The Economics of Bitcoins

News, Supply vs Demand and Slumps

Research output: Working paperDiscussion paper

133 Citations (Scopus)
25 Downloads (Pure)

Abstract

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
No.17
Volume15
ISSN (Electronic)0143-4543

Fingerprint

Economics
News
Supply and demand
Jump
Factors
Supply side
Uncertainty
GARCH model

Keywords

  • Bitcoins
  • Jump models
  • Commodity Pricing

ASJC Scopus subject areas

  • Economics, Econometrics and Finance(all)

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.

The Economics of Bitcoins : News, Supply vs Demand and Slumps. / Gronwald, Marc.

University of Aberdeen Business School, 2015. (Discussion Paper in Economics; Vol. 15, No. 17).

Research output: Working paperDiscussion paper

Gronwald, M 2015 'The Economics of Bitcoins: News, Supply vs Demand and Slumps' Discussion Paper in Economics, no. 17, vol. 15, University of Aberdeen Business School.
Gronwald M. The Economics of Bitcoins: News, Supply vs Demand and Slumps. University of Aberdeen Business School. 2015 Dec. (Discussion Paper in Economics; 17).
Gronwald, Marc. / The Economics of Bitcoins : News, Supply vs Demand and Slumps. University of Aberdeen Business School, 2015. (Discussion Paper in Economics; 17).
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