Introduction :
Bitcoin is a string of codes that can be stored in a wallet on a computer. It is characterized by a decentralized system, that is to say that neither the government nor a financial institution is involved in the regulation of Bitcoin transactions. In fact, the main users of Bitcoin are anarchists who have lost faith in banking systems and risky speculative enthusiasts (Wijk, 2013). From the introduction of Bitcoin, Wijk indicates that the research carried out on the subject of Bitcoin has been done mainly on the technical level. However, he points out that Bitcoin deserves to be studied from an economic point of view.
Goal :
Study the economic system of
Bitcoin.
Problem :
“How does daily financial data
influence the value of Bitcoin? »
Literature paper :
- accepted instrument in exchanges: consumption and
production (Papadopoulos, 2009).
- Adam Smith indicates that money can get its
value when it is used to pay tax.
- In many theories, agents accept fiat money
because its market is infinitely long (Kiyotaki & Wright, 1989). This
assumption ensures that the market never fails, thus the uncertainty
factor in future trading is eliminated. However, this phenomenon is not
observed, which makes this hypothesis of fiat money unreal.
- wijk finds that Bitcoin can be seen as an
example of the type of fiat money in the economy
Methodology :
|
Echantillon |
Variables to be explained |
Explanatory variables |
Statistical tools |
|
Observation: 759 -Period: : 19/07/2010à 13/06/2013 -Daily data divided into 5 days/week
|
The closing value of the Bitcoin exchange rate against the dollar (change in value BTC/USD) |
-DOW Jones Index -FTSE 100 Index - Nikkei 225 Index -Euro/USD exchange rate -Yen/USD exchange rate -Oil prices (WTI) -UBS Bloomberg Constant Maturity Commodity Index (CMCI) oil (oil_index) |
-Logiciel : Eviews 7 -Ordinary Least Squares (OLS) -Error
Correction Model -The autoregressive distributed lag (ARDL)
model |
Results :
According to this article, Wijk finds that
the only variable influencing the Bitcoin price is the Dow Jones index and the
other variables are not significant using the OLS method. In order to avoid the
problem of cointegration and distinguish between the long-term and short-term
effect of the explanatory variables on the dependent variable, the ECM model
will be used. This model takes into consideration both stationary and
non-stationary variables:
Long-term :
Wijk indicates that the Dow Jones index,
exchange rate (Euro / USD) and the price of oil (WTI) have a significant impact
on the value of Bitcoin while the other variables have a very low coefficient.
- The DOW Jones index has a positive effect. This means that Bitcoin's value is positively correlated with US economic performance.
- The Euro/USD exchange rate has a negative impact on the price of Bitcoin in the long term. If the value of the USD appreciates against the Euro, it is likely that it will also appreciate against Bitcoin. However, if the value of the Euro increases against the USD in this case this exchange rate leads to a decrease in the value of the USD which has to pay for one unit of Bitcoin, which further decreases its value.
- An increase in the price of oil leads to a lower consumer budget, this implies that the demand from economic agents decreases, and therefore this leads to a decrease in the value of Bitcoin.
Short term :
- Wijk finds that the past value of Bitcoin
negatively influences its current value. This
indicates that there is a downward trend.
- Wijk thus underlines that the effect of the Dow Jones index remains positive in the short term, while the Nikkei 225 index has a negative effect on the value of Bitcoin. this can be explained that the value of Bitcoin is closely correlated with the American economy.
Conclusion :
Comments
Post a Comment