanasēs; Panagiōtidēs, Theodōros; Papapanagiotou, Georgios
    Published: [2022]
    Publisher:  Department of Economics and Finance, Gordon S. Lang School of Business and Economics, University of Guelph, Guelph, Ontario, Canada

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    Series: Discussion paper / Department of Economics and Finance, Gordon S. Lang School of Business and Economics, University of Guelph ; 2022, 02
    Subjects: Bitcoin; Cryptocurrency; Volatility; GARCH; Markov-switching; Information criteria
    Scope: 1 Online-Ressource (circa 49 Seiten), Illustrationen
  10. On empirical challenges in forecasting market betas in crypto markets
    Author: Šíla, Jan; Mark, Michael; Krištoufek, Ladislav
    Published: [2022]
    Publisher:  Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague, Prague

    This paper investigates the predictability of market betas for crypto assets. The market beta is the optimal weight of a short position in a simple two-asset portfolio hedging the market risk. Investors are therefore keen to forecast the market beta... more

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    This paper investigates the predictability of market betas for crypto assets. The market beta is the optimal weight of a short position in a simple two-asset portfolio hedging the market risk. Investors are therefore keen to forecast the market beta accurately. Estimating the market beta is a fundamental financial problem and we document pervasive empirical issues that arise in the emerging market of crypto assets. Although recent empirical results about US stocks suggest predictability of the future realized betas about 55%, predictability for the universe of crypto assets is at most 20%. Our results suggest that the crypto market betas are highly sensitive not only to the beta estimation method but also to the selection of the market index. Thus we also contribute to the discussion on the appropriate market representation.

     
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    hdl: 10419/272791
    Series: IES working paper ; 2022, 19
    Subjects: Asset pricing; CAPM; Market Beta; Cryptocurrency
    Scope: 1 Online-Ressource (circa 26 Seiten), Illustrationen
  11. The rise and fall of cryptocurrency coins and tokens
    Author: Gandal, Neil; Hamrick, J. T.; Moore, Tyler; Vasek, Marie
    Published: [2021]
    Publisher:  The Foerder Institute for Economic Research, Tel Aviv University, The Eitan Berglas School of Economics, Tel Aviv, Israel

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    Media type: Book
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    Series: Working paper / Foerder Institute for Economic Research and the Sackler Institute for Economic Studies ; [no. 2021, 2]
    Subjects: Cryptocurrency
    Scope: 1 Online-Ressource (circa 31 Seiten), Illustrationen
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  12. Forecasting mid-price movement of bitcoin futures using machine learning
    Author: Akyildirim, Erdinc; Cepni, Oguzhan; Corbet, Shaen; Uddin, Mohammed Gazi Salah
    Published: 2020
    Publisher:  Department of Economics, Copenhagen Business School, Frederiksberg

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    hdl: 10398/1f7d2c7c-110a-4972-a4c4-47da5119ebd8
    Series: Working paper / Department of Economics, Copenhagen Business School ; 2020, 20
    Subjects: Cryptocurrency; Bitcoin Futures; Machine Learning; Covid-19; k-Nearest Neighbors; Logistic Regression; Naive Bayes; Random Forest; Support Vector Machine; Extreme Gradient Boosting
    Scope: 1 Online-Ressource (circa 29 Seiten), Illustrationen
  13. Blockchain economics
    Author: Abadi…, Joseph; Brunnermeier, Markus Konrad
    Published: [2022]
    Publisher:  Research Department, Federal Reserve Bank of Philadelphia, Philadelphia, PA

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    Series: Working papers / Research Department, Federal Reserve Bank of Philadelphia ; 22, 15 (May 2022)
    Subjects: Blockchain; Consensus; Cryptocurrency; Mechanism Design; Payments; FinTech
    Scope: 1 Online-Ressource (circa 47 Seiten), Illustrationen
  14. Grasping de(centralized) fi(nance) through the lens of economic theory
    Author: Chiu, Jonathan; Koeppl, Thorsten V.; Kahn, Charles M.
    Published: 8-2022
    Publisher:  Department of Economics, Queen's University, Kingston, Ontario, Canada

