how investible is bitcoin analyzing the liquidity and transaction costs of bitcoin markets abstract we examine the investibility of bitcoin by exploring the trading dynamics and market microstructure of bitcoin on three us cryptocurrency exchanges using high frequency intraday data of individual trades and quotes although all exchanges offer continuous trading we find that the highest trading activity highest volatility and lowest spreads coincide with us market trading hours suggesting that most trades are non algorithmic and executed by retail investors we further find that average quoted and effective spreads for bitcoin are lower than spreads on major equity exchanges implying that bitcoin is highly investible for retail size transactions

minimum variance hedging of bitcoin inverse futures we formulate an optimal hedging problem of bitcoin inverse futures under the minimum variance framework we obtain the optimal hedging strategy in closed forms for both short and long hedges and co

equilibrium real exchange rates closed form theoretical solutions and some empirical evidence abstract this paper generates closed form theoretical solutions for the relationships among the real exchange rate relative per capita consumption and relative wealth in a stochastic dynamic general equilibrium model of two countries representative consumers the solutions offer insight into the robust cross sectional relationship between relative per capita gdps and relative national price levels established in kravis and lipsey 1983 1987 1988 in a manner consistent with equilibrium exchange rate theories and the productivity differentials model of balassa 1964 and samuelson 1964 application of panel data from summers and heston 1988 to the model s structural equations yields economically plausible estimates of the elasticity of intertemporal substitution the relative importance of nondashtradables in consumption and the rate of time preference in several oecd countries relative to that in the united states

speculative bubbles in bitcoin markets an empirical investigation into the fundamental value of bitcoin amid its rapidly increasing usage and immense public interest the subject of bitcoin has raised profound economic and societal issues in this paper we undertake economic and econometric modelling of bitcoin prices as with many asset classes we show that bitcoin exhibits speculative bubbles further we find empirical evidence that the fundamental price of bitcoin is zero

tastes and technology in a two country model of the business cycle explaining international trade on international financial markets allows people to insure country specific risk and smooth consumption intertemporally equilibrium models of business cycles with trade on global financial markets typically yield international consumption correlations near one and excessive volatility of investment the authors incorporate nontraded goods in the model and find that the implications for aggregate consumption investment and the trade balance are consistent with business cycle properties of industrialized countries however the model driven by technology shocks alone yields counterfactual implications for comovements between consumption and prices at the sectoral level taste shocks produce price quantity relationships more consistent with the data copyright 1995 by american economic association

the economics of two sided markets at a local best buy a child places a new sony playstation 3 on the cashier s counter while the parents dig out their visa card the gaming system and the payment card may appear to have little connection other than this purchase however these two items share an important characteristic that is generating a series of economic insights and has important implications for strategic decision making and economic policymaking both video game systems and payment cards are examples of two sided markets broadly speaking a two sided market is one in which 1 two sets of agents interact through an intermediary or platform and 2 the decisions of each set of agents affects the outcomes of the other set of agents typically through an externality in the case of a video game system the intermediary is the console producer sony in the scenario above while the two sets of agents are consumers and video game developers neither consumers nor game developers will be interested in the playstation if the other party is not similarly a successful payment card requires both consumer usage and merchant acceptance where both consumers and merchants value each others participation many more products fit into this paradigm such as search engines newspapers and almost any advertisersupported media examples in which consumers often negatively value rather than positively value the participation of the other side as well as most software or title based operating systems and consumer electronics malls which seek retailers and consumers convention organizers which seek buyers and sellers dating services which seek men and women and the journal of economic perspectives which seeks content and readership all experience the economics of two sided markets the multi sided nature of many internet and high technology markets as well as

volatility estimation for bitcoin a comparison of garch models we explore the optimal conditional heteroskedasticity model with regards to goodness of fit to bitcoin price data it is found that the best model is the ar cgarch model highlighting the significance of including both a short run and a long run component of the conditional variance

exchange rate economics 1986 in the past fifteen years key exchange rates have moved in larger and more persistent ways than advocates of flexible rates in the late 1960s would have left anyone free to imagine certainly there was no expectation of constancy for nominal exchange rates but real exchange rate movements of 30 or forty percent were definitely not suggested as a realistic possibility moreover where these large movements did occur they did not obviously appear to be connected with fundamentals and hence seemed difficult to explain in terms of the exchange rate theories at hand the persistence of rate movements was as surprising as the rapid unwinding of apparent misalignments when they did ultimately occur the past fifteen years provide a natural dividing line between the keynesian and monetary approaches of the 1960s and the more recent analysis that takes into account exchange rate expectations and portfolio issues which took off in the early 1970s as well as the brand new approaches that concentrate on partial equilibrium microeconomics to review these ideas the paper starts with a brief look at the u s experience with flexible exchange rates from there it proceeds to the mundell fleming model as a comprehensive framework of analysis the following sections deal with persistent effects of policy disturbances links between exchange rates and prices the political economy of exchange rate movements and the question of policies toward excess capital mobility this abstract was borrowed from another version of this item

