Baldan Cinzia, Zen Francesco
Department of Economics and Management, University of Padova, Padua, Italy.
Front Artif Intell. 2020 Apr 30;3:21. doi: 10.3389/frai.2020.00021. eCollection 2020.
The present work investigates the impact on financial intermediation of distributed ledger technology (DLT), which is usually associated with the blockchain technology and is at the base of the cryptocurrencies' development. "Bitcoin" is the expression of its main application since it was the first new currency that gained popularity some years after its release date and it is still the major cryptocurrency in the market. For this reason, the present analysis is focused on studying its price determination, which seems to be still almost unpredictable. We carry out an empirical analysis based on a cost of production model, trying to detect whether the Bitcoin price could be justified by and connected to the profits and costs associated with the mining effort. We construct a sample model, composed of the hardware devices employed in the mining process. After collecting the technical information required and computing a cost and a profit function for each period, an implied price for the Bitcoin value is derived. The interconnection between this price and the historical one is analyzed, adopting a Vector Autoregression (VAR) model. Our main results put on evidence that there aren't ultimate drivers for Bitcoin price; probably many factors should be expressed and studied at the same time, taking into account their variability and different relevance over time. It seems that the historical price fluctuated around the model (or implied) price until 2017, when the Bitcoin price significantly increased. During the last months of 2018, the prices seem to converge again, following a common path. In detail, we focus on the time window in which Bitcoin experienced its higher price volatility; the results suggest that it is disconnected from the one predicted by the model. These findings may depend on the particular features of the new cryptocurrencies, which have not been completely understood yet. In our opinion, there is not enough knowledge on cryptocurrencies to assert that Bitcoin price is (or is not) based on the profit and cost derived by the mining process, but these intrinsic characteristics must be considered, including other possible Bitcoin price drivers.
本研究探讨分布式账本技术（DLT）对金融中介的影响，该技术通常与区块链技术相关联，是加密货币发展的基础。“比特币”是其主要应用的体现，因为它是第一种在发布几年后就受到欢迎的新货币，并且至今仍是市场上的主要加密货币。因此，本分析着重研究其价格决定因素，而这似乎仍然几乎无法预测。我们基于生产成本模型进行实证分析，试图检测比特币价格是否能通过与挖矿活动相关的利润和成本来解释并与之相关联。我们构建了一个样本模型，该模型由挖矿过程中使用的硬件设备组成。在收集所需的技术信息并计算每个时期的成本和利润函数后，得出比特币价值的隐含价格。采用向量自回归（VAR）模型分析该价格与历史价格之间的相互关系。我们的主要结果表明，比特币价格没有最终驱动因素；可能需要同时考虑许多因素，并考虑它们随时间的变化和不同相关性。在2017年之前，比特币的历史价格似乎围绕模型（或隐含）价格波动，之后比特币价格大幅上涨。在2018年的最后几个月，价格似乎再次沿着共同路径趋于一致。具体而言，我们关注比特币价格波动较大的时间窗口；结果表明，它与模型预测的价格脱节。这些发现可能取决于新加密货币的特殊特征，而这些特征尚未被完全理解。我们认为，目前对加密货币的了解还不足以断言比特币价格是否基于挖矿过程产生的利润和成本，但必须考虑这些内在特征，包括其他可能的比特币价格驱动因素。
