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題名 比特幣作為信用貨幣之可能性
The Possibility of Bitcoin as Fiat Currency作者 吳奕萱
Wu, Yi-Hsuan貢獻者 林柏生
吳奕萱
Wu, Yi-Hsuan關鍵詞 比特幣
信用貨幣
GARCH
Bitcoin
Fiat Ccurrency
GARCH日期 2018 上傳時間 27-Aug-2018 14:36:13 (UTC+8) 摘要 比特幣在2008年後問世，部分國家受金融海嘯以及QE政策影響而遭逢貨幣幣值動盪以及為通貨膨脹所苦；而比特幣去中心化且總量有限的特質，加上不受央行和政府管制，若以其作為貨幣或者金融資產持有與交易是否能解決上述問題，成為各界熱切討論的議題。本研究旨在探討比特幣能否成為信用貨幣之替代品，研究方法以比特幣主要交易國之金融與總體變數探討比特幣報酬與其波動性，以此評斷其成為主權貨幣替代品之可能性，並透過單根檢定、異質變異數檢定與GARCH模型進行實證研究。實證結果發現主要交易國的金融與總體變數除了人民幣匯率報酬以外皆不顯著，表示比特幣和目前全球幾大經濟體的關聯性仍低，意味著其目前仍難以成為主權貨幣的替代品，另外本研究加入政策變數進行討論，發現到正向的政策（例如:比特幣合法化）會對比特幣報酬的波動產生影響性；但負向政策（例如:禁止比特幣交易）則否，表示中國禁令的負面力道因其他主要交易國皆認同其合法性而被削弱。
Bitcoin came out after the 2008, and some countries were affected by financial cirsis and the QE policy, thus suffered from currency volatility and inflation. Becsuse of the decentralization of Bitcoin and the limited amount of traits, unrestrained by central bank and government regulation, whether it can be the solution to the above problems by used as a currency or financial asset for holding and trading ,has become an eagerly discussed issue. This research aims to explore whether Bitcoin can be a substitute for fiat currency. We use the financial and macroeconomic variables of the major trading countries of Bitcoin, along with unit root test, hetroscedasticity test and GARCH model to discuss the return and volatility of Bitcoin, judging the possibility of becoming a substitute for sovereign currency. The empirical result shows that the financial and macroeconomic variables of the major trading countries are not statistically significant except for the RMB exchange rate, indicating that the correlation between Bitcoin and the world`s top economies is still low, which means that it is still difficult to become a substitute for sovereign currency. In addition, this research takes the policy variables into account and finds that positive policies (such as bitcoin legalization) will affect the fluctuation of Bitcoin return; but negative policies (such as prohibiting bitcoin transactions) are not; the negative power of the Chinese ban is weakened by the recognition of its legitimacy by other major trading nations.參考文獻 中文部分中國法定數位貨幣原型構想，「中國金融」，2016 年第 17 期。吳桂華（2017），區塊鏈技術應用於發行數位貨幣之近況， 行政院所屬各機關因公出國人員出國報告書。陳旭昇（2013），時間序列分析: 總體經濟與財務金融之應用: 臺灣東華。英文部分Bank, E. C. (2012). Virtual currency schemes: European Central Bank Frankfurt am Main.Barrdear, J., & Kumhof, M. (2016). The macroeconomics of central bank issued digital currencies.Barro, R. J. (1979). Money and the price level under the gold standard. The Economic Journal, 89(353), 13-33.Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of econometrics, 31(3), 307-327.Buchholz, M., Delaney, J., Warren, J., & Parker, J. (2012). Bits and bets, information, price volatility, and demand for Bitcoin. Economics, 312.Cermak, V. (2017). Can Bitcoin Become a Viable Alternative to Fiat Currencies? An Empirical Analysis of Bitcoin`s Volatility Based on a GARCH Model.Ciaian, P., Rajcaniova, M., & Kancs, d. A. (2016). The economics of BitCoin price formation. Applied Economics, 48(19), 1799-1815.Danezis, G., & Meiklejohn, S. (2015). Centrally banked cryptocurrencies. arXiv preprint arXiv:1505.06895.Dickey, D. A., & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American statistical association, 74(366a), 427-431.Dyhrberg, A. H. (2016a). Bitcoin, gold and the dollar–A GARCH volatility analysis. Finance Research Letters, 16, 85-92.Dyhrberg, A. H. (2016b). Hedging capabilities of bitcoin. Is it the virtual gold? Finance Research Letters, 16, 139-144.Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica: Journal of the Econometric Society, 987-1007.Gandal, N., & Halaburda, H. (2014). Competition in the cryptocurrency market.Granger, C. W., & Newbold, P. (1974). Spurious regressions in econometrics. Journal of econometrics, 2(2), 111-120.Hayek, F. A. (1976). Denationalization of Money--The Argument Refined: An Analysis of the Theory and Practice of Concurrent Currencies: Institute for Economic Affairs.He, D., Habermeier, K. F., Leckow, R. B., Haksar, V., Almeida, Y., Kashima, M., . . . Stetsenko, N. (2016). Virtual currencies and beyond: initial considerations. Retrieved fromKristoufek, L. (2013). BitCoin meets Google Trends and Wikipedia: Quantifying the relationship between phenomena of the Internet era. Scientific reports, 3, 3415.Najand, M., & Yung, K. (1994). Conditional heteroskedasticity and the weekend effect in S&P 500 index futures. Journal of Business Finance & Accounting, 21(4), 603-612.Phillips, P. C., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335-346.Settlement, B. o. I. (2015). Digital Currencies. Committee on Payments and Market Infrastructure Report.Zhu, Y., Dickinson, D., & Li, J. (2017). Analysis on the influence factors of Bitcoin’s price based on VEC model. Financial Innovation, 3(1), 3.網路資料Bitcoinity.org, Retrieved June 3 2018, from: http://data.bitcoinity.org/markets/volume/30d?c=e&t=bCoindesk, Bank of Canada Demos Blockchain-Based Digital Dollar, Retrieved May 23 2018, from: https://www.coindesk.com/bank-canada-demos-blockchain-based-digital-dollar/CoinMarketCap, Retrieved May 20 2018, from: https://coinmarketcap.com/ 描述 碩士
國立政治大學
國際經營與貿易學系
105351043資料來源 http://thesis.lib.nccu.edu.tw/record/#G0105351043 資料類型 thesis dc.contributor.advisor 林柏生 zh_TW dc.contributor.author (Authors) 吳奕萱 zh_TW dc.contributor.author (Authors) Wu, Yi-Hsuan en_US dc.creator (作者) 吳奕萱 zh_TW dc.creator (作者) Wu, Yi-Hsuan en_US dc.date (日期) 2018 en_US dc.date.accessioned 27-Aug-2018 14:36:13 (UTC+8) - dc.date.available 27-Aug-2018 14:36:13 (UTC+8) - dc.date.issued (上傳時間) 27-Aug-2018 14:36:13 (UTC+8) - dc.identifier (Other Identifiers) G0105351043 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/119549 - 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) 105351043 zh_TW dc.description.abstract (摘要) 比特幣在2008年後問世，部分國家受金融海嘯以及QE政策影響而遭逢貨幣幣值動盪以及為通貨膨脹所苦；而比特幣去中心化且總量有限的特質，加上不受央行和政府管制，若以其作為貨幣或者金融資產持有與交易是否能解決上述問題，成為各界熱切討論的議題。本研究旨在探討比特幣能否成為信用貨幣之替代品，研究方法以比特幣主要交易國之金融與總體變數探討比特幣報酬與其波動性，以此評斷其成為主權貨幣替代品之可能性，並透過單根檢定、異質變異數檢定與GARCH模型進行實證研究。實證結果發現主要交易國的金融與總體變數除了人民幣匯率報酬以外皆不顯著，表示比特幣和目前全球幾大經濟體的關聯性仍低，意味著其目前仍難以成為主權貨幣的替代品，另外本研究加入政策變數進行討論，發現到正向的政策（例如:比特幣合法化）會對比特幣報酬的波動產生影響性；但負向政策（例如:禁止比特幣交易）則否，表示中國禁令的負面力道因其他主要交易國皆認同其合法性而被削弱。 zh_TW dc.description.abstract (摘要) Bitcoin came out after the 2008, and some countries were affected by financial cirsis and the QE policy, thus suffered from currency volatility and inflation. Becsuse of the decentralization of Bitcoin and the limited amount of traits, unrestrained by central bank and government regulation, whether it can be the solution to the above problems by used as a currency or financial asset for holding and trading ,has become an eagerly discussed issue. This research aims to explore whether Bitcoin can be a substitute for fiat currency. We use the financial and macroeconomic variables of the major trading countries of Bitcoin, along with unit root test, hetroscedasticity test and GARCH model to discuss the return and volatility of Bitcoin, judging the possibility of becoming a substitute for sovereign currency. The empirical result shows that the financial and macroeconomic variables of the major trading countries are not statistically significant except for the RMB exchange rate, indicating that the correlation between Bitcoin and the world`s top economies is still low, which means that it is still difficult to become a substitute for sovereign currency. In addition, this research takes the policy variables into account and finds that positive policies (such as bitcoin legalization) will affect the fluctuation of Bitcoin return; but negative policies (such as prohibiting bitcoin transactions) are not; the negative power of the Chinese ban is weakened by the recognition of its legitimacy by other major trading nations. en_US dc.description.tableofcontents 第一章 緒論 1第一節 研究背景與動機 1第二節 研究目的 