a time series analysis of representative agent models of consumption andleisure choice under uncertainty this paper investigates empirically a model of aggregate consumption and leisure decisions in which utility from goods and leisure is nontime separable the nonseparability of preferences accommodates intertemporal substitution or complementarity of leisure and thereby affects the comovements in aggregate compensation and hours worked these cross relations are examined empirically using postwar monthly u s data on quantities real wages and the real return on the one month treasury bill the estimated values of the parameters governing preferences differ significantly from the values assumed in several studies of real business models several possible explanations of these discrepancies are discussed

interest rates and currency prices in a two country world abstract this paper is a theoretical study of the determination of prices interest rates and currency exchange rates set in an infinitely lived two country world which is subject both to stochastic endowment shocks and to monetary instability formulas are obtained for pricing all equity claims nominally denominated bonds and currencies and these formulas are related to earlier closely related results in the theories of money finance international trade

platform competition in two sided markets many if not most markets with network externalities are two sided to succeed platforms in industries such as software portals and media payment systems and the internet must get both sides of the market on board accordingly platforms devote much attention to their business model that is to how they court each side while making money overall this paper builds a model of platform competition with two sided markets it unveils the determinants of price allocation and end user surplus for different governance structures profit maximizing platforms and not for profit joint undertakings and compares the outcomes with those under an integrated monopolist and a ramsey planner jel l5 l82 l86 l96

the impact of tether grants on bitcoin abstract in recent years tether issuances or grants have increased significantly which correlated broadly with a significant rise in bitcoin valuation this paper examines the impact of cryptocurrency issuances on subsequent cryptocurrency returns it is argued that as tether is the undisputed stable coin the minting of new tether acts similarly to monetary expansion in cryptocurrency markets inflating the prices of bitcoin we construct a var model and show contrary to investor expectations tether issuances do not impact subsequent bitcoin returns however they do impact traded volumes we also document an increase in tether trading following a subsequent decrease in bitcoin returns

concentration and public policies in the broadcasting industry the future of television tv regulation concentration and public policies in the broadcasting industry new technologies are deeply transforming the broadcasting industry what we have seen so far is only the beginning of a long story inevitably industry regulations must adapt which means that a wide ranging rethink of current practices is required in order to assess the likely evolution of the industry this article decomposes it into a number of components from conception of programmes to their broadcasting including distribution storage and licensing contrary to popular expectations the analysis suggests that the current high degree of concentration will if anything increase the policy implication is that regulation so far driven by now obsolete technological constraints should increasingly emphasize promoting competition massimo motta and michele polo

international portfolio nondiversification and exchange rate variability abstract incomplete international portfolio diversification is implied by an equilibrium models of exchange rates with nontraded goods the model can also explain the greater correlation between consumption and income within a country than between consumption across countries nontraded goods make more stringent the elasticity conditions required to explain exchange rate variability resulting from current productivity disturbances though not from disturbances to fiscal policies or the prospective return to investment the model is also consistent with international real interest rate differentials changes over time in the current account and relative wealth across nations and observed time series properties of exchange rates

market provision of broadcasting a welfare analysis this paper presents a theory of the market provision of broadcasting and uses it to address the nature of market failure in the industry advertising levels may be too low or too high depending on the nuisance cost to viewers the substitutability of programs and the expected benefits to advertisers from contacting viewers market provision may allocate too few or too many resources to programming and these resources may be used to produce programs of the wrong type monopoly ownership may produce higher social surplus than competitive ownership and the ability to price programming may reduce social surplus

purchasing power parity and unit root tests using panel data abstract this paper reports the results of unit root tests for real exchange rates using a panel framework this panel approach provides greatly improved power compared to conventional univariate time series unit root tests we obtain evidence supporting ppp over the recent flexible exchange rate period for g 6 and oecd countries we show explicitly that failure to find such evidence in previous research was due to the low power of the tests

price clustering in bitcoin investor and media attention in bitcoin has increased substantially in recently years reflected by the incredible surge in news articles and considerable rise in the price of bitcoin given the increased attention there little is known about the behaviour of bitcoin prices and therefore we add to the literature by studying price clustering we find significant evidence of clustering at round numbers with over 10 of prices ending with 00 decimals compared to other variations but there is no significant pattern of returns after the round number we also support the negotiation hypothesis of harris 1991 by showing that price and volume have a significant positive relationship with price clustering at whole numbers

