Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/213547
Authors: 
Ciaian, Pavel
Kancs, D'Artis
Rajcaniova, Miroslava
Year of Publication: 
2018
Series/Report no.: 
EERI Research Paper Series 14/2018
Abstract: 
This is the first paper that estimates the price determinants of BitCoin in a Generalised Autoregressive Conditional Heteroscedasticity framework using high frequency data. Derived from a theoretical model, we estimate BitCoin transaction demand and speculative demand equations in a GARCH framework using hourly data for the period 2013-2018. In line with the theoretical model, our empirical results confirm that both the BitCoin transaction demand and speculative demand have a statistically significant impact on the BitCoin price formation. The BitCoin price responds negatively to the BitCoin velocity, whereas positive shocks to the BitCoin stock, interest rate and the size of the BitCoin economy exercise an upward pressure on the BitCoin price.
Subjects: 
Virtual currencies
BitCoin returns
volatility
price formation
GARCH
JEL: 
E31
E42
G12
Document Type: 
Working Paper

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