    In this viewpoint article, we provide an analysis of the value proposition of De(centralized) Fi(nance) and its limitations using a simple stylized model of collateralized lending. DeFi uses a decentralized ledger to run smart contracts that... more

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    In this viewpoint article, we provide an analysis of the value proposition of De(centralized) Fi(nance) and its limitations using a simple stylized model of collateralized lending. DeFi uses a decentralized ledger to run smart contracts that automatically enforce the terms of a lending contract and safeguard the collateral. DeFi can lower the costs asso- ciated with intermediated lending and improve financial inclusion. Limitations are the volatility of crypto collateral and stablecoins used for settlement, the possible incom- pleteness of smart contracts and the lack of a reliable oracle. A proper infrastructure reducing such limiations could improve the value of DeFi.

     
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    hdl: 10419/281093
    Series: Queen's Economics Department working paper ; no. 1489
    Subjects: Virtuelle Währung; Kreditgeschäft; Kreditrationierung; Kreditmarkt; Theorie; Decentralized Finance; Cryptocurrency; Stablecoins; Collateralized Lending
    Scope: 1 Online-Ressource (circa 33 Seiten), Illustrationen
  15. Finance art: on the secret life of global finance
    Author: Dossou, Stephanie Anne
    Published: 2022

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    Source: Union catalogues
    Language: English
    Media type: Dissertation
    Format: Online
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    hdl: 2262/97863
    Subjects: Finance Art; Global Finance; Financialization; Deleuze; Guattari; Flash Crash; Ethical Recommender; Cryptocurrency; Blockchain; Securitisation; Artistic Research; Practice Based Research
    Scope: 1 Online-Ressource
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    Sperrfrist: Zugriff auf den Volltext ab 07.02.2027 möglich

    Dissertation, Trinity College Dublin, 2022
  16. The value of decentralization using the blockchain
    Author: Reuter, Marco
    Published: [2022]
    Publisher:  ZEW - Leibniz Centre for European Economic Research, Mannheim, Germany

    Although blockchain technology and cryptocurrencies have grown in popularity over the past years, there does not seem to be a consensus if they bring any value to economic interactions. In this paper, I argue that a fundamental value the blockchain... more

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    Although blockchain technology and cryptocurrencies have grown in popularity over the past years, there does not seem to be a consensus if they bring any value to economic interactions. In this paper, I argue that a fundamental value the blockchain provides is commitment. I develop a model of an entrepreneur, who can create a network for her users. She can decide to retain control of the network with centralized implementation through a regular company, or surrender control over the network with a decentralized implementation through the blockchain. Users that join the network are subject to a locked-in effect. I show that a decentralized implementation of the network is (i) preferred by the entrepreneur and (ii) a Pareto improvement, if and only if the size of the locked-in effect is sufficiently large.

     
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    hdl: 10419/266646
    Series: Discussion paper / ZEW ; no. 22, 056 (11/2022)
    Subjects: Blockchain; Smart Contracts; Decentralization; Cryptocurrency; Commitment; Networks
    Scope: 1 Online-Ressource (44 Seiten)
  17. Interdependencies between mining costs, mining rewards and blockchain security
    Author: Ciaian, Pavel; Kancs, D'Artis; Rajcaniova, Miroslava
    Published: [2021]
    Publisher:  EERI, Economics and Econometrics Research Institute, Brussels, Belgium

    This paper studies to what extent the cost of operating a proof-of-work blockchain is intrinsically linked to the cost of preventing attacks, and to what extent the underlying digital ledger's security budgets are correlated with the cryptocurrency... more

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    This paper studies to what extent the cost of operating a proof-of-work blockchain is intrinsically linked to the cost of preventing attacks, and to what extent the underlying digital ledger's security budgets are correlated with the cryptocurrency market outcomes. We theoretically derive an equilibrium relationship between the cryptocurrency price, mining rewards and mining costs, and blockchain security outcomes. Using daily crypto market data for 2014-2021 and employing the autoregressive distributed lag approach - that allows treating all the relevant moments of the blockchain series as potentially endogenous - we provide empirical evidence of cryptocurrency price and mining rewards indeed being intrinsically linked to blockchain security outcomes.