price dispersion in bitcoin exchanges abstract bitcoin is traded in a number of exchanges and there is a large and time varying price dispersion among them we identify the sources of price dispersion using a standard time varying vector autoregression model with stochastic volatility and we find that shocks to transaction fees and bitcoin price growth explain on average 20 and sometimes more than 60 of the variation of price dispersion

are real exchange rates nonstationary evidence from a panel data test it is well documented that real exchange rates between the united states and many industrialized countries in the post bretton woods period are integrated this result implies that purchasing power parity ppp does not hold even as a long run relationship this paper demonstrates that the failure to reject the unit root hypothesis may result from the low power of existing univariate test procedures i test for unit roots in real exchange rates by employing a more powerful panel based procedure using both cpi and wpi real dollar exchange rate data i strongly reject the null hypothesis of a unit root my results provide overwhelming support for the long run ppp under the current float copyright 1996 by ohio state university press

can cryptocurrencies be a safe haven a tail risk perspective analysis abstractcryptocurrencies are one of the most promising financial innovations of the last decade different from major stock indices and the commodities of gold and crude oil the cryptocurrencies e

optimal vs naive diversification in cryptocurrencies abstract this paper contributes to the literature on cryptocurrencies by examining the performance of naive 1 n and optimal markowitz diversification in a portfolio of four popular cryptocurrencies we employ weekly data with weekly rebalancing and show there is very little to select between naive diversification and optimal diversification our results hold for different levels of risk aversion and an alternative estimation window

explaining service price differences in international comparisons this paper reexamines observed international differences in the price of services and the positive correlation of these with per capita gdp differences using a general trade model with a nontraced sector the authors find that differences in countries factor endowments populations trade policies and trade balances will have ambiguous and sometimes opposite effects on their service prices and real incomes estimating the service price equation using recent data suggests that larger endowments of agricultural land minerals and capital larger trade deficits and higher prices for tradables increase service prices conversely larger populations and labor forces reduce service prices copyright 1991 by american economic association

chicken and egg competition among intermediation service providers we analyze a model of imperfect price competition between intermediation service providers we insist on features that are relevant for informational intermediation via the internet the presence of indirect network externalities the possibility of using the nonexclusive services of several intermediaries and the widespread practice of price discrimination based on users identity and on usage efficient market structures emerge in equilibrium as well as some specific form of inefficient structures intermediaries have incentives to propose non exclusive services as this moderates competition and allows them to exert market power we analyze in detail the pricing and business strategies followed by intermediation services providers copyright 2003 by the rand corporation

price delay and market frictions in cryptocurrency markets abstract we study the efficiency of cryptocurrencies by measuring the price s reaction time to unexpected relevant information we find the average price delay to significantly decrease during the last three years for the cross section of 75 cryptocurrencies we find delays to be highly correlated with liquidity

the inefficiency of bitcoin revisited a dynamic approach abstract this letter revisits the informational efficiency of the bitcoin market in particular we analyze the time varying behavior of long memory of returns on bitcoin and volatility 2011 until 2017 using the hurst exponent our results are twofold first r s method is prone to detect long memory whereas dfa method can discriminate more precisely variations in informational efficiency across time second daily returns exhibit persistent behavior in the first half of the period under study whereas its behavior is more informational efficient since 2014 finally price volatility measured as the logarithmic difference between intraday high and low prices exhibits long memory during all the period this reflects a different underlying dynamic process generating the prices and volatility

risk uncertainty and exchange rates this paper is motivated by two facts failure of log linear empirical exchange rate models of the 1970 s and the observed variability of risk premiums in the forward market rational maximizing models predict that changes in conditional variances of monetary policies government spendings and income growths affect risk premiums and induce conditional volatility of exchange rates i examine theoretically how changes in these exogenous conditional variances affect the level of the current exchange rate and attempt to quantify the extent that this channel explains exchange rate volatility using autoregressive conditional heteroscedastic models

free entry and social inefficiency our goal is to provide a simple yet general exposition of the conditions under which the number of entrants in a free entry equilibrium is excessive insufficient or optimal our analysis compares the number of firms that enter a market when there is free entry with the number that would be desired by a social planner who is unable to control the behavior of firms once they are in the market that is we consider the second best problem of choosing the welfare maximizing number of firms while we take as given their noncompetitive behavior after entry we demonstrate that the crucial conditions for establishing the presence of an entry bias can be stated quite simply in terms of the outcome of the postentry game played by entrants in contrast to previous work we do not need to model this postentry game explicitly

