比特幣價格與總體經濟變數的長期均衡關係

比特幣在近年來成為人人所津津樂道的熱門話題，隨著連續幾年價值的持續增長，不論是在市場的接受度或是投資領域上都扮演著越來越重要的角色。本文以時間序列之分析，旨在探討比特幣價格與總體經濟變數的長期均衡關係，研究自2013年1月1日至2020年12月31日，包括比特幣價格、美國10年期公債殖利率、美國1年期公債殖利率、道瓊工業平均指數、聯邦資金利率、黃金價格、那斯達克指數、布蘭特原油價格以及美元指數之日資料，各2922筆進行探討。實證分析結果:以Johansen共整合檢定發現比特幣分別與各變數間存在一個長期均衡關係。從Granger因果關係檢定發現，比特幣價格是美元指數的前因，而比特幣價格與道瓊指數、那斯達克指數及黃金價格互為因果關係。由向量誤差修正模型(VECM)發現，比特幣價格與美國10年期公債殖利率、道瓊工業平均指數、黃金價格及那斯達克指數的長期關係密切，而比特幣價格與道瓊工業平均指數、那斯達克指數、黃金價格、原油價格呈現正向的走勢。當道瓊工業平均指數、黃金價格及美元指數前一期偏離長期均衡值時，則當期會以特定速度回到長期均衡值。本文亦觀察到比特幣既是一種避險工具亦是一種投機性的商品，除了發現比特幣與各變數的短期動態關係之外，更重要的是在長期方面比特幣與總體經濟變數之間存在均衡關係。

關鍵字

比特幣；單根檢定；共整合檢定；向量誤差修正模型

並列摘要

Based on the time series analysis, we use daily data from 2013 to 2020 to analyze the long-run equilibrium relationship between bitcoin price (BTC) and macroeconomic variables, including U.S. 10-year bond yield (B10Y), U.S. 1-year bond yield (B1Y), Dow Jones industrial average (DJ), Federal Funds Rate (FFR), gold price (GOLD), NASDAQ index (NAS), Brent crude oil price (OIL) and US dollar index (USD). The results of empirical analysis are as follows: The unit root test shows that each variable has a unit root. Based on Johansen cointegration test, it is found that there is a long-run equilibrium relationship between bitcoin and each variable. DJ, NAS and GOLD are the Granger-cause of BTC while BTC is the Granger-cause of USD, DJ, NAS and GOLD. VECM estimates show that BTC has a close long-run relationship with B10Y, DJ, GOLD and NAS, while BTC has a positive trend with DJ, NAS, GOLD and OIL. We find that Bitcoin is not only a hedging asset but also a speculative commodity. In addition to discovering the short-run dynamic relationship between Bitcoin and variables, more importantly, there is a long-run equilibrium relationship between Bitcoin price and macroeconomic variables.