DATASET

Digital finance and virtual currency data

Collection: EUREGIO : Economic and Financial Data at the Regional, Sectoral and Micro Level 

Description

Digital finance data in support of the Commission's Proposal on Crypto Assets

Contact

Email
d'artis.kancs (at) ec.europa.eu

Contributors

How to cite

European Commission, Joint Research Centre (JRC) (2020): Digital finance and virtual currency data. European Commission, Joint Research Centre (JRC) [Dataset] PID: http://data.europa.eu/89h/201bbb6b-dd80-4645-8b81-4b84ba86fcd7

Publications

Publication
The Economics of BitCoin Price Formation
Ciaian P; Rajcaniova M; Kancs D. The Economics of BitCoin Price Formation. APPLIED ECONOMICS 48 (19); 2016. p. 1799–1815. JRC99549
  • ROUTLEDGE JOURNALS, ENGLAND, OXFORDSHIRE
Publication page 
  • Abstract

    This is the first article that studies BitCoin price formation by considering both the traditional determinants of currency price, e.g., market forces of supply and demand, and digital currencies specific factors, e.g., BitCoin attractiveness for investors and users. The conceptual framework is based on the Barro (1979) model, from which we derive testable hypotheses. Using daily data for five years (2009–2015) and applying time-series analytical mechanisms, we find that market forces and BitCoin attractiveness for investors and users have a significant impact on BitCoin price but with variation over time. Our estimates do not support previous findings that macrofinancial developments are driving BitCoin price in the long run.

Publication
The Price of BitCoin: GARCH Evidence from High Frequency Data
Kancs, D., Ciaian, P. and Rajcaniova, M., The Price of BitCoin: GARCH Evidence from High Frequency Data, EUR 29598 EN, Publications Office of the European Union, Luxembourg, 2019, ISBN 978-92-79-98570-6 (online), doi:10.2760/06822 (online), JRC115098.
  • Publications Office of the European Union, Luxembourg, Luxembourg
Publication page 
  • 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.

Publication
The digital agenda of virtual currencies: Can BitCoin become a global currency?
Ciaian P; Rajcaniova M; Kancs D. The digital agenda of virtual currencies: Can BitCoin become a global currency. INFORMATION SYSTEMS AND E-BUSINESS MANAGEMENT 14; 2016. p. 883-919. JRC99553
  • SPRINGER HEIDELBERG, HEIDELBERG, GERMANY
Publication page 
  • Abstract

    This paper identifies and analyzes BitCoin features which may facilitate BitCoin to become a global currency, as well as characteristics which may impede the use of BitCoin as a medium of exchange, a unit of account and a store of value, and compares BitCoin with standard currencies with respect to the main functions of money. Among all analyzed BitCoin features, the extreme price volatility stands out most clearly compared to standard currencies. In order to understand the reasons for such extreme price volatility, we attempt to identify drivers of BitCoin price formation and estimate their importance econometrically. We apply time-series analytical mechanisms to daily data for the 2009–2014 period. Our estimation results suggest that BitCoin attractiveness indicators are the strongest drivers of BitCoin price followed by market forces. In contrast, macro-financial developments do not determine BitCoin price in the long-run. Our findings suggest that as long as Bit-Coin price will be mainly driven by speculative investments, BitCoin will not be able to compete with standard currencies.

Publication
Virtual relationships: Short- and long-run evidence from BitCoin and altcoin markets
Ciaian, P., Rajcaniova, M. and Kancs, D., Virtual relationships: Short- and long-run evidence from BitCoin and altcoin markets , JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS and MONEY, ISSN 1042-4431, 52, 2018, p. 173–195, JRC109192.
  • ELSEVIER SCIENCE BV, AMSTERDAM, NETHERLANDS
Publication page 
  • Abstract

    This paper empirically examines interdependencies between BitCoin and altcoin markets in the short- and long-run. We apply time-series analytical mechanisms to daily data of 17 virtual currencies (BitCoin + 16 alternative virtual currencies) and two Altcoin price indices for the period 2013-2016. Our empirical findings confirm that indeed BitCoin and Altcoin markets are interdependent. The BitCoin-Altcoin price relationship is significantly stronger in the short-run than in the long-run. We cannot fully confirm the hypothesis that the BitCoin price relationship is stronger with those Altcoins that are more similar in their price formation mechanism to BitCoin. In the long-run, macro-financial indicators determine the altcoin price formation to a greater degree than BitCoin does. The virtual currency supply is exogenous and therefore plays only a limited role in the price formation.

Additional information

Published by
European Commission, Joint Research Centre
Created date
2020-02-05
Modified date
2020-02-06
Issued date
2020-02-05
Data theme(s)
Economy and finance
Update frequency
continuous
Identifier
http://data.europa.eu/89h/201bbb6b-dd80-4645-8b81-4b84ba86fcd7
Popularity