adaptive market hypothesis and evolving predictability of bitcoin abstract this study evaluates the adaptive market hypothesis amh and evolving return predictability in bitcoin market we use two robust methods in a rolling window framework to capture time varying linear and nonlinear dependence in bitcoin returns we find that market efficiency evolves with time and validates the amh in bitcoin market

art market inefficiency art is often used as an investment vehicle given the importance of market efficiency in finance we use a large auction based index to test whether the art market is weakly efficient evidence reveals that returns on artworks exhibit high positive auto correlation we attribute this result to price truncation resulting from unobservable reserve prices in auctions we conclude that the art market is not efficient mainly because price formation is opaque to outsiders who lack information on unsold artworks

volatility and return jumps in bitcoin abstract in this article we are interested in understanding the dynamics of bitcoin daily returns and volatility cryptocurrencies have very high unconditional volatility and are subject to sudden massive price swings we start with a standard log normal stochastic volatility model then explore two formulations which incorporate discontinuous jumps to volatility and returns jumps to volatility are permanent while jumps to mean returns have contemporaneous effects only results point to two high volatility periods the first from late 2013 to early 2014 likely associated to the mt gox incident the second covers the year of 2017 peaking on december likely driven by increased popular attention jumps to mean returns are specially relevant to capture large price variations mostly negative associated with formative events in cryptocurrency markets such as hacks and unsuccessful fork attempts

a simple theory of advertising as a good or bad our analysis treats advertisements and the goods advertised as complements in stable metautility functions and generates new results for advertising by building on and extending the general analysis of complements by assimilating the theory of advertising into the theory of complements we avoid the special approaches to advertising found in many studies that place obstacles in the way of understanding the effects of advertising we also use this approach to evaluate advertising from a welfare perspective whether there is excessive or too little advertising depends on several variables the effects on consumer utility the degree of competition in the market for advertised goods the induced changes in prices and outputs of advertised goods and whether advertising is sold to consumers

an equilibrium model of exchange rate determination and asset pricing with nontraded goods and imperfect information this paper presents a two country model with maximizing households stochastic production stochastic money growth and perfect capital mobility because of the presence of nontraded goods households in different countries consume different goods analytic solutions are presented for the nominal exchange rate the real exchange rate nominal interest rates and real interest rates it is shown that the model is compatible with some important features of the real world behavior of exchange rates when households are imperfectly informed about the distribution of money growth the exchange rate exhibits patterns of overshooting and is more volatile than the ratio of the money stocks copyright 1987 by university of chicago press

how does the informed trading impact bitcoin returns and volatility this study employed an augmented ar gjrgarch model that incorporates an intraday based buy sell order size imbalance measure to explore how informed trading behaviour activity impacted bitcoin retu

is bitcoin a commodity on price jumps demand shocks and certainty of supply abstract this paper discusses how similar bitcoin is to a commodity the application of a number of both linear and non linear garch models indicates that the role of extreme price movements is particularly pronounced garch models with student t innovations as well as combined jump garch models are among the models with the best fit the role of large movements is found to be stronger in the bitcoin market than in the markets for crude oil and gold as bitcoin shares with these exhaustible resource commodities characteristics such as the fixed supply the analysis of bitcoin prices can generally learn from the analysis of exhaustible resource commodities however whereas the short run supply of gold and oil are uncertain there are no uncertainties on the bitcoin supply side thus the observed movements of bitcoin prices can be interpreted as results of bitcoin demand shocks

decentralized efficiency arbitrage in bitcoin markets using tick level bitcoin data from february 2013 through april 2018 we show substantial arbitrage spreads between global bitcoin markets spreads follow multiple consistent patterns minimum and m

liquidity and market efficiency in cryptocurrencies we examine the liquidity of 456 different cryptocurrencies and show that return predictability diminishes in cryptocurrencies with high market liquidity we show that whilst bitcoin returns are showing signs of efficiency numerous cryptocurrencies still exhibit signs of autocorrelation and non independence our findings also show a strong relationship between the hurst exponent and liquidity on a cross sectional basis therefore we conclude that liquidity plays a significant role in market efficiency and return predictability of new cryptocurrencies

the inefficiency of bitcoin bitcoin has received much attention in the media and by investors in recent years although there remains scepticism and a lack of understanding of this cryptocurrency we add to the literature on bitcoin by studying the market efficiency of bitcoin through a battery of robust tests evidence reveals that returns are significantly inefficient over our full sample but when we split our sample into two subsample periods we find that some tests indicate that bitcoin is efficient in the latter period therefore we conclude that bitcoin in an inefficient market but may be in the process of moving towards an efficient market

