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| Title: | 比特幣與金融資產之關聯性探討
Study of the relationships between bitcoin and financial assets |
| Authors: | 許允禎
Hsu, Yun-Chen |
| Contributors: | 林柏生
許允禎
Hsu, Yun-Chen |
| Keywords: | 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 |
| Date: | 2018 |
| Issue Date: | 2018-07-13 15:10:48 (UTC+8) |
| Abstract: | 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 a
real 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 vector
autoregression 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. We
speculate 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. |
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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。 |
| Description: | 碩士
國立政治大學
國際經營與貿易學系
105351029 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0105351029 |
| Data Type: | thesis |
| DOI: | 10.6814/THE.NCCU.IB.013.2018.F06 |
| Appears in Collections: | [國際經營與貿易學系 ] 學位論文
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