Biais, Bruno, Bisière, Christophe, Bouvard, Matthieu, Casamatta, Catherine and Menkveld, Albert J. (2023) Equilibrium bitcoin pricing. Journal of Finance, vol. 78 (n° 2). pp. 967-1014.

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Identification Number : 10.1111/jofi.13206


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: Article
Language: English
Date: April 2023
Refereed: Yes
Place of Publication: Malden, Mass
Divisions: TSE-R (Toulouse)
Site: UT1
Date Deposited: 19 Sep 2022 13:36
Last Modified: 15 Mar 2024 12:31
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