the role of online platforms for media markets two dimensional spatial competition in a two sided market abstract we analyze the market for online and offline media in a model of two dimensional spatial competition where media outlets sell content and advertising space consumer preferences are distributed along the style and type of news coverage where the distance costs may vary across dimensions for integrated provision of online and offline platforms we show that entering the online market reduces average profits and may even constitute a prisoner s dilemma specialized provision may yield polarization in the style and type dimensions this is in contrast to the maximum minimum differentiation result previously established in the literature on multidimensional horizontal competition we show that maximal differentiation in both dimensions occurs due to the discrete nature of the type dimension and asymmetric advertising markets

efficiency enhancing taxation in two sided markets this paper examines the efficient provision of goods in two sided markets and characterizes optimal specific and ad valorem taxes we show that i a monopoly may have too high output compared to the social optimum ii output may be reduced by imposing negative value added taxes subsidy or positive specific taxes

what drives bitcoin s price crash risk abstract we examine the association of the bitcoin price crash risk with economic uncertainty and behavioral factors we show that economic uncertainty displays a negative and significant association with bitcoin price crash risk indicating that when economic uncertainty is high the crash risk of bitcoin is low we also find that behavioral factors have a weak association with bitcoin crash risk our results suggest that investors can hedge economic uncertainty by investing in bitcoin

momentum trading in cryptocurrencies short term returns and diversification benefits abstract we test for the presence of momentum effects in cryptocurrency market and estimate dynamic conditional correlations dccs of returns between momentum portfolios of cryptocurrencies and traditional assets first investment portfolios are constructed adherent to the classic j k momentum strategy using daily data from twelve cryptocurrencies for over a period of three years we identify the existence of momentum effect which is highly significant for short term portfolios but disappears over the longer term second we show that cross correlations of weekly returns between momentum portfolio of cryptocurrencies and traditional assets are unlike correlations of returns between traditional assets third we find that momentum portfolios of cryptocurrencies not only offer diversification benefits but also can be a hedge and safe haven for traditional assets

a formalisation and test of the factor productivity explanation of international differences in service prices this paper extends and integrates previous models of the determinants of international differences in the prices of services relative to tradable commodities the authors provide a model capable of identifying the effects of differences in total factor productivity on service price differences separately from the effects of factor endowment differences they propose a method for measuring these factor productivity difference effects and apply this to a sample of sixty countries in 1980 the authors results provide support both for the endowment difference and productivity difference explanations suggesting that in this context at least the two hypotheses are complements rather than competitors copyright 1996 by economics department of the university of pennsylvania and the osaka university institute of social and economic research association

price discovery of cryptocurrencies bitcoin and beyond abstract academic research on cryptocurrencies is almost exclusively directed towards bitcoin we extend existing literature by performing various tests on efficiency of several cryptocurrencies and additionally link efficiency to measures of liquidity cryptocurrencies become less predictable inefficient as liquidity increases

long memory and efficiency of bitcoin under heavy tails the long memory is usually defined via auto covariances which further connect with hurst exponent the heavy tails in bitcoin returns can cause infinite auto covariances which make the analysis of

an application of extreme value theory to cryptocurrencies we study the tail behaviour of the returns of five major cryptocurrencies by employing an extreme value analysis and estimating value at risk and expected shortfall as tail risk measures we find that bitcoin cash is the riskiest while bitcoin and litecoin are the least risky cryptocurrencies

valuing new goods in a model with complementarity online newspapers many important economic questions hinge on the extent to which new goods either crowd out or complement consumption of existing products recent methods for studying new goods rule out complementarity by assumption so their applicability to these questions has been limited i develop a new model that relaxes this restriction and use it to study competition between print and online newspapers using new micro data from washington dc i estimate the relationship between the print and online papers in demand the welfare impact of the online paper s introduction and the expected impact of charging positive online prices

does twitter predict bitcoin this paper adds to the growing literature of bitcoin by examining the link between investor attention and bitcoin returns trading volume and realized volatility unlike previous studies we employ the number of tweets from twitter as a measure of attention rather than google trends as we argue this is a better measure of attention from more informed investors we find that the number of tweets is a significant driver of next day trading volume and realized volatility which is supported by linear and nonlinear granger causality tests

on the predictive power of arji volatility forecasts for bitcoin motivated by the recent literature on cryptocurrency volatility dynamics this paper adopts the arji garch egarch and cgarch models to explore their capabilities to make out of sample volatility

consumption and real exchange rates in dynamic economies with non traded goods abstract we examine the possibility that non traded goods may account for several striking features of international macroeconomic data large persistent deviations from purchasing power parity small correlations of aggregate consumption fluctuations across countries and substantial international real interest rate differentials a dynamic exchange economy is used to show that non traded goods in principle can account for each of these phenomena in the theory there is a close relation between fluctuations in consumption ratios and those in bilateral real exchange rates but we find little evidence for this relation in time series data for eight oecd countries

