Equilibrium Bitcoin Pricing
نویسندگان
چکیده
We offer a general equilibrium analysis of cryptocurrency pricing. The fundamental value the is its stream net transactional benefits, which depend on future prices. This implies that, in addition to fundamentals, prices reflect sunspots. turn multiple equilibria and extrinsic volatility, that is, fluctuate even when fundamentals are constant. To match our model data, we construct indices measuring benefits Bitcoin. In calibration, part variations Bitcoin returns reflects changes but larger share volatility.
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ژورنال
عنوان ژورنال: Journal of Finance
سال: 2023
ISSN: ['0022-1082', '1540-6261']
DOI: https://doi.org/10.1111/jofi.13206