We embed a news shock, a noisy indicator of the future state, in a two-state Markovswitching growth model. Our framework, combined with parameter learning, features rich history-dependent uncertainty dynamics. We show that bad news that arrives during a prolonged economic boom can trigger a...

The use of futures exchange contracts instead of forwards completes the maturity spectrum of the correlation between the spot yield and the premium. We find that the forward premium puzzle (FFP) depends significantly on the maturity horizon of the futures contract and the choice of sampling...

We unite investment by speculators and tech-savvy investors with a heterogeneous agent model.While speculators seek to profit from extrapolating the price trends, tech-savvy investors trade based on the prospective value of Bitcoin, which is a function of factors that capture the market demand...

In this study, a mathematical model of proof-of-work cryptocurrency valuation is developed based on the concepts of simultaneous equilibria in two mining games, the purchasing power parity in the system of equations of exchange and the network effects of transaction cost optimisation in the...

This study applies Fama-French-style factor loading analysis to cryptocurrency financial performance data to determine the originality of 32 reportedly novel consensus algorithms (“proofs”) and 20 hybrid consensus mechanisms as compared to conventional proof-of-work and proof-of-stake using...

We document systematic differences in bitcoin prices across 11 different markets representing 26\% of global bitcoin trade volume. These differences must --- due to the identical nature of all bitcoin--- result from characteristics of markets themselves. We examine differences across the markets...

This paper aims to identify the likely determinants for cryptocurrency value formation, including for that of bitcoin. Due to Bitcoin's growing popular appeal and merchant acceptance, it has become increasingly important to try to understand the factors that influence its value formation....