structural determinants of real exchange rates and national price levels some empirical evidence contrary to the long held notion of purchasing power parity ppp economists have found systematic evidence that the general level of prices across countries at a point in time varies dramatically irving b kravis alan w heston and robert summers 1982 for example report that some countries national price levels are no more than one third the u s price level extensions of this work show that such departures from ppp have persisted for decades recently efforts have been made to explain systematically these persistent or structural departures from ppp pioneering work by kravis and robert e lipsey 1983 1987 1988 has demonstrated that a positive correlation between the price level and real per capita gross domestic product is robust across numerous cross sectional specifications for instance using data from kravis et al 1982 table 6 12 87 percent of the variation in national price levels pl of 21 countries in 1975 is explained by per capita gdp y and a constant

modelling the dynamics of bitcoin and litecoin garch versus stochastic volatility models abstractwe examine and compare a large number of generalized autoregressive conditional heteroskedastic garch and stochastic volatility sv models using series of bitcoin and litecoin price retu

the optimal timing of adoption of a green technology we study the optimal timing of adoption of a cleaner technology and its effects on the rate of growth of an economy in the context of an ak endogenous growth model we show that the results depend upon the behavior of the marginal utility of environmental quality with respect to consumption when it is increasing we derive the capital level at the optimal timing of adoption we show that this capital threshold is independent of the initial conditions on the stock of capital implying that capital poor countries tend to take longer to adopt also country specific characteristics as the existence of high barriers to adoption may lead to different capital thresholds for different countries if the marginal utility of environmental quality decreases with consumption a country should never delay adoption the optimal policy is either to adopt immediately or if adoption costs are too high to never adopt the policy implications of these results are discussed in the context of the international debate surrounding the environmental political agenda

crypto currencies an introduction to not so funny moneys we introduce the distributed ledger blockchain technology of crypto currencies we examine the monetary attributes of crypto currencies and describe some of the reasons they have been adopted the paper discusses the mechanics of bitcoin the original crypto currency to illustrate the fundamental elements of decentralized crypto currencies we then provide a high level summary of the implications of crypto currencies for consumers financial systems and for monetary and regulatory authorities we argue that crypto currencies are unlikely to supplant traditional fiat currencies and we anticipate an enduring role for financial intermediaries in facilitating credit

what causes the attention of bitcoin bitcoin has received enormous attention both by the media and investors alike but why has bitcoin received such attention this paper answers this question by examining the relationship between investor attention and bitcoin fundamentals and finds that realized volatility and volume are both significant drivers of next day attention of bitcoin

on the inefficiency of bitcoin abstract urquhart 2016 investigated the market efficiency of bitcoin by means of five different tests on bitcoin returns it was concluded that the bitcoin returns do not satisfy the efficient market hypothesis we show here that a simple power transformation of the bitcoin returns do satisfy the hypothesis through the use of eight different tests the transformation used does not lead to any loss of information

national price levels and the prices of tradables and nontradables this paper examines changes in national price levels and prices of tradables and nontradables and relates them to changes in variables found earlier to be associated with price level differences among countries across countries national price levels increase systematically with the level of a country s per capita income and the ratios of tradables to nontradables prices decrease over time increases in per capita income are generally associated with increases in price levels in the industrial countries although the opposite relationship tended to prevail among developing countries increases in income are associated with declines in the ratio of tradables to nontradables price levels more consistently than with the increases in general price levels increases in the exchange value of a currency are also associated with declines in the price levels for tradablesrelative to nontradables countries with price levels that were high or low relative to those predicted by the structural equations tended to move toward those predicted levels this abstract was borrowed from another version of this item

announcement effects in the cryptocurrency market cryptocurrencies have gained popularity as new economic investment assets globally in recent years this study examines market reactions to major news events associated with cryptocurrencies abnor

some stylized facts of the cryptocurrency market abstractwe examine the stylized facts of eight forms of cryptocurrencies representing almost 70 of cryptocurrency market capitalization in particular the empirical results show that 1 there ex

government expenditure and equilibrium real exchange rates abstract government expenditures financed by lump sum taxes influence real exchange rates potentially via a resource withdrawal channel and a consumption tilting channel recent theoretical and empirical studies have considered only the effects of government spending through the resource withdrawal channel we solve for the theoretical relationships among the real exchange rate relative private consumption relative government consumption and tradables and nontradables production in a two country general equilibrium model and then estimate the model s structural equations the results suggest that government expenditures influence real exchange rates approximately equally via the resource withdrawal and consumption tilting channels and that government and private consumption are complements in utility

