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Equilibrium Bitcoin Pricing

Biais, Bruno, Bisière, Christophe, Bouvard, Matthieu, Casamatta, Catherine and Menkveld, Albert J. (2018) Equilibrium Bitcoin Pricing. TSE Working Paper, n. 18-973, Toulouse

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Official URL: http://tse-fr.eu/pub/33141

Abstract

We offer an overlapping generations equilibrium model of cryptocurrency pricing and confront it to new data on bitcoin transactional benefits and costs. The model emphasizes that the fundamental value of the cryptocurrency is the stream of net transactional benefits it will provide, which depend on its future prices. The link between future and present prices implies that returns can exhibit large volatility unrelated to fundamentals. We construct an index measuring the ease with which bitcoins can be used to purchase goods and services, and we also measure costs incurred by bitcoin owners. Consistent with the model, estimated transactional net benefits explain a statistically significant fraction of bitcoin returns.

Item Type: Monograph (Working Paper)
Language: English
Date: December 2018
Place of Publication: Toulouse
Subjects: B- ECONOMIE ET FINANCE
Divisions: TSE-R (Toulouse), TSM Research (Toulouse)
Institution: Université Toulouse 1 Capitole
Site: UT1
Date Deposited: 18 Dec 2018 13:12
Last Modified: 20 Aug 2019 12:12
OAI ID: oai:tse-fr.eu:33141
URI: http://publications.ut-capitole.fr/id/eprint/28369

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