{"title":"比特币溢价：持久之谜","authors":"Matthew S. Wilson","doi":"10.1515/bejm-2023-0107","DOIUrl":null,"url":null,"abstract":"On average, stocks have a much higher rate of return than bonds; this has led to research on the <jats:italic>equity premium puzzle</jats:italic>. Similarly, Bitcoin outperforms stocks; I call this the <jats:italic>Bitcoin premium puzzle</jats:italic>. I show that standard macroeconomic models predict a low or negative Bitcoin premium. Though Bitcoin is extremely volatile, the model is rejected even when the coefficient of relative risk aversion is above 10. The Bitcoin premium declined after a structural break in late 2013. However, the puzzle is persistent; there has been no downward trend in the premium since.","PeriodicalId":501401,"journal":{"name":"The B.E. Journal of Macroeconomics","volume":"328 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2024-01-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"The Bitcoin Premium: A Persistent Puzzle\",\"authors\":\"Matthew S. Wilson\",\"doi\":\"10.1515/bejm-2023-0107\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"On average, stocks have a much higher rate of return than bonds; this has led to research on the <jats:italic>equity premium puzzle</jats:italic>. Similarly, Bitcoin outperforms stocks; I call this the <jats:italic>Bitcoin premium puzzle</jats:italic>. I show that standard macroeconomic models predict a low or negative Bitcoin premium. Though Bitcoin is extremely volatile, the model is rejected even when the coefficient of relative risk aversion is above 10. The Bitcoin premium declined after a structural break in late 2013. However, the puzzle is persistent; there has been no downward trend in the premium since.\",\"PeriodicalId\":501401,\"journal\":{\"name\":\"The B.E. Journal of Macroeconomics\",\"volume\":\"328 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2024-01-24\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"The B.E. Journal of Macroeconomics\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1515/bejm-2023-0107\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"The B.E. Journal of Macroeconomics","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1515/bejm-2023-0107","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
On average, stocks have a much higher rate of return than bonds; this has led to research on the equity premium puzzle. Similarly, Bitcoin outperforms stocks; I call this the Bitcoin premium puzzle. I show that standard macroeconomic models predict a low or negative Bitcoin premium. Though Bitcoin is extremely volatile, the model is rejected even when the coefficient of relative risk aversion is above 10. The Bitcoin premium declined after a structural break in late 2013. However, the puzzle is persistent; there has been no downward trend in the premium since.
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