Artikel

Does the hashrate affect the bitcoin price?

This paper investigates the relationship between the bitcoin price and the hashrate by disentangling the effects of the energy efficiency of the bitcoin mining equipment, bitcoin halving, and of structural breaks on the price dynamics. For this purpose, we propose a methodology based on exponential smoothing to model the dynamics of the Bitcoin network energy efficiency. We consider either directly the hashrate or the bitcoin cost-of-production model (CPM) as a proxy for the hashrate, to take any nonlinearity into account. In the first examined subsample (01/08/2016-04/12/2017), the hashrate and the CPMs were never significant, while a significant cointegration relationship was found in the second subsample (11/12/2017-24/02/2020). The empirical evidence shows that it is better to consider the hashrate directly rather than its proxy represented by the CPM when modeling its relationship with the bitcoin price. Moreover, the causality is always unidirectional going from the bitcoin price to the hashrate (or its proxies), with lags ranging from one week up to six weeks later. These findings are consistent with a large literature in energy economics, which showed that oil and gas returns affect the purchase of the drilling rigs with a delay of up to three months, whereas the impact of changes in the rig count on oil and gas returns is limited or not significant.

Language
Englisch

Bibliographic citation
Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 13 ; Year: 2020 ; Issue: 11 ; Pages: 1-29 ; Basel: MDPI

Classification
Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Model Construction and Estimation
Forecasting Models; Simulation Methods
Demand for Money
Monetary Systems; Standards; Regimes; Government and the Monetary System; Payment Systems
Money and Interest Rates: Forecasting and Simulation: Models and Applications
Money Supply; Credit; Money Multipliers
Financial Forecasting and Simulation
Subject
bitcoin
bitcoin price
energy efficiency
hashrate
mining

Event
Geistige Schöpfung
(who)
Fantazzini, Dean
Kolodin, Nikita
Event
Veröffentlichung
(who)
MDPI
(where)
Basel
(when)
2020

DOI
doi:10.3390/jrfm13110263
Handle
Last update
10.03.2025, 11:42 AM CET

Data provider

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Object type

  • Artikel

Associated

  • Fantazzini, Dean
  • Kolodin, Nikita
  • MDPI

Time of origin

  • 2020

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