数字货币具有稳定的避险性吗?——基于宏观经济金融不确定的视角

Does Digital Currency Have Safe Haven Property?——Based on the Perspective of Macroeconomic and Financial Uncertainty

近年来,以比特币为代表的数字货币快速发展引发了金融业界和学界的广泛关注及讨论,比特币的算法信任、去中心化、匿名交易、全网交易、总量有限等特点使其具备潜在的避险能力。在宏观经济金融不确定性加剧的背景下,有必要对比特币是否具有避险能力及其特征进行研究。基于宏观经济金融不确定性的视角,本文使用事件分析法和DCC-GARCH模型考察了比特币在中长期和短期对于来自宏观经济和金融市场风险的避险能力。结果表明:(1)比特币短期对于宏观经济和金融市场都具有较强的避险属性;(2)比特币在中长期无论是均值信息传递层面还是波动信息传递层面都对金融市场不确定性表现出较为显著的避险功能,而对宏观经济不确定性仅在波动信息传递层面表现出避险效应;(3)比特币对金融市场的避险功能大小具有动态时变性,投机性的增强可能会削弱其避险性。

The rapid development of digital currency represented by Bitcoin in recent years has aroused widespread concern and discussion among the financial industry and academic circles.The features of bitcoin including algorithmic trust,decentralization,anonymous transactions,the whole-internet transactions,and limited total amount make it have potential of hedging capabilities.In the context of the intensification of macroeconomic and financial uncertainty,it is necessary to study whether Bitcoin has the ability to hedge risks and research its characteristics.Based on the perspective of macroeconomic and financial uncertainty,this paper empirically examines the ability of Bitcoin to hedge against macroeconomic and financial market risks in the medium-long term and short term by using the event analysis method and the DCC-GARCH model.The results show that:(1)Bitcoin has strong hedging properties for macroeconomics and financial markets in the short term;(2)in both the medium and long term,Bitcoin has significant safe haven function towards the uncertainty of the financial markets whether it is the mean information transfer level or the fluctuant information transferring.However,as for the uncertainty of micro-economy,it has safe haven effects only in the fluctuant information transfer level;(3)Bitcoin's safe haven function to the financial market has dynamic time-varying,speculative enhancement may weaken its function above.