比特幣價格與能源使用：結構性轉變檢定

The Structural Break Examination of Bitcoin Prices and Energy Use: An Empirical Study

吳雪菊(Sheue Jyu Goh)

指導教授 ： 林佑龍

國立暨南國際大學/管理學院/經濟學系/碩士(2019年)

https://doi.org/10.6837/ncnu201900245

摘要

本研究是使用Bai and Perron (1998, 2003) 開發的方法來測試比特幣能耗指數係列（預估年百萬兆瓦時和最小年百萬兆瓦時）和比特幣價格系列（比特幣最高和最低每日價格的平均值）的多重結構性變化檢定。本文中皆使用Matlab進行實證研究，且所有程式編碼都是從Pierre Perron的網站獲得的。
在這項研究中，我們發現比特幣價格系列和比特幣能源使用系列的結構變化日期並不重合。最高和最低比特幣每日價格平均值系列的第一個結構變化日是2017年8月，而不是2017年12月，這意味著2017年12月比特幣價格的下跌並不像我們想像的那樣是結構性變化點。此外，該發現表明真實的結構變化日期可能在真實數據生成的圖表上的選擇點的之前或之後。預估年度百萬兆瓦時系列的唯一結構變化日期是2017年11月，這與比特幣價格的結構變化日期不一致。除此之外，在最小年度百萬兆瓦時系列中發現的結構變化日期也與最高和最低比特幣每日價格平均值系列的結構變化日期不一致。由此，我們可以得出結論，比特幣能源消耗與比特幣價格非常明顯無關。因此，比特幣價格可能不是比特幣能源使用的決定因素。然而，亦可嘗試從其他方面進行思考，如將投資成本視為比特幣能源使用的原因，例如，採礦機器將是固定成本。

關鍵字

比特幣 ； 結構性轉變 ； 能源使用

並列摘要

This study aims to tests for multiple structural breaks in the Bitcoin energy consumption index series (estimated annual TWh and minimum annual TWh) and Bitcoin price series (the average of the highest and lowest daily price of Bitcoin) by using the methodology developed by Bai and Perron (1998, 2003). For the implementation, we used the Matlab code for all the procedures in this study is obtained from Pierre Perron’s website.
In this study, we find that the break dates of the Bitcoin price series and the Bitcoin energy use series are not coincident. The first break date of the average of the highest and lowest bitcoin daily price series is on the August 2017, not December 2017, which implies the fall down of the Bitcoin price in December 2017 is not the structural change point as we thought. Moreover, this finding shows that the real break dates may happen before or after the picks or tough points on the graph generated by the real data. The only break date of the estimated annual TWh series is on November 2017, which is not coincident with the break date of the Bitcoin price. Besides that, the break dates that found in minimum annual TWh series also not coincident with the break dates of the average of the highest and lowest bitcoin daily price series.
In summary, we can conclude that the reason why the consumption of energy use and the Bitcoin price are irrelevant is that their structures are quite distinct. Hence, the Bitcoin price may not be the determinant of the energy use of Bitcoin. So, it encourages us might able try to think from other aspects, even consider the cost of investing as a considerable reason for the Bitcoin energy use, for example, mining machine would be a fixed cost.

並列關鍵字

Bitcoin ； Structural break ； Energy use

參考文獻

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