The Economics of Bitcoins - Market Characteristics and Price Jumps

Marc Gronwald

No 5121, CESifo Working Paper Series from CESifo

Abstract: This paper deals with the economics of Bitcoins in two ways. First, it broadens the discussion on how to capture Bitcoins using economic terms. Center stage in this analysis take the discussion of some unique characteristics of this market as well as the comparison of Bitcoins and gold. Second, the paper empirically analyses Bitcoin prices using an autoregressive jump-intensity GARCH model; a model tested and proven by the empirical finance community. Results suggest that Bitcoin price are particularly marked by extreme price movements; a behaviour generally observed in immature markets.

Keywords: bitcoins; jump models; commodity pricing (search for similar items in EconPapers)
JEL-codes: C12 C22 C58 G12 (search for similar items in EconPapers)
Date: 2014
References: Add references at CitEc
Citations: View citations in EconPapers (42)

Downloads: (external link)
https://www.cesifo.org/DocDL/cesifo1_wp5121.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ces:ceswps:_5121

Access Statistics for this paper

More papers in CESifo Working Paper Series from CESifo Contact information at EDIRC.
Bibliographic data for series maintained by Klaus Wohlrabe ().