Crypto Currencies Prices Bubbles
The economics literature about crypto currencies prices, has come up with each abstract and empirical documents. Consistent with the analytical papers, White (2014) argues that crypto currencies are according with the 3 forex’s features: medium of exchange, save of value and medium of remittance.
Grinberg (2012) proposes a reflection on the legality and social effects of the BitCoin. The reality that BitCoin is a virtual foreign money, with encrypted transactions and no specific policies, has inspired its use by using parallel companies or even in price for illegal services (Böhme et al., 2015).
In agreement, the probable existence of speculative bubbles in currency costs, with the aid of stating that so long as the market is not always in regulate state, the secure of the BitCoin, as an asset, is questionable and the cryptocurrency represents an ability threat for each the financial machine and the actual financial system.
Crypto Currencies Prices Stability
As the above-cited author’s suspicion, the charge balance of this market changed into now not validated and there is empirical proof for BitCoin and Ripple. Glaser et al. (2014) attempted to apprehend if it use BitCoin as a foreign money or as an asset.
Using ARCH-GARCH models, the authors validated that users buy BitCoin to invest about its price free of a goal to purchase items or services. Cheung, Roca and Su (2015) and Cheah and Fry (2015) have studied the lifestyles of bubbles in BitCoin the usage of the methodologies of Johansen et al. (2000) and Phillips, Wu and YU (2011).
Complementing the proof of bubbles in each currency, the authors showed, the use of exogenous shock assessments, that there are contagion and codependency consequences between BitCoin and Ripple.
From this, it’s miles workable recognize the existence of a gap in the empirical literature concerning the researches about bubbles in other crypto currencies aside from BitCoin.
Our contribution is to provide a amplified view of the cryptocurrency market, by using trying out the existences of bubbles, according to the technique of Phillipps, Wu and Yu (2011) and Phillips, Shi and Yu (2015), within the following crypto currencies: BitCoin, Ether-um, Ripple, Lite-coin, Monero, Dash, Made Safe Coin and NEM.
Bitcoin Determine The Crypto Currencies Prices?
We investigated the possibility of BitCoin determines the rate’s dynamic of the others consultant crypto currencies, the use of the Johansen coin integration exams.
We located sturdy proof that bubbles exist in the selected crypto currencies collection.
The consequences confirmed that charge instability is a structural feature. In addition, we display that BitCoin is coin integrated with Lite-coin, Ripple and Dash and most bubbles dynamics are unbiased with the other series.
The structure of this paper includes 3 sections except this quick introduction: method, outcomes and conclusions.
To verify bubbles in the cryptocurrency series we can use the proper tail unit root checks, following Phillips, Wu and Yu (2011) and Phillips, Shi and Yu (2015).
The four variations used were: Right-tailed ADF, Rowling-ADF (RADF), supremum ADF (SADF) and generalized SADF (GSADF), primarily based on the following primary Augmented Dickey-Fuller (ADF) equation.
However, the bubble exams differ from standard unit root assessments.
They do no longer impose an unmarried look at for the whole collection and the alternative speculation in bubble exams is a coefficient greater than one, which refers to the right tail of the distribution.