2第三節 研究架構 2第二章 文獻回顧 3第一節 傳統貨幣之職能 3第二節 數位貨幣之定義 3第三節 理論基礎 5一、奧地利學派-Hayek的貨幣非國家化（Denationalization of money） 5二、比特幣之匯率決定理論 6第四節 其他文獻 7一、比特幣價格決定因素 7二、比特幣與其他加密貨幣之間的關係 7三、比特幣之屬性以及與金融及總體變數之關係 8第三章 比特幣現況 9一、美國 10二、德國 11三、中國 11四、日本 12第四章 研究方法 14第一節 單根檢定 15一、ADF檢定 15二、PP（Phillips and Perron）檢定 16第二節 異質變異數檢定 16第三節 自我回歸條件異質變異數模型 17第五章 實證結果 18第一節 資料與變數說明 18第二節 敘述性統計 22第三節 單根檢定 23第四節 變異數效果檢定 24第五節 GARCH模型實證分析 25第六節 小結 28第六章 結論與展望 29第一節 結論 29第二節 未來展望 30參考文獻 31附錄、全球主要金融機構報告 34 zh_TW dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0105351043 en_US dc.subject (關鍵詞) 比特幣 zh_TW dc.subject (關鍵詞) 信用貨幣 zh_TW dc.subject (關鍵詞) GARCH zh_TW dc.subject (關鍵詞) Bitcoin en_US dc.subject (關鍵詞) Fiat Ccurrency en_US dc.subject (關鍵詞) GARCH en_US dc.title (題名) 比特幣作為信用貨幣之可能性 zh_TW dc.title (題名) The Possibility of Bitcoin as Fiat Currency en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 中文部分中國法定數位貨幣原型構想，「中國金融」，2016 年第 17 期。吳桂華（2017），區塊鏈技術應用於發行數位貨幣之近況， 行政院所屬各機關因公出國人員出國報告書。陳旭昇（2013），時間序列分析: 總體經濟與財務金融之應用: 臺灣東華。英文部分Bank, E. C. (2012). Virtual currency schemes: European Central Bank Frankfurt am Main.Barrdear, J., & Kumhof, M. (2016). The macroeconomics of central bank issued digital currencies.Barro, R. J. (1979). Money and the price level under the gold standard. The Economic Journal, 89(353), 13-33.Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of econometrics, 31(3), 307-327.Buchholz, M., Delaney, J., Warren, J., & Parker, J. (2012). Bits and bets, information, price volatility, and demand for Bitcoin. Economics, 312.Cermak, V. (2017). Can Bitcoin Become a Viable Alternative to Fiat Currencies? An Empirical Analysis of Bitcoin`s Volatility Based on a GARCH Model.Ciaian, P., Rajcaniova, M., & Kancs, d. A. (2016). The economics of BitCoin price formation. Applied Economics, 48(19), 1799-1815.Danezis, G., & Meiklejohn, S. (2015). Centrally banked cryptocurrencies. arXiv preprint arXiv:1505.06895.Dickey, D. A., & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American statistical association, 74(366a), 427-431.Dyhrberg, A. H. (2016a). Bitcoin, gold and the dollar–A GARCH volatility analysis. Finance Research Letters, 16, 85-92.Dyhrberg, A. H. (2016b). Hedging capabilities of bitcoin. Is it the virtual gold? Finance Research Letters, 16, 139-144.Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica: Journal of the Econometric Society, 987-1007.Gandal, N., & Halaburda, H. (2014). Competition in the cryptocurrency market.Granger, C. W., & Newbold, P. (1974). Spurious regressions in econometrics. Journal of econometrics, 2(2), 111-120.Hayek, F. A. (1976). Denationalization of Money--The Argument Refined: An Analysis of the Theory and Practice of Concurrent Currencies: Institute for Economic Affairs.He, D., Habermeier, K. F., Leckow, R. B., Haksar, V., Almeida, Y., Kashima, M., . . . Stetsenko, N. (2016). Virtual currencies and beyond: initial considerations. Retrieved fromKristoufek, L. (2013). BitCoin meets Google Trends and Wikipedia: Quantifying the relationship between phenomena of the Internet era. Scientific reports, 3, 3415.Najand, M., & Yung, K. (1994). Conditional heteroskedasticity and the weekend effect in S&P 500 index futures. Journal of Business Finance & Accounting, 21(4), 603-612.Phillips, P. C., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335-346.Settlement, B. o. I. (2015). Digital Currencies. Committee on Payments and Market Infrastructure Report.Zhu, Y., Dickinson, D., & Li, J. (2017). Analysis on the influence factors of Bitcoin’s price based on VEC model. Financial Innovation, 3(1), 3.網路資料Bitcoinity.org, Retrieved June 3 2018, from: http://data.bitcoinity.org/markets/volume/30d?c=e&t=bCoindesk, Bank of Canada Demos Blockchain-Based Digital Dollar, Retrieved May 23 2018, from: https://www.coindesk.com/bank-canada-demos-blockchain-based-digital-dollar/CoinMarketCap, Retrieved May 20 2018, from: https://coinmarketcap.com/ zh_TW dc.identifier.doi (DOI) 10.6814/THE.NCCU.IB.032.2018.F06 -
