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Financial Paradigm Shifts: Bitcoin's Future and Implications of Passive Investing
Financial Paradigm Shifts: Bitcoin's Future and Implications of Passive Investing
상세정보
- 자료유형
- 학위논문 서양
- 최종처리일시
- 20250211152641
- ISBN
- 9798384025320
- DDC
- 658
- 저자명
- Bednarek, Pawel.
- 서명/저자
- Financial Paradigm Shifts: Bitcoins Future and Implications of Passive Investing
- 발행사항
- [Sl] : University of Pennsylvania, 2024
- 발행사항
- Ann Arbor : ProQuest Dissertations & Theses, 2024
- 형태사항
- 117 p
- 주기사항
- Source: Dissertations Abstracts International, Volume: 86-02, Section: A.
- 주기사항
- Advisor: Jermann, Urban J.
- 학위논문주기
- Thesis (Ph.D.)--University of Pennsylvania, 2024.
- 초록/해제
- 요약This dissertation consists of two distinct chapters, each exploring recent transformative shifts in economics and finance, with an emphasis on their long-term consequences.In the first chapter, I answer growing concerns pertaining to the rapid growth of passive investment strategies over the last two decades. I construct a rational expectations equilibrium model allowing investors to choose different modes of investment (active, passive, and delegated active), introduce agent heterogeneity, and estimate the model using data from 2000 to 2017. The model considers investment fees as exogenous, and variations in these fees are the main driver for changes in investor proportions. I find that the growth of passive investing did not increase the overall price level, thus contradicting the common ETF bubble hypothesis, which postulated that rapid growth in passive strategies may lead to the detachment of prices of these securities from fundamentals. Furthermore, the model suggests that this shift in investing has contributed to increasing asset price volatility, which is consistent with empirical findings. I estimate that about a tenth of current market volatility can be attributed to the rise of passive investing over the last two decades. It also resulted in diminished price informativeness due to weakened information acquisition. Further reduction in passive management fees will strengthen these effects. Reductions in fees associated with delegated active investing may have an ambiguous effect on the proportion of passive investing but will result in enhanced price volatility and reduced informativeness, akin to the dynamics observed in passive fee reductions.The second chapter examines the impact of the Bitcoin network's transition from mining subsidies to transaction fees on its long-term security and sustainability. The scheduled reductions in block rewards, known as halvings, lead to a decrease in Bitcoin's supply expansion rate. This shift means that the income of miners will eventually rely solely on transaction fees. I construct an overlapping generations model with a type of the Lagos-Wright structure, where users use Bitcoin to purchase a good that can only be acquired using this cryptocurrency. They compete for the inclusion of their transactions on the blockchain. I introduce the concept of real hash rate to analyze the network's security. The analysis suggests that unless there is a significant and permanent increase in on-chain activity, transaction fees will be insufficient to maintain current security levels. The paper projects potential security challenges starting around 2032 when miners' revenue produced by supply expansion does not support a non-zero Bitcoin price equilibrium. A simple inflationary policy, setting a fixed emission rate at about 1%, would provide greater sustainability and could alleviate the consequences of the limited adoption problem that Bitcoin is facing.
- 일반주제명
- Finance
- 일반주제명
- Public policy
- 키워드
- Bitcoin
- 키워드
- Cryptocurrency
- 키워드
- Mining
- 기타저자
- University of Pennsylvania Economics
- 기본자료저록
- Dissertations Abstracts International. 86-02A.
- 전자적 위치 및 접속
- 로그인 후 원문을 볼 수 있습니다.
MARC
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■040 ▼aMiAaPQ▼cMiAaPQ
■0820 ▼a658
■1001 ▼aBednarek, Pawel.
■24510▼aFinancial Paradigm Shifts: Bitcoin's Future and Implications of Passive Investing
■260 ▼a[Sl]▼bUniversity of Pennsylvania▼c2024
■260 1▼aAnn Arbor▼bProQuest Dissertations & Theses▼c2024
■300 ▼a117 p
■500 ▼aSource: Dissertations Abstracts International, Volume: 86-02, Section: A.
■500 ▼aAdvisor: Jermann, Urban J.
■5021 ▼aThesis (Ph.D.)--University of Pennsylvania, 2024.
■520 ▼aThis dissertation consists of two distinct chapters, each exploring recent transformative shifts in economics and finance, with an emphasis on their long-term consequences.In the first chapter, I answer growing concerns pertaining to the rapid growth of passive investment strategies over the last two decades. I construct a rational expectations equilibrium model allowing investors to choose different modes of investment (active, passive, and delegated active), introduce agent heterogeneity, and estimate the model using data from 2000 to 2017. The model considers investment fees as exogenous, and variations in these fees are the main driver for changes in investor proportions. I find that the growth of passive investing did not increase the overall price level, thus contradicting the common ETF bubble hypothesis, which postulated that rapid growth in passive strategies may lead to the detachment of prices of these securities from fundamentals. Furthermore, the model suggests that this shift in investing has contributed to increasing asset price volatility, which is consistent with empirical findings. I estimate that about a tenth of current market volatility can be attributed to the rise of passive investing over the last two decades. It also resulted in diminished price informativeness due to weakened information acquisition. Further reduction in passive management fees will strengthen these effects. Reductions in fees associated with delegated active investing may have an ambiguous effect on the proportion of passive investing but will result in enhanced price volatility and reduced informativeness, akin to the dynamics observed in passive fee reductions.The second chapter examines the impact of the Bitcoin network's transition from mining subsidies to transaction fees on its long-term security and sustainability. The scheduled reductions in block rewards, known as halvings, lead to a decrease in Bitcoin's supply expansion rate. This shift means that the income of miners will eventually rely solely on transaction fees. I construct an overlapping generations model with a type of the Lagos-Wright structure, where users use Bitcoin to purchase a good that can only be acquired using this cryptocurrency. They compete for the inclusion of their transactions on the blockchain. I introduce the concept of real hash rate to analyze the network's security. The analysis suggests that unless there is a significant and permanent increase in on-chain activity, transaction fees will be insufficient to maintain current security levels. The paper projects potential security challenges starting around 2032 when miners' revenue produced by supply expansion does not support a non-zero Bitcoin price equilibrium. A simple inflationary policy, setting a fixed emission rate at about 1%, would provide greater sustainability and could alleviate the consequences of the limited adoption problem that Bitcoin is facing.
■590 ▼aSchool code: 0175.
■650 4▼aFinance
■650 4▼aPublic policy
■653 ▼aBitcoin
■653 ▼aInvestor proportions
■653 ▼aCryptocurrency
■653 ▼aMining
■653 ▼aPassive investment
■690 ▼a0501
■690 ▼a0508
■690 ▼a0630
■71020▼aUniversity of Pennsylvania▼bEconomics.
■7730 ▼tDissertations Abstracts International▼g86-02A.
■790 ▼a0175
■791 ▼aPh.D.
■792 ▼a2024
■793 ▼aEnglish
■85640▼uhttp://www.riss.kr/pdu/ddodLink.do?id=T17163227▼nKERIS▼z이 자료의 원문은 한국교육학술정보원에서 제공합니다.
