Does Bitcoin Reveal New Information About Exchange Rates and Financial Integration?

Pieters, Gina

doi:10.24149/gwp292

Cited by 8 publications

(7 citation statements)

References 30 publications

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“…The IMF classify the Brazilian real exchange rate as floating but Pieters views it more as a managed float. 10 The average premiums paid for bitcoins do not indicate that the exchange rate is managed. However, while calculating the Argentinian peso's variation to the BPI, it becomes obvious that it has had a similar problem to Venezuela (though somewhat smaller in size), of a significant difference between official and unofficial exchange rates, which their government dealt with on 18 December 2015.…”

Section: The Methods For Determining Adjustments For Venezuelan Tradingmentioning

confidence: 99%

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Bitcoin and Venezuela's Unofficial Exchange Rate

Johnson¹

2019

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Using Bitcoin trading data in Venezuelan bolivars from the LocalBitcoins peer-to-peer market place and using the theory of Purchasing Power Parity (PPP), Bitcoin, as a single universal asset, is substituted for the ‘basket of goods’ normally used in the PPP, allowing the estimation of the relationship between the Venezuelan bolivar and the United States dollar. In this analysis Bitcoin is used as a tool to enable the calculation of the bolivars to dollars unofficial exchange rate and consequently the implied inflation rate. Using Bitcoin’s publicly available prices in this way enables a government’s economic mismanagement to be identified more quickly than the typical approach of measuring changes in the Consumer Price Index. Venezuela is currently in crisis, which this approach identifies as a problem as far back as 2014, as official and unofficial exchange rates diverge and inflation rates increase yearly reaching an unbelievable 70,000% in 2018 alone.

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Section: The Methods For Determining Adjustments For Venezuelan Tradingmentioning

confidence: 99%

“…9 Pieters furthermore notes the difficulty in obtaining accurate unofficial exchange rates. 10 Pointing out that Bitcoin can bypass restrictions on the acquisition of foreign currency, at the same time as taking advantage of trading at an alternative to official, potentially manipulated, exchange rates.…”

Section: The Role Of Bitcoinmentioning

confidence: 99%

Bitcoin and Venezuela's Unofficial Exchange Rate

Johnson¹

2019

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“…Makarov and Schoar (2020) show that there is substantial price dispersion across Bitcoin exchanges in different regions. Pieters (2016) and Yu and Zhang (2018) explore cross-country differences in Bitcoin mispricings, and find that countries with stricter capital controls exhibit higher degrees of mispricing. In order to explore the potential for mispricing in cryptocurrencies, we focus in particular on a potential source of market dislocation in the market for Bitcoin: the February 2014 bankruptcy and collapse of Mt.…”

Section: Introductionmentioning

confidence: 99%

Deviations from Triangular Arbitrage Parity in Foreign Exchange and Bitcoin Markets

2018

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This paper applies recently developed procedures to monitor and date so-called "financial market dislocations", defined as periods in which substantial deviations from arbitrage parities take place. In particular, we use a cointegration perspective to focus on deviations from the triangular arbitrage parity for exchange rate triplets. Due to increasing attention on and importance of mispricing in the market for cryptocurrencies, we include the cryptocurrency Bitcoin in addition to fiat currencies in our analysis. We do not find evidence for substantial deviations from the triangular arbitrage parity when only traditional fiat currencies are considered, but document significant deviations from triangular arbitrage parities in the newer market for Bitcoin. We tentatively confirm the importance of our results for portfolio strategies by showing that a currency portfolio that trades based on our detected break-points outperforms a simple buy-and-hold strategy.

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“…This aggregation site compiles transaction data on several exchanges that trade Bitcoins against different currencies, being the USD and CNY the most important ones. Although Bitcoin high frequency data is available for free in other public sites, it seems that this database is quite reliable and has already been used in several academic papers (for instance, in Fink and Johann, 2014;Brandvold et al, 2015;Pieters, 2016).…”

Section: Data and Preliminary Analysismentioning

confidence: 99%

“…Its main merit, which is the basis for its success in relation to other virtual currencies, is to solve the double spending problem (when an individual, conducting an online transaction, sends the same money to two counterparts at the same time) without the need for a third trusted intermediary. Moreover, while other online payment systems, such as PayPal and eBay, still have impediments in cross -border transactions, Bitcoin allows its holders to trade across borders, in an increasingly global marketplace (ECB, 2012;Lancelot and Tatar, 2013;Pagliery, 2014;Pieters, 2016).…”

Section: Introductionmentioning

confidence: 99%

Where is the information on USD/Bitcoin hourly prices?

Sebastião¹,

Duarte²,

Guerreiro³

2018

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A navegação consulta e descarregamento dos títulos inseridos nas Bibliotecas Digitais UC Digitalis, UC Pombalina e UC Impactum, pressupõem a aceitação plena e sem reservas dos Termos e Condições de Uso destas Bibliotecas Digitais, disponíveis em https://digitalis.uc.pt/pt-pt/termos.Conforme exposto nos referidos Termos e Condições de Uso, o descarregamento de títulos de acesso restrito requer uma licença válida de autorização devendo o utilizador aceder ao(s) documento(s) a partir de um endereço de IP da instituição detentora da supramencionada licença.Ao utilizador é apenas permitido o descarregamento para uso pessoal, pelo que o emprego do(s) título(s) descarregado(s) para outro fim, designadamente comercial, carece de autorização do respetivo autor ou editor da obra.Na medida em que todas as obras da UC Digitalis se encontram protegidas pelo Código do Direito de Autor e Direitos Conexos e demais legislação aplicável, toda a cópia, parcial ou total, deste documento, nos casos em que é legalmente admitida, deverá conter ou fazer-se acompanhar por este aviso. Where is the information on USD/Bitcoin hourly prices? Autor(es):Sebastião, Helder; Duarte, António Portugal; Guerreiro, Gabriel Where iS the infor mation on uSD/Bitcoin hourly priceS?Helder Sebastião António Portugal Duarte Gabriel Guerreiro Information is mostly transmitted between exchanges within an hour, at least for the main exchanges, although lagged feedbacks occur from the major exchanges. Minor exchanges are merely satellite ones and react to price information with some delay. Bitfinex is the most important exchange: the lagged feedback from this exchange to the market is 18.3%, while the reverse feedback accounts only for 0.6% of the total feedback. Volatility in the major exchanges is the main factor explaining the feedback measures, which sustains the claim that the relative importance of the information -based component of volatility increases with the relative dimension of the exchange.

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Does Bitcoin Reveal New Information About Exchange Rates and Financial Integration?

Cited by 8 publications

References 30 publications

Bitcoin and Venezuela's Unofficial Exchange Rate

Bitcoin and Venezuela's Unofficial Exchange Rate

Deviations from Triangular Arbitrage Parity in Foreign Exchange and Bitcoin Markets

Where is the information on USD/Bitcoin hourly prices?

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