The volatility of Bitcoin and its role as a medium of exchange and a store of value

被引:93
作者
Baur, Dirk G. [1 ]
Dimpfl, Thomas [2 ]
机构
[1] Univ Western Australia, Business Sch, 35 Stirling Highway, Perth, WA 6009, Australia
[2] Univ Tubingen, Sch Business & Econ, Geschwister Scholl Pl, D-72074 Tubingen, Germany
关键词
Bitcoin; Digital currency; Medium of exchange; Volatility; ECONOMICS; CURRENCY;
D O I
10.1007/s00181-020-01990-5
中图分类号
F [经济];
学科分类号
02 ;
摘要
Bitcoin is designed as a peer-to-peer cash system. To work as a currency, it must be stable or be backed by a government. In this paper, we show that the volatility of Bitcoin prices is extreme and almost 10 times higher than the volatility of major exchange rates (US dollar against the euro and the yen). The excess volatility even adversely affects its potential role in portfolios. Our analysis implies that Bitcoin cannot function as a medium of exchange and has only limited use as a risk-diversifier. In contrast, we use the deflationary design of Bitcoin as a theoretical basis and demonstrate that Bitcoin displays store of value characteristics over long horizons.
引用
收藏
页码:2663 / 2683
页数:21
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