政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/119549

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/119549

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政大機構典藏 > 商學院 > 國際經營與貿易學系 > 學位論文 > Item 140.119/119549

請使用永久網址來引用或連結此文件: https://nccur.lib.nccu.edu.tw/handle/140.119/119549

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:	2018-08-27 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 from Kristoufek, 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=b Coindesk, 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
DOI:	10.6814/THE.NCCU.IB.032.2018.F06
顯示於類別:	[國際經營與貿易學系 ] 學位論文

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