以太幣價格與總體經濟之關係研究－分量迴歸模型的應用

近年來去中心化NFT、DeFi、GameFi的熱潮也順勢開啟了「元宇宙」（Mateverse）的篇章，2021年更被稱為「元宇宙元年」。造成如此瘋狂的加密貨幣風潮主要是比特幣價格屢創新高來到$66,000美元，兩年來漲幅更高達800%，以及現階段市佔率第一的「以太坊」開發ERC-721、ERC-1155（NFTs合約）以及ERC-20（DeFi）合約協議，廣泛的Dapps應用也加速推動資產數位化與去中心化的風潮。鑒於以太坊技術與去中心化應用的領先，將增加以太幣需求且提升太幣價格，以太幣有朝一日將超越比特幣成為幣圈的市值龍頭。本研究將進一步探討以太幣於總體經濟市場的相關性、以及以太坊應用的增加是否會縮小與比特幣之間的市值差距，為將來區塊鏈發展與原宇宙市場成熟之時，能透過相關研究變數指標來搶得市場先機。為了探討上述研究問題，研究方法使用傅立葉之Toda-Yamamoto迴歸模型。首先，檢定模型是否存在結構性變動，並透過Toda-Yamamoto Granger因果關係檢定分析以太幣價格、比特幣價格、DeFi總鎖倉量、S P500、黃金價格、原油價格、美元指數之間的相關性。本研究重要實證結果：（一）比特幣對以太幣價格無顯著影響力；DeFi總鎖倉量、S P500對以太幣價格有顯著的正向影響力，隨著分量上升其影響力也呈現先上升後遞減的情況；黃金價格、原油價格、美元指數皆無顯著正負關係。（二）DeFi總鎖倉量及黃金價格皆對比特幣價格有顯著的負向影響力，此實證結果與以太幣不同。（三）DeFi總鎖倉量對以太幣價格呈現正向影響力，對比特幣價格呈現負向影響力，實證以太坊應用能促進以太幣價格的上漲。

關鍵字

以太幣；比特幣； DeFi去中心化金融； Toda-Yamamoto Granger 分量迴歸；傅立葉函數；結構性變動

並列摘要

In recent years, the boom in Blockchain about NFTs, DeFi and GameFi has also opened the Pandora's box of the "Mateverse", and 2021 is known as the "First Year of the Mateverse ". The ERC-721, ERC-1155 and ERC-20 (DeFi) contract protocols by "Ethereum" currently has the biggest market share, and the various decentralized applications have also accelerated the transformation of asset digitization and asset decentralization. Accordingly, Ethereum which has the leading technology in decentralized applications will increase the demand for Ether and the prices will increase, and it will surpass Bitcoin to become the market capitalization leader in the cryptocurrency market. This study will further find the correlation of Ethereum in the economic market, and whether the leader in the application of Ethereum will narrow the market capitalization gap with Bitcoin. So that in the future, the blockchain developed and the Mateverse market matured, We can seize the opportunity of investment through this relevant research. The research method uses Fourier Granger Causality in Quantiles test, checking for structural breaks. And test the correlation between the Ether prices, the Bitcoin prices, the total value locked of DeFi, S P500, gold prices, crude oil prices, and the US dollar. The results of this study are as follows: (1) Bitcoin has no significant influence on the Ether; DeFi and S P500 have a significant positive influence on the Ether, and its influence shows first-rising and then decreasing as quantile rises; gold prices, crude oil prices, and the US dollar index have no significant no relation to Ether. (2) Both DeFi and gold prices have a significant negative impact on Bitcoin, the result that differs from Ether. (3) DeFi has a positive impact on the Ether prices and a negative impact on the Bitcoin prices, which can be verified that the Leading technology of Ethereum can promote the rise of the Ether prices.