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Modelling Volatility of Cryptocurrencies Using Markov-Switching GARCH Models

Caporale, Guglielmo Maria - 2018

This paper aims to select the best model or set of models for modelling volatility of the four most popular cryptocurrencies, i.e. Bitcoin, Ethereum, Ripple and Litecoin. More than 1,000 GARCH models are fitted to the log returns of the exchange rates of each of these cryptocurrencies to...

Persistent link: https://www.econbiz.de/10012910938

Price Overreactions in the Cryptocurrency Market

Caporale, Guglielmo Maria - 2018

This paper examines price overreactions in the case of the following cryptocurrencies: BitCoin, LiteCoin, Ripple and Dash. A number of parametric (t-test, ANOVA, regression analysis with dummy variables) and non-parametric (Mann–Whitney U test) tests confirm the presence of price patterns...

Persistent link: https://www.econbiz.de/10012924450

Persistence in the Cryptocurrency Market

Caporale, Guglielmo Maria - 2018

This paper examines persistence in the cryptocurrency market. Two different long-memory methods (R/S analysis and fractional integration) are used to analyse it in the case of the four main cryptocurrencies (BitCoin, LiteCoin, Ripple, Dash) over the sample period 2013-2017. The findings indicate...

Persistent link: https://www.econbiz.de/10012927184

The Day of the Week Effect in the Crypto Currency Market

Caporale, Guglielmo Maria - 2017

This paper examines the day of the week effect in the crypto currency market using a variety of statistical techniques (average analysis, Student's t-test, ANOVA, the Kruskal-Wallis test, and regression analysis with dummy variables) as well as a trading simulation approach. Most crypto...

Persistent link: https://www.econbiz.de/10012942016

Evaluation of Long-Dated Investments Under Uncertain Growth Trend, Volatility and Catastrophes

Gollier, Christian - 2021

Because of the uncertainty about how to model the growth process of our economy, there is still much confusion about which discount rates should be used to evaluate actions having long-lasting impacts, as in the contexts of climate change, social security reforms or large public infrastructures...

Persistent link: https://www.econbiz.de/10013315817

Reserves for All? Central Bank Digital Currency, Deposits, and their (Non)-Equivalence

Niepelt, Dirk - 2018

I offer a macroeconomic perspective on the “Reserves for All” (RFA) proposal to let the general public use electronic central bank money. After distinguishing RFA from cryptocurrencies and relating the proposal to discussions about narrow banking and the abolition of cash I propose an...

Persistent link: https://www.econbiz.de/10012910626

An Equilibrium Model of the Market for Bitcoin Mining

Prat, Julien - 2018

We propose a model which uses the Bitcoin/US dollar exchange rate to predict the computing power of the Bitcoin network. We show that free entry places an upper-bound on mining revenues and we devise a structural framework to measure its value. Calibrating the model's parameters allows us to...

Persistent link: https://www.econbiz.de/10012924447

An Economic Analysis of Blockchains

Waelbroeck, Patrick - 2021

The blockchain is a technology that goes beyond timestamping, bitcoin and secure financial transactions. The development of an ecosystem around smart connected objects will probably not happen without the blockchain (in one form or another). The blockchain opens the door to the liquification of...

Persistent link: https://www.econbiz.de/10013315424

Competition in the Cryptocurrency Market

Gandal, Neil - 2014

We analyze how network effects affect competition in the nascent cryptocurrency market. We do so by examining the changes over time in exchange rate data among cryptocurrencies. Specifically, we look at two aspects: (1) competition among different currencies, and (2) competition among exchanges...

Persistent link: https://www.econbiz.de/10013046053

Workers Beneath the Floodgates : The Impact of Low-Wage Import Competition and Workers' Adjustment

Utar, Hale - 2017

Using employee-employer matched data for the period 1999 to 2010, I analyze the impact of a low-wage trade shock on … manufacturing workers in a high-wage country, Denmark, and how they adjust to the shock over a decade. To derive causal effects I … utilize within-industry, within-occupation heterogeneity in workers' exposure to this trade shock. Showing significant …

Persistent link: https://www.econbiz.de/10012965630