network or pay per view a welfare analysis the welfare effects of pay per view television and advertising supported networks are compared it is shown that pay per view television admits third degree price discrimination and may involve a large loss of consumer surplus

business cycles and the exchange rate system some international evidence this paper investigates the differences in time series behavior of key economic aggregates under alternative exchange rate systems we use a postwar sample of 49 countries to compare the behavior of output consumption trade flows government consumption spending and real exchange rates under alternative exchange rate systems pegged floating and cooperative systems such as the ems we then examine evidence from two particular episodes involving canada and ireland of changes in the exchange rate system aside from greater variability of real exchange rates under flexible than under pegged nominal exchange rate systems we find little evidence of systematic differences in the behavior of macroeconomic aggregates or international trade flows under alternative exchange rate systems these results are of interest because a large class of theoretical models implies that the nominal exchange rate system has important effects on a number of macroeconomic quantities

two sided markets a progress report the paper provides a road map to the burgeoning literature on two sided markets and presents new results it identifies two sided markets with markets in which the structure and not only the level of prices charged by platforms matters the failure of the coase theorem is necessary but not sufficient for two sidedness the paper builds a model integrating usage and membership externalities that unifies two hitherto disparate strands of the literature emphasizing either form of externality and obtains new results on the mix of membership and usage charges when price setting or bargaining determine payments between end users

a panel project on purchasing power parity mean reversion within and between countries abstract previous time series studies have shown evidence of mean reversion in real exchange rates deviations from purchasing power parity ppp appear to have half lives of approximately four years however the long samples required for statistical significance are unavailable for most currencies and are potentially inappropriate because of regime changes in this study we re examine deviations from ppp using a panel of 150 countries and 45 annual post wwii observations our panel shows strong evidence of mean reversion that is similar to that from long time series ppp deviations are eroded at a rate of approximately 15 annually i e their half life is around four years such findings can be masked in time series data but are relatively easy to find in cross sections

consumption real exchange rates and the structure of international asset markets abstract international real business cycle irbc models that assume complete asset markets yield strong restrictions for consumption and bilateral real exchange rate series empirical tests with data for the us japan france uk italy canada and sweden suggest that neither the trend behavior nor high frequency movements of consumption and real exchange rates are well explained by irbc models with complete markets it appears however that high frequency fluctuations of consumption and real exchange rates are consistent with unrestricted international trade in risk free bonds

betting on bitcoin does gambling volume on the blockchain explain bitcoin price changes abstract we measure lottery appetite using historical gaming transaction data of bitcoin holders changes in the volume spent on the most lottery like gambling wallet explain 32 of variation in the returns to the btc price pre 2016 but this effect disappears post 2016

bitcoin s energy consumption is it the achilles heel to miner s revenue abstract in this paper we add a new dimension to the cryptocurrency literature by examining the relationship between bitcoin s energy consumption and miner s revenue by resorting to quantile and markov regime switching regression we report a negative association between these variables further the negative impact is strongly significant when the miner s revenues are low and volatile thus the higher energy consumption in the wake of escalating global energy costs amid bearish market sentiments impedes the miners to break even hence it would not be viable to sustain the business unless cheap energy sources and efficient mining hardware are relied upon

commodity futures and market efficiency we propose a comprehensive treatment of the leverage effect i e the relationship between returns and volatility of a specific asset focusing on energy commodities futures namely brent and wti crude oils natural gas and heating oil after estimating the volatility process without assuming any specific form of its behavior we find the volatility to be long term dependent with the hurst exponent on a verge of stationarity and non stationarity to overcome such complication we utilize the detrended cross correlation and the detrending moving average cross correlation coefficients and we find the standard leverage effect for both crude oils and heating oil for natural gas we find the inverse leverage effect additionally we report that the strength of the leverage effects is scale dependent finally we also show that none of the effects between returns and volatility is detected as the long term cross correlated one these findings can be further utilized to enhance forecasting models and mainly in the risk management and portfolio diversification

demand for differentiated products discrete choice models and the characteristics approach we propose a specific characteristics framework in order to construct linkages between alternative conceptual approaches to modelling product differentiation first it is shown that a demand system which satisfies the gross substitutes property imposes specific requirements on the locations of products in particular the dimension of the characteristics space must be larger than or equal to the number of products minus one we then identify a method for casting a given demand system subject to certain restrictions into our characteristics framework this is illustrated for the logit probit and linear probability models of discrete choice theory finally we find a characteristics representation of the ces representative consumer

