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Cryptocurrencies and Cagan’s model of hyperinflation
Journal of Macroeconomics ( IF 1.556 ) Pub Date : 2021-06-15 , DOI: 10.1016/j.jmacro.2021.103340
Urban J. Jermann

The drivers of the prices of Bitcoin and Ethereum are studied within a framework based on Cagan’s model of hyperinflation. In the model, the prices of the cryptocurrencies are driven by stochastic adoption and velocity shocks as well as endogenous expectations of future prices. The model is estimated with data for prices, transaction volumes, and money supplies. A majority of price fluctuations in both currencies can be attributed to shocks in adoption, velocity shocks are much less important. The money demand sensitivity to expected price changes is estimated to be larger for Bitcoin than for Ethereum, and both have higher sensitivity than fiat currencies during episodes of hyperinflation.



中文翻译:

加密货币和卡根的恶性通货膨胀模型

在基于 Cagan 恶性通货膨胀模型的框架内研究了比特币和以太坊价格的驱动因素。在模型中,加密货币的价格受随机采用和速度冲击以及对未来价格的内生预期驱动。该模型使用价格、交易量和货币供应量数据进行估计。两种货币的大部分价格波动都可归因于采用的冲击,而速度冲击则不那么重要。据估计,比特币对预期价格变化的货币需求敏感性高于以太坊,并且在恶性通货膨胀期间,两者都比法定货币具有更高的敏感性。

更新日期:2021-06-29
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