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http://bura.brunel.ac.uk/handle/2438/27234| Title: | A Bayesian DSGE Approach to Modelling Cryptocurrency |
| Authors: | Asimakopoulos, S Lorusso, M Ravazzolo, F |
| Keywords: | DSGE model;government currency;cryptocurrency;Bayesian estimation |
| Issue Date: | 28-Sep-2023 |
| Publisher: | Elsevier |
| Citation: | Asimakopoulos, S., Lorusso, M. and Ravazzolo, F. (2023) 'A Bayesian DSGE Approach to Modelling Cryptocurrency', Review of Economic Dynamics, 51, pp. 1012 - 1035. doi: 10.1016/j.red.2023.09.006. |
| Abstract: | Copyright © 2023 The Author(s). We develop and estimate a DSGE model to evaluate the economic repercussions of cryptocurrency. In our model, cryptocurrency offers an alternative currency option to government currency, with endogenous supply and demand. We uncover a substitution effect between the real balances of government currency and cryptocurrency in response to technology, preferences and monetary policy shocks. We find that an increase in cryptocurrency productivity induces a rise in the relative price of government currency with respect to cryptocurrency. Since cryptocurrency and government currency are highly substitutable, the demand for the former increases whereas it drops for the latter. Our historical decomposition analysis shows that fluctuations in the cryptocurrency price are mainly driven by shocks in cryptocurrency demand, whereas changes in the real balances for government currency are mainly attributed to government currency and cryptocurrency demand shocks. |
| Description: | Data availability: All data are publicly available. Source is reported in the paper. Supplementary material: MMC: supplementary material for model solution, data construction and sources. It also provides further empirical results on SVAR analysis, diagnostic tests, variance decomposition and impulse responses (PDF file, 2 MB) is available online at https://www.sciencedirect.com/science/article/pii/S1094202523000583#se0240 . |
| URI: | https://bura.brunel.ac.uk/handle/2438/27234 |
| DOI: | https://doi.org/10.1016/j.red.2023.09.006 |
| ISSN: | 1094-2025 |
| Other Identifiers: | ORCID iD: Stylianos Asimakopoulos https://orcid.org/0000-0002-1362-5865 ORCID iD: Francesco Ravazzolo https://orcid.org/0000-0003-0645-1788 |
| Appears in Collections: | Dept of Economics and Finance Research Papers |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| FullText.pdf | Copyright © 2023 The Author(s). Published by Elsevier Inc. This is an open access article under the CC BY license (https://creativecommons.org/licenses/by/4.0/). | 2.87 MB | Adobe PDF | View/Open |
This item is licensed under a Creative Commons License
