[NOTE: This paper was written in late 2014 and early 2015. It is relevant given the continued movement of Bitcoin toward the mainstream, exemplified by El Salvador's adoption of Bitcoin as legal tender in June 2021.]After a slow beginning in 2009, the digital currency Bitcoin has edged closer to...

Purpose - This study investigates the role of cryptocurrencies in enhancing the performance of portfoliosconstructed from traditional asset classes. Using a long sample period covering not only the large valueincreases but also the dramatic declines during the beginning of 2018, the purpose of...

One of the main concerns when considering Central Bank Digital Currency (CBDC) is the disintermediating effect on the banking sector in normal times, and even more the risk of a bank run in times of crisis. This paper extends the bank run model of Gertler and Kiyotaki (2015) by analyzing the...

We present a dynamic Rational Expectations (RE) bubble model of prices with the intention to evaluate it on optimal investment strategies applied to Bitcoin. Our bubble model is defined as a geometric Brownian motion combined with separate crash (and rally) discrete jump distributions associated...

Bitcoin represents one of the most interesting technological breakthroughs and socio-economic experiments of the last decades. In this paper, we examine the role of speculative bubbles in the process of Bitcoin's technological adoption by analyzing its social dynamics. We trace Bitcoin's genesis...

This paper examines the functioning of virtual currencies as payment systems through crypto-currency exchanges and the likely impact their integration with traditional payment systems may have on the interdependent global payment systems. Being a potential global transformational phenomenon,...

In this study, we examine the spillover of Bitcoin’s jumps and diffusive variations to traditional assets using high frequency data. For our cross-asset study, we detect positive spillovers from Bitcoin to risk assets and negative spillovers to defensive assets. We also find evidence of...

In this study, we examine the cross-excitation effects of Bitcoin’s jumps and diffusive variations on traditional asset classes using high frequency data. For our cross-asset study, we detect the presence of positive jump spillovers from Bitcoin to risk assets and negative jump spillovers from...

Fractional reserve regimes generate fragile banking, and full reserve regimes (e.g., narrow banking) remove fragility at the cost of suppressing the role of banks as lenders. A Central Bank Digital Currency (CBDC) could provide safe money, but at the cost of potentially disrupting bank lending....