Is Bitcoin a Commodity? On Price Jumps, Demand Shocks, and Certainty of Supply

Marc Gronwald (Corresponding Author)

Research output: Contribution to journalArticlepeer-review

15 Citations (Scopus)


This paper discusses how similar Bitcoin is to a commodity. The application of a number of both linear and non-linear GARCH models indicates that the role of extreme price movements is particularly pronounced. GARCH models with student-t innovations as well as combined jump-GARCH models are among the models with the best fit. The role of large movements is found to be stronger in the Bitcoin market than in the markets for crude oil and gold. As Bitcoin shares
with these exhaustible resource commodities characteristics such as the fixed supply, the analysis of Bitcoin prices can generally learn from the analysis of exhaustible resource commodities. However, whereas the short-run supply of gold and oil are uncertain, there are no uncertainties on the Bitcoin supply-side. Thus, the observed movements of Bitcoin prices can be interpreted as results of Bitcoin demand shocks.
Original languageEnglish
Pages (from-to)86-92
Number of pages7
JournalJournal of International Money and Finance
Early online date5 Jul 2019
Publication statusPublished - Oct 2019


  • Bitcoins
  • Jump models
  • Bitcoin demand shocks
  • Price jumps
  • Security of supply

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