数字加密货币的价格泡沫分析

Analysis of Cryptocurrency Price Bubbles

数字货币市场的有序运行对金融市场的发展具有重要的意义,因此要重点警惕市场上出现的价格泡沫。先运用Phillips,Shi和Yu的GSADF方法对数字货币泡沫区间进行检测,然后借鉴Chen,Phillips和Yu检验比特币等数字加密货币价格泡沫是否服从微爆炸过程以及相互间的联动关系。研究结果表明:(1)8种数字加密货币价格序列都存在若干个泡沫区间,且发生泡沫的时段非常集中,持续时间较长;(2)8种主要数字加密货币的价格均表现为正向联动关系;(3)每种数字加密货币的"进取性"均表现出差异性。建议推动法定数字货币的应用和发展,建立数字货币的有效监管机制,加强国际间的交流与协作,对金融投资者进行风险提示和教育,保护货币使用者的合法权益。

The Phillips method and GSADF method of Shi and Yu(2015)are used to detect the digitalcurrency bubble interval, and the results of Chen, Phillips and Yu (2017) are used to study whether pricebubbles of cryptocurrency such as Bitcoin are subject to the micro-explosion process. The following are threemain conclusions. First, there are several bubble cycles in the price series of the eight cryptocurrencies, and allcryptocurrencies experienced bubbles in 2017, and the periods in which they occurred were very concentratedand long-lasting. Second, the prices of these eight major cryptocurrencies exhibit a positive co-movementrelationship. Third, Bitcoin is more“aggressive”than Ethereum;Dashcoin is relatively more“aggressive”thanBitcoin, Ethereum, Litecoin, NEM, Monero and Ripple;Litecoin is more“aggressive”compared to the Ethereum,NEM, Stellar, Monero and Ripple;compared with the Ethereum, the NEM is more“aggressive”;Monero is more“aggressive”than Ethereum. It is recommended to promote the application and development of legal digitalcurrencies, establish an effective regulatory mechanism for digital currencies, strengthen international exchangesand collaboration, provide risk warning and education to financial investors, and protect the rights and interestsof currency users.