The Economics of Bitcoins: News, Supply vs Demand and Slumps

Research output: Working paperDiscussion paper

188 Citations (Scopus)
29 Downloads (Pure)


This paper conducts the first detailed analysis of the dynamics of Bitcoin prices. The application of an autoregressive jump-intensity GARCH model allows one to study the role of both volatility clusters and extreme price movements. The results suggest that the influence of the latter is particularly pronounced - larger than in other markets - and remains largely unchanged over time. These results gain importance as the Bitcoin market only recently emerged and is characterised by a number of distinct market features which imply that there are no uncertainties on the Bitcoin supply-side. Thus, the observed price movements are attributable to demand side factors.
Original languageEnglish
PublisherUniversity of Aberdeen Business School
Number of pages19
Publication statusPublished - Dec 2015

Publication series

NameDiscussion Paper in Economics
PublisherUniversity of Aberdeen
ISSN (Electronic)0143-4543


  • Bitcoins
  • Jump models
  • Commodity Pricing

ASJC Scopus subject areas

  • Economics, Econometrics and Finance(all)

Fingerprint Dive into the research topics of 'The Economics of Bitcoins: News, Supply vs Demand and Slumps'. Together they form a unique fingerprint.

  • Cite this

    Gronwald, M. (2015). The Economics of Bitcoins: News, Supply vs Demand and Slumps. (Discussion Paper in Economics; Vol. 15, No. 17). University of Aberdeen Business School.