     
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    hdl: 10419/251106
    Series: EERI research paper series ; no 2021, 02
    Subjects: Cryptocurrency; ARDL; blockchain; proof-of-work; security budget; institutional governance technology; network externalities
    Scope: 1 Online-Ressource (circa 37 Seiten), Illustrationen
  18. Essays on the statistics of financial markets
    Author: Bleher, Johannes
    Published: 2021

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    Universitätsbibliothek Braunschweig
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    Universitäts- und Landesbibliothek Sachsen-Anhalt / Zentrale
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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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  19. Does mining fuel bubbles?
    An experimental study on cryptocurrency markets
    Author: Lambrecht, Marco; Sofianos, Andis; Xu, Yilong
    Published: 09 Jun. 2021
    Publisher:  Heidelberg University, Department of Economics, Heidelberg

    The massive price bubbles of decentralized cryptocurrencies, such as Bitcoin, have created a puzzle for economists. How can a non-revenue-generating asset exhibit such extreme price dynamics, forming multiple episodes of bubbles and crashes since its... more

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    Universitätsbibliothek Heidelberg
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    The massive price bubbles of decentralized cryptocurrencies, such as Bitcoin, have created a puzzle for economists. How can a non-revenue-generating asset exhibit such extreme price dynamics, forming multiple episodes of bubbles and crashes since its creation? The answer is not straightforward, since cryptocurrencies differ in several important aspects from other conventional assets. In this paper, we investigate how key features associated with the Proof-of-Work consensus mechanism affect pricing. In a controlled laboratory experiment, we observe that the formation of price bubbles can be causally attributed to mining. Moreover, bubbles are more pronounced if the mining capacity is centralized to a small group of individuals. Analysis of the order book data reveals that miners seem to play a crucial role in bubble formation. The results demonstrate that high price volatility is an inherent feature of cryptocurrencies based on a mining protocol, which seriously limits any prospects for such assets truly becoming a medium of exchange.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    hdl: 10419/235026
    Edition: 1. Überarbeitung
    Series: AWI discussion paper series ; no. 703 (May 2021)
    Subjects: Bitcoin; Bubbles; Cryptocurrency; Financial Market Experiment
    Scope: 1 Online-Ressource (58 Seiten), Illustrationen
  20. Indices on cryptocurrencies
    an evaluation
    Author: Häusler, Konstantin; Xia, Hongyu
    Published: [2021]
    Publisher:  International Research Training Group 1792, Berlin

    Several cryptocurrency (CC) indices track the dynamics of the rising CC sector, and soon ETFs will be issued on them. We conduct a qualitative and quantitative evaluation of the currently existing CC indices. As the CC sector is not yet consolidated,... more

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    Several cryptocurrency (CC) indices track the dynamics of the rising CC sector, and soon ETFs will be issued on them. We conduct a qualitative and quantitative evaluation of the currently existing CC indices. As the CC sector is not yet consolidated, index issuers face the challenge of tracking the dynamics of a fast-growing sector that is under continuous transformation. We propose several criteria and various measures to compare the indices under review. Major differences between the indices lie in their weighting schemes, their coverage of CCs and the number of constituents, the level of transparency, and thus their accuracy in mapping the dynamics of the CC sector. Our analysis reveals that indices that adapt dynamically to this rising sector outperform their competitors. Interestingly, increasing the number of constituents does not automatically lead to a better fit of the CC sector.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/236618
    Series: IRTG 1792 discussion paper ; 2021, 014
    Subjects: Cryptocurrency; Index; Market Dynamics; Bitcoin
    Scope: 1 Online-Ressource (circa 21 Seiten), Illustrationen
  21. Rodeo or ascot
    which hat to wear at the crypto race?
    Author: Häusler, Konstantin; Härdle, Wolfgang
    Published: [2021]
    Publisher:  International Research Training Group 1792, Berlin

    This paper sheds light on the dynamics of the cryptocurrency (CC) sector. By modeling its dynamics via a stochastic volatility with correlated jumps (SVCJ) model in combination with several rolling windows, it is possible to capture the extreme ups... more