cryptocurrencies and momentum abstract retrieving a set of 143 cryptocurrencies for a sample spanning 2014 2018 we investigate the popular momentum strategy implemented in the cryptocurrency market contrary to earlier studies our findings do not indicate any evidence of significant momentum payoffs supporting the view that the cryptocurrency market is far more efficient than suggested in earlier studies

dynamics of a floating exchange rate regime we study the full equilibrium dynamics of a two country world economy with a floating exchange rate traded and nontraded goods and explicit modeling of the use of money the resulting exchange rate equation depends on several details of the economic structure such as the supply structure and propensities to spend on various goods although real exchange rate movements have the usual association with the current account the ordinary exchange rate may appreciate or depreciate when there are deficits on current account even when the quantities of money do not change deviations from purchasing power parity and the fisher equation are shown to be the rule rather than the exception

aggregation and imperfect competition on the existence of equilibrium we present a new approach to the theory of imperfect competition and apply it to study price competition among differentiated products the central result provides general conditions under which there exists a pure strategy price equilibrium for any number of firms producing any set of products this includes products with multi dimen sional attributes in addition to the proof of existence we provide conditions for uniqueness our analysis covers location models the characteristics approach and probabilistic choice together in a unified framework to prove existence we employ aggregation theorems due to prekopa 1971 and borell 1975 our companion paper caplin and nalebuff 1991 introduces these theorems and develops the application to super majority voting rules we present a new approach to the theory of imperfect competition and apply it to study price competition among differentiated products the central result is that there exists a pure strategy price equilibrium for any number of firms producing any set of products in addition to the proof of existence we provide conditions for uniqueness our model both unites diverse strands of the earlier literature and opens up uncharted areas for future analysis in particular we expand the traditional one dimensional framework to allow for multi dimen sional product differentiation our approach involves twin restrictions on consumer preferences one on individuals preferences the other on the distribution of preferences across society these are generalizations of the restrictions supporting 64 majority rule presented in caplin and nalebuff 1988 to prove existence we apply a new technique of aggregation this technique is valuable in a variety of other problems in the companion paper we use the aggregation result to generalize our earlier work on 64 majority rule and to characterize the relationship between the distribution of human capital and the distribution of income caplin and nalebuff 1991 there are additional applications in statistics and in search theory we begin with a brief review of the early literature on imperfect competition describing in more detail the existence problem and previous solutions section 3 presents our twin assumptions and shows that they cover many standard cases in section 4 we introduce the aggregation theorem and use it in the analysis of demand functions the proof of existence of equilibrium is in section

crypto currency bubbles an application of the phillips shi yu 2013 methodology on mt gox bitcoin prices the creation of bitcoin heralded the arrival of digital or crypto currency and has been regarded as a phenomenon since its introduction it has experienced a meteoric rise in price and rapid growth accompanied by huge volatility swings and also attracted plenty of controversies which even involved law enforcement agencies hence claims abound that bitcoin has been characterized by bubbles ready to burst any time e g the recent collapse of bitcoin s biggest exchange mt gox this has earned plenty of coverage in the media but surprisingly not in the academic literature we therefore fill this knowledge gap we conduct an econometric investigation of the existence of bubbles in the bitcoin market based on a recently developed technique that is robust in detecting bubbles that of phillips et al 2013a over the period 2010 2014 we detected a number of short lived bubbles most importantly we found three huge bubbles in the latter part of the period 2011 2013 lasting from 66 to 106 days with the

international lending and borrowing in a stochastic stationary equilibrium this paper develops a simple general equilibrium model of international borrowing and lending in which national products are subject to random fluctuations international capital flows arise from the efforts of risk averse households in different countries to self insure against random income fluctuations by accumulating foreign claims that can be used to finance a less variable profile of consumption relative to national income in the absence of aggregate uncertainty a stationary rational expectations equilibrium is shown to exist despite the fact that rates of time preference differ among countries a number of results many of which enrich those in the existing literature are obtained copyright 1990 by economics department of the university of pennsylvania and the osaka university institute of social and economic research association

predicting cryptocurrency defaults we examine all available 146 proof of work based cryptocurrencies that started trading prior to the end of 2014 and track their performance until december 2018 we find that about 60 of those cryp

capital flows investment and exchange rates abstract this paper incorporates international capital flows into a two country monetary general equilibrium model of asset prices with investment and production we calculate theoretical covariances between investment the current account the exchange rate and the terms of trade these covariances depend upon the coefficient of relative risk aversion the magnitude and sign of a country s net international indebtedness other properties of tastes and technologies and the stochastic processes on disturbances to productivity and monetary growth rates international capital flows arise from changes in world wealth and its relative composition in foreign and domestic assets