Equilibrium bitcoin pricing

Bruno Biais, Christophe Bisière, Matthieu Bouvard, Catherine Casamatta and Albert Menkveld
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Bruno Biais: TSE-R - Toulouse School of Economics - UT Capitole - Université Toulouse Capitole - UT - Université de Toulouse - EHESS - École des hautes études en sciences sociales - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement, CNRS - Centre National de la Recherche Scientifique
Matthieu Bouvard: TSE-R - Toulouse School of Economics - UT Capitole - Université Toulouse Capitole - UT - Université de Toulouse - EHESS - École des hautes études en sciences sociales - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement

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Abstract: We offer an overlapping generations equilibrium model of cryptocurrency pricing and confront it to new data on bitcoin transactional benefits and costs. The model emphasizes that the fundamental value of the cryptocurrency is the stream of net transactional benefits it will provide, which depend on its future prices. The link between future and present prices implies that returns can exhibit large volatility unrelated to fundamentals. We construct an index measuring the ease with which bitcoins can be used to purchase goods and services, and we also measure costs incurred by bitcoin owners. Consistent with the model, estimated transactional net benefits explain a statistically significant fraction of bitcoin returns.

Date: 2023-01-19
New Economics Papers: this item is included in nep-dge, nep-fdg, nep-fmk and nep-pay
Note: View the original document on HAL open archive server: https://hal.science/hal-04067665v1
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Citations: View citations in EconPapers (33)

Published in Journal of Finance (The), 2023, 78 (2), pp.967-1014. ⟨10.1111/jofi.13206⟩

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Related works:
Journal Article: Equilibrium Bitcoin Pricing (2023)
Working Paper: Equilibrium Bitcoin Pricing (2020)
Working Paper: Equilibrium Bitcoin Pricing (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-04067665

DOI: 10.1111/jofi.13206

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