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題名 比特幣與金融資產之關聯性探討
Study of the relationships between bitcoin and financial assets作者 許允禎
Hsu, Yun-Chen貢獻者 林柏生
許允禎
Hsu, Yun-Chen關鍵詞 比特幣價格
資產組合平衡模型
自向量迴歸模型
Bitcoin
Portfolio balance model
VAR日期 2018 上傳時間 13-Jul-2018 15:10:48 (UTC+8) 摘要 近年來，加密貨幣及區塊鏈的技術已在全球掀起熱潮，比特幣價格不斷創新高，吸引越來越多人投入比特幣的買賣，讓比特幣成為一種新興的投資管道。根據資產組合平衡模型(Portfolio balance approach)所提出，當資產持有者改變其資產組合時，會造成匯率變動。因此，本文試圖探討，當比特幣成為投資的選項之一，是否能利用資產組合平衡模型來解釋外匯市場、債券市場、股票市場及商品市場與加密貨幣市場間的關係。本文利用單根檢定、建立 VAR 模型、Granger因果關係檢定及衝擊反應分析，研究變數間的動態關係。 相較於產組合平衡模型的實證研究中，多以各國匯率作為因變數，貨幣供給量、債券持有量、國外資產持有量做為自變數；本文則是把比特幣價格作為因變數，選取 2015 年 8 月 10 日到 2018 年 3 月 29 日之日資料，自變數中包含黃金現貨價格、美元指數、道瓊工業指數、S&P500 指數、10 年期美國公債殖利率及5年期美國公債殖利率。結果顯示出，僅有債券市場具有預測比特幣價格的能力，結果未能符合產組合平衡模型(Portfolio balance approach)之理論。由於比特幣無法作為購買金融資產的交易媒介，傳統的金融資產，如債券、股票及黃金，仍需要透過傳統法幣當媒介，才能在資產間轉換，引發匯率的變動。
Bitcoin price is soaring recent years and more and more people start to wonder what is bitcoin. Some researches discuss about the nature of bitcoin whether it is areal currency or speculative assets. Most of empirical researches suggest that bitcoin is a speculative asset rather than a real currency. Under the premise, this research is trying to use “portfolio balance approach” to explain the relationships between bitcoin and financial assets. We chose USD/BTC as dependent variable and US dollar index, S&P 500 Index, Dow Jones Index, gold price, United States 10-year bond yield and United States 5-year bond yield as independent variables. Then, we use vectorautoregression model, granger causality test and impulse response analysis to find out the results. The results of this research shows that only United States 10-year bond yield and United States 5-year bond yield could forecast the volatility of bitcoin price. Therefore, the results don’t meet the theory of portfolio balance approach. Wespeculate that because we use the price and index of the financial assets as proxy to replace the holding amount, by some restricts of the data .On the other hand, the volatility of bitcoin price is also probably influenced by internal factor which is driven by buyers and sellers rather than fundamental economic factors.參考文獻 英文部分Ahmed, H., Hallwood, P. C., & Miller, S. M. (1997), Monetary Policy in a Portfolio Balance Model with Endogenous Physical Capital.Baek, C., & Elbeck, M. (2015), Bitcoins as an investment or speculative vehicle? A first look. Applied Economics Letters, 22(1), 30-34.Bouoiyour, J., & Selmi, R. (2015), What does Bitcoin look like? Annals of Economics & Finance, 16(2).Bouoiyour, J., Selmi, R., Tiwari, A. K., & Olayeni, O. R. (2016), What drives Bitcoin price. Economics Bulletin, 36(2), 843-850.Branson, W. H., Halttunen, H., & Masson, P. (1977), Exchange rates in the short run:The dollar-dentschemark rate. European Economic Review, 10(3), 303-324.Branson, W. H., Halttunen, H., & Masson, P. (1979), Exchange rates in the short run:Some further results. European Economic Review, 12(4), 395-402.Caprio, J., & Clark, P. B. (1983), Oil price shocks in a portfolio-balance model.Journal of Economics and Business, 35(2), 221-233.Ciaian, P., Rajcaniova, M., & Kancs, d. A. (2016), The economics of BitCoin priceformation. Applied Economics, 48(19), 1799-1815.Cushman, D. O. (2007), A portfolio balance approach to the Canadian–US exchange rate. Review of Financial Economics, 16(3), 305-320.Dooley, M. P., & Isard, P. (1983), The portfolio-balance model of exchange rates and some structural estimates of the risk premium. Staff Papers, 30(4), 683-702.Dyhrberg, A. H. (2016), Hedging capabilities of bitcoin. Is it the virtual gold? Finance Research Letters, 16, 139-144.Frankel, J. A. (1992), Monetary and portfolio-balance models of exchange rate determination International Economic Policies and their Theoretical Foundations(Second Edition) (pp. 793-832): Elsevier.Gandal, N., & Halaburda, H. (2016), Can we predict the winner in a market with network effects? Competition in cryptocurrency market. Games, 