Does bitcoin reveal new information about exchange rates and financial integration?

Gina Pieters

No 292, Globalization Institute Working Papers from Federal Reserve Bank of Dallas

Abstract: I show that the prices of the internationally traded crypto-currency bitcoin can be used to estimate a currency?s unofficial exchange rate and capital controls at a daily interval. Two important bitcoin features are documented: (1) Bitcoin-based exchange rates approximate the behavior, but not the level, of unofficial exchange rates, and (2) Bitcoin prices contain a bitcoin-trend term and must be appropriately normalized prior to being used for this purpose. Bitcoin-based exchange rates reveal that (3) there is no consistent pattern of Granger causality between unofficial rates and official rates by exchange rate regime or barriers at the daily frequency, and (4) that countries can engage in short-interval capital controls.

JEL-codes: F31 F33 G15 O17 (search for similar items in EconPapers)
Pages: 36 pages
Date: 2016-12-01
New Economics Papers: this item is included in nep-mon
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:fip:feddgw:292

DOI: 10.24149/gwp292

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