国际清算银行-加密交易和比特币价格:来自新零售采用数据库的证据(英)-2022.11-28正式版.pdf
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1、 BIS Working Papers No 1049 Crypto trading and Bitcoin prices:evidence from a new database of retail adoption by Raphael Auer,Giulio Cornelli,Sebastian Doerr,Jon Frost and Leonardo Gambacorta Monetary and Economic Department November 2022 JEL classification:E42,E51,E58,F31,G28,L50,O32.Keywords:Bitco
2、in,cryptocurrencies,cryptoassets,regulation,decentralised finance,DeFi,retail investment.BIS Working Papers are written by members of the Monetary and Economic Department of the Bank for International Settlements,and from time to time by other economists,and are published by the Bank.The papers are
3、on subjects of topical interest and are technical in character.The views expressed in them are those of their authors and not necessarily the views of the BIS.This publication is available on the BIS website(www.bis.org).Bank for International Settlements 2022.All rights reserved.Brief excerpts may
4、be reproduced or translated provided the source is stated.ISSN 1020-0959(print)ISSN 1682-7678(online)1Crypto trading and Bitcoin prices:evidence from a new database of retail adoption Raphael Auer,Giulio Cornelli,Sebastian Doerr,Jon Frost and Leonardo Gambacorta1 November 2022 Abstract Prices for cr
5、yptocurrencies have undergone multiple boom-bust cycles,together with ongoing entry by retail investors.To investigate the drivers of crypto adoption,we assemble a novel database(made available with this paper)on retail use of crypto exchange apps at daily frequency for 95 countries over 201522.We s
6、how that a rising Bitcoin price is followed by the entry of new users.About 40%of these new users are men under 35,commonly identified as the most“risk-seeking”segment of the population.To establish a causal effect of prices on adoption,we exploit two exogenous shocks:the crackdown of Chinese author
7、ities on crypto mining in mid-2021 and the social unrest in Kazakhstan in early 2022.During both episodes price changes have a significant effect on the entry of new users.Results from a PVAR model corroborate these findings.Overall,back of the envelope calculations suggest that around three-quarter
8、s of users have lost money on their Bitcoin investments.JEL classification:E42,E51,E58,F31,G28,L50,O32.Keywords:Bitcoin,cryptocurrencies,cryptoassets,regulation,decentralised finance,DeFi,retail investment.1Raphael Auer is with the Bank for International Settlements(BIS)and is a research fellow of t
9、he Centre for Economic Policy Research(CEPR).Giulio Cornelli is with the BIS and the University of Zrich.Sebastian Doerr is with the BIS.Jon Frost is with the BIS and is a research affiliate of the Cambridge Centre for Alternative Finance(CCAF).Leonardo Gambacorta is with the BIS and is a research f
10、ellow of CEPR.The authors thank Priscilla Koo Wilkens,Marina Sanchez del Villar,Vatsala Shreeti and Luciano Somoza for helpful comments,and Emma Claggett,Nicola Faessler,Monica Mauron and Alan Soughley for editorial support.The views expressed here are those of the authors and not necessarily those
11、of the BIS.2 1.Introduction Over the past 13 years,cryptocurrencies have evolved from a niche technological proposal for peer-to-peer payments to a financial asset class traded by millions of users around the world.The largest cryptocurrency by market capitalisation remains Bitcoin,introduced in 200
12、9 by an anonymous developer under the pseudonym Satoshi Nakamoto(2008).The price of Bitcoin rose from$1 in February 2011 to a peak of$69,000 in November 2021.Globally,it was estimated that over 220 million people owned a cryptocurrency in June 2021 up from 5 million in 2016.2 To date,the volatile pr
13、ice of cryptocurrencies prevents them from becoming widely used as a means of payment.Nor is crypto used as a unit of account;the same volatility makes it impractical to set a fixed price in a specific cryptocurrency,or to use cryptocurrencies as a yardstick for valuing real economy flows.Moreover,t
14、he system is largely self-referential and does not finance real-world investments(Aramonte et al(2022).But why do people invest in cryptocurrencies?In advanced economies,there is evidence that distrust of domestic financial institutions or the domestic fiat currency is not a key driver.3 As they flu
15、ctuate widely in value and can sustain only a limited volume of transactions,4 cryptocurrencies are also not useful to date for payments in real transactions(purchases)or cross-border money transfers.Some users may however see cryptocurrencies as a store of value and safe haven(ie“digital gold”)that
16、 cannot be appropriated.And certainly,cryptocurrencies could be seen as a speculative investment asset.5 In this paper,we shed further light on the role of speculative and safe haven considerations as drivers of cryptocurrency adoption.For this,we investigate the relationship between the use of cryp
17、to trading apps,Bitcoin prices and other macroeconomic variables.We assemble a novel cross-country database on retail downloads and use of crypto exchange apps at daily frequency for 95 countries over 201522.Our main findings are as follows.First,we show that a rise in the price of Bitcoin is associ
18、ated with a significant increase in new users,ie entry of new investors.This positive correlation remains robust when we control for other potential drivers,such as overall financial market conditions,uncertainty or country characteristics.In particular,the price of Bitcoin remains the most importan
19、t factor when we control for global uncertainty or volatility,contradicting explanations based on Bitcoin as a safe haven.Likewise,when controlling for variables that proxy institutional quality or trust,as well as the level of economic development,the Bitcoin price still has an economically and sta
20、tistically significant effect on the number of new users and explains the lions share of the variation in the entry of new users.2 See Blandin et al(2021)and de Best(2022).This is a lower-bound estimate of identity-verified users.The estimates are subject to uncertainty given the potential for users
21、 to have multiple accounts.3 See Auer and Tercero-Lucas(2022)and FCA(2021).4 See Boissay et al(2022).5 See Foley et al(2019),Hileman(2015),Knittel et al(2019)and Swartz(2020).3 Second,analysing the demographic composition of app users we find that 40%of users are men under 35,commonly identified as
22、the most“risk-seeking”segment of the population.These users are more sensitive to changes in the price of Bitcoin than female users and older men.We also find a user sensitivity for Android users,who tend to have lower incomes than iOS users.Taken together,these patterns are consistent with the spec
23、ulative motive being caused by feedback trading considerations,ie users being drawn to Bitcoin by rising prices rather than a dislike for traditional banks,the search for a store of value or distrust in public institutions.A concern for our estimation strategy is that the entry of new users could al
24、so lead to price increases,raising concerns about reverse causality.To address this issue,we perform two complementary analyses.First,we focus on two specific episodes:the crackdown of Chinese authorities on crypto mining activities and the social unrest in Kazakhstan.During both episodes,structural
25、 changes affected the global price of Bitcoin,independently of changes in the number of users in other countries.We find that the exogenous change in the Bitcoin price during both episodes had a strong and significant effect on the entry of new users.Second,we estimate a panel vector autoregression(
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