7(3), 16.Glaser, F., Zimmermann, K., Haferkorn, M., Weber, M., & Siering, M. (2014). Bitcoin-asset or currency? revealing users` hidden intentions.Hur, Y., Jeon, S., & Yoo, B. (2015), Is Bitcoin a Viable E-Business?: Empirical Analysis of the Digital Currency’s Speculative Nature.Kristoufek, L. (2013), BitCoin meets Google Trends and Wikipedia: Quantifying the relationship between phenomena of the Internet era. Scientific reports, 3, 3415. Klabbers, S. (2017), Bitcoin as an investment asset: The added value of bitcoin in a global market portfolio. Poyser, O. (2017), Exploring the determinants of Bitcoin`s price: an application of Bayesian Structural Time Series. arXiv preprint arXiv:1706.01437.Sovbetov, Y. (2018), Factors influencing cryptocurrency prices: Evidence from bitcoin, ethereum, dash, litcoin, and monero.van Wijk, D. (2013), What can be expected from the BitCoin. Erasmus Universiteit Rotterdam.Yardeni, E. E. (1978), A Portfolio—Balance Model of Corporate Working Capital. The Journal of Finance, 33(2), 535-552.Yelowitz, A., & Wilson, M. (2015), Characteristics of Bitcoin users: an analysis ofGoogle search data. Applied Economics Letters, 22(13), 1030-1036.Yermack, D. (2015), Is Bitcoin a real currency? An economic appraisal Handbook of digital currency (pp. 31-43): Elsevier.中文部分李榮謙、方 耀(2001)。「電子支付系統與電子貨幣：發展、影響及適當的管理架構」，中央銀行季刊第二十三卷第三期。陳旭昇(2007)。時間序列分析─ 總體經濟與財務金融之應用，東華書局，初版。 描述 碩士
國立政治大學
國際經營與貿易學系
105351029資料來源 http://thesis.lib.nccu.edu.tw/record/#G0105351029 資料類型 thesis dc.contributor.advisor 林柏生 zh_TW dc.contributor.author (Authors) 許允禎 zh_TW dc.contributor.author (Authors) Hsu, Yun-Chen en_US dc.creator (作者) 許允禎 zh_TW dc.creator (作者) Hsu, Yun-Chen en_US dc.date (日期) 2018 en_US dc.date.accessioned 13-Jul-2018 15:10:48 (UTC+8) - dc.date.available 13-Jul-2018 15:10:48 (UTC+8) - dc.date.issued (上傳時間) 13-Jul-2018 15:10:48 (UTC+8) - dc.identifier (Other Identifiers) G0105351029 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/118641 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 國際經營與貿易學系 zh_TW dc.description (描述) 105351029 zh_TW dc.description.abstract (摘要) 近年來，加密貨幣及區塊鏈的技術已在全球掀起熱潮，比特幣價格不斷創新高，吸引越來越多人投入比特幣的買賣，讓比特幣成為一種新興的投資管道。根據資產組合平衡模型(Portfolio balance approach)所提出，當資產持有者改變其資產組合時，會造成匯率變動。因此，本文試圖探討，當比特幣成為投資的選項之一，是否能利用資產組合平衡模型來解釋外匯市場、債券市場、股票市場及商品市場與加密貨幣市場間的關係。本文利用單根檢定、建立 VAR 模型、Granger因果關係檢定及衝擊反應分析，研究變數間的動態關係。 相較於產組合平衡模型的實證研究中，多以各國匯率作為因變數，貨幣供給量、債券持有量、國外資產持有量做為自變數；本文則是把比特幣價格作為因變數，選取 2015 年 8 月 10 日到 2018 年 3 月 29 日之日資料，自變數中包含黃金現貨價格、美元指數、道瓊工業指數、S&P500 指數、10 年期美國公債殖利率及5年期美國公債殖利率。結果顯示出，僅有債券市場具有預測比特幣價格的能力，結果未能符合產組合平衡模型(Portfolio balance approach)之理論。由於比特幣無法作為購買金融資產的交易媒介，傳統的金融資產，如債券、股票及黃金，仍需要透過傳統法幣當媒介，才能在資產間轉換，引發匯率的變動。 zh_TW dc.description.abstract (摘要) Bitcoin price is soaring recent years and more and more people start to wonder what is bitcoin. Some researches discuss about the nature of bitcoin whether it is areal currency or speculative assets. Most of empirical researches suggest that bitcoin is a speculative asset rather than a real currency. Under the premise, this research is trying to use “portfolio balance approach” to explain the relationships between bitcoin and financial assets. We chose USD/BTC as dependent variable and US dollar index, S&P 500 Index, Dow Jones Index, gold price, United States 10-year bond yield and United States 5-year bond yield as independent variables. Then, we use vectorautoregression model, granger causality test and impulse response analysis to find out the results. The results of this research shows that only United States 10-year bond yield and United States 5-year bond yield could forecast the volatility of bitcoin price. Therefore, the results don’t meet the theory of portfolio balance approach. Wespeculate that because we use the price and index of the financial assets as proxy to replace the holding amount, by some restricts of the data .On the other hand, the volatility of bitcoin price is also probably influenced by internal factor which is driven by buyers and