The Empirical Analysis of Bitcoin Market in the General Equilibrium Framework

Aoyagi, Jun; Hattori, Takahiro

doi:10.2139/ssrn.3433833

Cited by 9 publications

(6 citation statements)

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“…There is a long-lived perception that the bitcoin price and the hashrate (i.e., the number of computations done by bitcoin miners) are connected, see for example Cointelegraph (2020). Some works in the financial literature went further and theorized that the movements of the hashrate are useful in predicting the bitcoin price (Hayes 2017;Hayes 2019;Aoyagi and Hattori 2019). At first glance, such a notion might seem wrong because producers are price-takers in competitive markets, and the amount of effort they put into the production of a good or service have no impact over the market price.…”

Section: Introductionmentioning

confidence: 99%

Does the Hashrate Affect the Bitcoin Price?

Fantazzini

Kolodin

2020

JRFM

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This paper investigates the relationship between the bitcoin price and the hashrate by disentangling the effects of the energy efficiency of the bitcoin mining equipment, bitcoin halving, and of structural breaks on the price dynamics. For this purpose, we propose a methodology based on exponential smoothing to model the dynamics of the Bitcoin network energy efficiency. We consider either directly the hashrate or the bitcoin cost-of-production model (CPM) as a proxy for the hashrate, to take any nonlinearity into account. In the first examined subsample (01/08/2016–04/12/2017), the hashrate and the CPMs were never significant, while a significant cointegration relationship was found in the second subsample (11/12/2017–24/02/2020). The empirical evidence shows that it is better to consider the hashrate directly rather than its proxy represented by the CPM when modeling its relationship with the bitcoin price. Moreover, the causality is always unidirectional going from the bitcoin price to the hashrate (or its proxies), with lags ranging from one week up to six weeks later. These findings are consistent with a large literature in energy economics, which showed that oil and gas returns affect the purchase of the drilling rigs with a delay of up to three months, whereas the impact of changes in the rig count on oil and gas returns is limited or not significant.

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Section: Introductionmentioning

confidence: 99%

Does the Hashrate Affect the Bitcoin Price?

Fantazzini

Kolodin

2020

JRFM

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“…While some empirical studies found significant bubble components in prices of cryptocurrencies (Corbet et al, 2018), others have documented relatively tight empirical links between these prices and measurable factors which could be interpreted as fundamentals. For example, Aoyagi and Hattori (2019) find evidence that the price of Bitcoin and its total hash rate are determined simultaneously in the long-run, and that the hash rate (Granger) causes the Bitcoin price in the short-run. Similarly, Bhambhwani et al (2019) find a strong relationship between the price, hashrate, and the number of active users for five major cryptocurrencies.…”

Section: Related Literaturementioning

confidence: 99%

The Equilibrium Value of Bitcoin

Radwanski¹

2021

SSRN Journal

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“…This is also a key reason to get rid of such high frequency components of price movements. For example, [17] find that a technical cost issue (i.e., hash rate) matters for determining the daily raw returns of Bitcoin. Moreover, [18] show that pump-and-dump schemes have been prevalent in cryptocurrency markets.…”

Section: Introductionmentioning

confidence: 99%