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    This paper sheds light on the dynamics of the cryptocurrency (CC) sector. By modeling its dynamics via a stochastic volatility with correlated jumps (SVCJ) model in combination with several rolling windows, it is possible to capture the extreme ups and downs of the CC market and to understand its dynamics. Through this approach, we obtain time series for each parameter of the model. Even though parameter estimates change over time and depend on the window size, several recurring patterns are observable which are robust to changes of the window size and supported by clustering of parameter estimates: during bullish periods, volatility stabilizes at low levels and the size and volatility of jumps in mean decreases. In bearish periods though, volatility increases and takes longer to return to its long-run trend. Furthermore, jumps in mean and jumps in volatility are independent. With the rise of the CC market in 2017, a level shift of the volatility of volatility occurred.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/233507
    Series: IRTG 1792 discussion paper ; 2021, 007
    Subjects: Cryptocurrency; SVCJ; Market Dynamics; Stochastic Volatility
    Scope: 1 Online-Ressource (circa 23 Seiten), Illustrationen
  22. Understanding Smart Contracts
    hype or hope?
    Author: Zinovyev, Elizaveta; Reule, Raphael C. G.; Härdle, Wolfgang
    Published: [2021]
    Publisher:  International Research Training Group 1792, Berlin

    Smart Contracts are commonly considered to be an important component or even a key to many business solutions in an immense variety of sectors and promises to securely increase their individual efficiency in an ever more digitized environment.... more

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    Smart Contracts are commonly considered to be an important component or even a key to many business solutions in an immense variety of sectors and promises to securely increase their individual efficiency in an ever more digitized environment. Introduced in the early 1990's, the technology has gained a lot of attention with its application to blockchain technology to an extent, that can be considered a veritable hype. Reflecting the growing institutional interest, this intertwined exploratory study between statistics, information technology, and law contrasts these idealistic stories with the data reality and provides a mandatory step of understanding the matter, before any further relevant applications are discussed as being "factually" able to replace traditional constructions. Besides fundamental flaws and application difficulties of currently employed Smart Contracts, the technological drive and enthusiasm backing it may however serve as a jump-off board for future developments thrusting well in the presently unshakeable traditional structures.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/233510
    Series: IRTG 1792 discussion paper ; 2021, 004
    Subjects: Cryptocurrency; Smart Contract; Ethereum; CRIX
    Scope: 1 Online-Ressource (circa 77 Seiten), Illustrationen
  23. On the performance of cryptocurrency funds
    Author: Bianchi, Daniele; Babiak, Mykola
    Published: September 2020
    Publisher:  Charles University, Center for Economic Research and Graduate Education, Prague

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    ISBN: 9788073434793; 9788073445614
    Series: Working paper series / CERGE-EI ; 672
    Subjects: Cryptocurrency; Investments; ActiveManagement; AlternativeInvestments; Boot-strapMethods; Bitcoin
    Scope: 52 Seiten, Illustrationen
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    Erscheint auch als Online-Ausgabe
  24. Essays in energy finance
    Author: Ren, Boru
    Published: 26 May 2023

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    Source: Union catalogues
    Language: English
    Media type: Dissertation
    Format: Online
    Other identifier:
    hdl: 2262/102733
    Subjects: Energy Economics; Herd Behavior; Spillover Effects; Sentiment Analysis; Cryptocurrency
    Scope: 1 Online-Ressource (circa 174 Seiten), Illustrationen
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    Dissertation, University of Dublin, 2023
  25. Stablecoin price dynamics under a peg-stabilising mechanism
    Author: Hui, Cho H.; Wong, Andrew; Lo, Chi-Fai
    Published: [2023]
    Publisher:  Hong Kong Institute for Monetary and Financial Research, [Hong Kong]

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: HKIMR working paper ; 2023, no. 15 (November 2023)
    Subjects: Cryptocurrency; stablecoins; Tether; target zone; quasi-bounded process
    Scope: 1 Online-Ressource (circa 43 Seiten), Illustrationen