sellers rather than fundamental economic factors. en_US dc.description.tableofcontents 第一章 緒論 1第一節 研究背景 1第二節 研究目的 4第三節 研究架構 5第二章 文獻及理論回顧 6第一節 加密貨幣回顧 6第二節 加密貨幣相關實證研究 10第三節 資產組合平衡理論 14第三章 研究方法 16第一節 理論基礎 16第二節 統計方法 18第四章 實證結果 23第一節 樣本資料 23第二節 單根檢驗 25第三節 VAR 30第五章 結論 39參考文獻 41 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0105351029 en_US dc.subject (關鍵詞) 比特幣價格 zh_TW dc.subject (關鍵詞) 資產組合平衡模型 zh_TW dc.subject (關鍵詞) 自向量迴歸模型 zh_TW dc.subject (關鍵詞) Bitcoin en_US dc.subject (關鍵詞) Portfolio balance model en_US dc.subject (關鍵詞) VAR en_US dc.title (題名) 比特幣與金融資產之關聯性探討 zh_TW dc.title (題名) Study of the relationships between bitcoin and financial assets en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 英文部分Ahmed, H., Hallwood, P. C., & Miller, S. M. (1997), Monetary Policy in a Portfolio Balance Model with Endogenous Physical Capital.Baek, C., & Elbeck, M. (2015), Bitcoins as an investment or speculative vehicle? A first look. Applied Economics Letters, 22(1), 30-34.Bouoiyour, J., & Selmi, R. (2015), What does Bitcoin look like? Annals of Economics & Finance, 16(2).Bouoiyour, J., Selmi, R., Tiwari, A. K., & Olayeni, O. R. (2016), What drives Bitcoin price. Economics Bulletin, 36(2), 843-850.Branson, W. H., Halttunen, H., & Masson, P. (1977), Exchange rates in the short run:The dollar-dentschemark rate. European Economic Review, 10(3), 303-324.Branson, W. H., Halttunen, H., & Masson, P. (1979), Exchange rates in the short run:Some further results. European Economic Review, 12(4), 395-402.Caprio, J., & Clark, P. B. (1983), Oil price shocks in a portfolio-balance model.Journal of Economics and Business, 35(2), 221-233.Ciaian, P., Rajcaniova, M., & Kancs, d. A. (2016), The economics of BitCoin priceformation. Applied Economics, 48(19), 1799-1815.Cushman, D. O. (2007), A portfolio balance approach to the Canadian–US exchange rate. Review of Financial Economics, 16(3), 305-320.Dooley, M. P., & Isard, P. (1983), The portfolio-balance model of exchange rates and some structural estimates of the risk premium. Staff Papers, 30(4), 683-702.Dyhrberg, A. H. (2016), Hedging capabilities of bitcoin. Is it the virtual gold? Finance Research Letters, 16, 139-144.Frankel, J. A. (1992), Monetary and portfolio-balance models of exchange rate determination International Economic Policies and their Theoretical Foundations(Second Edition) (pp. 793-832): Elsevier.Gandal, N., & Halaburda, H. (2016), Can we predict the winner in a market with network effects? Competition in cryptocurrency market. Games, 7(3), 16.Glaser, F., Zimmermann, K., Haferkorn, M., Weber, M., & Siering, M. (2014). Bitcoin-asset or currency? revealing users` hidden intentions.Hur, Y., Jeon, S., & Yoo, B. (2015), Is Bitcoin a Viable E-Business?: Empirical Analysis of the Digital Currency’s Speculative Nature.Kristoufek, L. (2013), BitCoin meets Google Trends and Wikipedia: Quantifying the relationship between phenomena of the Internet era. Scientific reports, 3, 3415. Klabbers, S. (2017), Bitcoin as an investment asset: The added value of bitcoin in a global market portfolio. Poyser, O. (2017), Exploring the determinants of Bitcoin`s price: an application of Bayesian Structural Time Series. arXiv preprint arXiv:1706.01437.Sovbetov, Y. (2018), Factors influencing cryptocurrency prices: Evidence from bitcoin, ethereum, dash, litcoin, and monero.van Wijk, D. (2013), What can be expected from the BitCoin. Erasmus Universiteit Rotterdam.Yardeni, E. E. (1978), A Portfolio—Balance Model of Corporate Working Capital. The Journal of Finance, 33(2), 535-552.Yelowitz, A., & Wilson, M. (2015), Characteristics of Bitcoin users: an analysis ofGoogle search data. Applied Economics Letters, 22(13), 1030-1036.Yermack, D. (2015), Is Bitcoin a real currency? An economic appraisal Handbook of digital currency (pp. 31-43): Elsevier.中文部分李榮謙、方 耀(2001)。「電子支付系統與電子貨幣：發展、影響及適當的管理架構」，中央銀行季刊第二十三卷第三期。陳旭昇(2007)。時間序列分析─ 總體經濟與財務金融之應用，東華書局，初版。 zh_TW dc.identifier.doi (DOI) 10.6814/THE.NCCU.IB.013.2018.F06 -
