比特币价格的链上和链下需求与供应驱动因素
On- and off-chain demand and supply drivers of Bitcoin price
AI总结：
本文研究了比特币价格的链上和链下需求与供应驱动因素，发现链下需求在长期对价格有显著影响，而链上需求在短期和长期均显著影响价格。
摘要：
大约四分之三的比特币交易发生在链下。尽管其重要性，大多数关于加密货币的实证文献都集中在链上交易。本文提出了对链上和链下需求和供应因素的首次分析之一。在2019年至2024年的每日数据上，使用ARDL模型检验了链上和链下需求和供应驱动因素与比特币价格之间的两个假设。我们的估计文档了链上和链下驱动因素对比特币价格的差异贡献。链下需求压力在长期对比特币价格有显著影响。在短期，需求和供应驱动因素都显著影响比特币价格。关于区块链上的交易，只有链上需求压力在统计上显著——长期和短期都如此。这些发现证实了比特币价格动态的双重性质，其中市场基本面也影响比特币价格，而不仅仅是投机驱动因素。比特币鲸鱼交易在长期对价格影响较小，但在同时期和一期滞后时更为明显。
英文摘要：
Around three quarters of Bitcoin transactions take place off-chain. Despite their significance, the vast majority of the empirical literature on cryptocurrencies focuses on on-chain transactions. This paper presents one of the first analysis of both on- and off-chain demand- and supply-side factors. Two hypotheses relating on-chain and off-chain demand and supply drivers to the Bitcoin price are tested in an ARDL model with daily data from 2019 to 2024. Our estimates document the differential contributions of on-chain and off-chain drivers on the Bitcoin price. Off-chain demand pressures have a significant impact on the Bitcoin price in the long-run. In the short-run, both demand and supply drivers significantly affect the Bitcoin price. Regarding transactions on the blockchain, only on-chain demand pressures are statistically significant - both in the long- and short-run. These findings confirm the dual nature of the Bitcoin price dynamics, where also market fundamentals affect the Bitcoin price in addition to speculative drivers. Bitcoin whale trading has less significant impact on price in the long-run, while is more pronounced contemporaneously and one-period lag.
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