基于VEC模型的数字货币价格驱动因素分析  

An Analysis of Driving Factors of Digital Currency Price Based on VEC Model

作　　者：郭艳 张铭芮 贺梦蛟 Guo Yan;Zhang Mingrui;He Mengjiao

机构地区：[1]太原理工大学经济管理学院 [2]中国国检测试集团股份有限公司

出　　处：《经济研究参考》2022年第11期119-132,共14页Review of Economic Research

基　　金：工信部2020年工业互联网创新发展工程“基于区块链的工业产品防伪溯源平台”(No.TC200802G);山西科技战略研究专项“山西区块链产业技术战略研究”;山西省哲学社会科学规划课题“区块链技术:逻辑、应用与山西产业转型”(No.2021YY076);山西社科联重点课题“山西战略性支柱产业建构研究——基于区块链和分布式技术产业集群”。

摘　　要：2008年以来,基于区块链技术的数字货币开始出现,在吸引投资热潮和学术研究兴趣的同时,也逐渐充当货币的部分功能,但市场对其价格发现一直处于剧烈变动过程中。本文通过回归分析对市场因素、公众社会情绪、技术因素、宏观金融经济指标等多个变量进行筛选,然后建立VEC模型,以探究这些因素与数字货币价格之间的长期均衡和短期波动关系。研究结果显示,数字货币价格受交易量和“挖矿”难度影响较大,受道琼斯指数、黄金价格、美元指数等宏观经济金融要素影响小,随着机构投资者加入、数字货币期货工具出现,价格波动性有降低趋势,但仍然难以充当货币的计价单位职能,也没有发挥金融资产的对冲、避险功能,仍是投机交易为主。这些研究结论对于推动数字货币本质讨论进入更深层次,对于测度数字货币市场风险、维护金融体系稳定、建立长期有效的数字货币监管体系均具有参考价值。Since 2008,digital currencies based on blockchain have emerged.Their rising popularity has stimulated investment enthusiasm and attracted a growing academic research interests.During the time,they have gradually served as part of the function of currencies,but their prices are undergoing drastic changes.This paper uses regression analysis to screen market forces,public social sentiments,technical factors,and macro-financial economic indicators,and then establishes a VEC model to explore the long-term equilibrium and short-term volatility relationships between these factors and digital currency prices.The empirical results confirm that the price of digital currencies is greatly affected by transaction volume and mining difficulty,but the estimates do not support previous findings that macro-financial economic indicators such as the Dow Jones index,gold price,and U.S.dollar index are driving the digital currencies price.With the participation of institutional investors and the emergence of digital currency futures tools,the price volatility has a tendency to decrease,but they are still hard to be served as real currencies and play the function of price unit as currencies or the function of hedging as financial assets.Speculative trading is still the mainstay.The conclusions not only promote the disscussion on essence of digital currency to enter a higher level,but also make useful references to measure the risk of digital currency market,maintain the stability of the financial system,and establish a long-term effective digital currency supervision system.

关 键 词：数字货币 VEC模型 协整检验 挖矿难度 货币监管 

分 类 号：F821[经济管理—财政学]