Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 10, 2021 erstellt
Beschreibung:
Cryptocurrencies come with benefits, such as anonymity of payments and positive network effects of user adoption, and transaction risks, such as unconfirmed transfers, hacks, and frauds. They compete with central-bank-regulated currencies as a means of payment but this competition is not perfect: consumers are not indifferent with respect to the currency to be used in transactions. In our arbitrage-free world consumers' utility from consumption depends on benefits offered by the type of the currency: for example, preserving anonymity may increase utility, while fraud would decrease it. Distinct stochastic processes governing benefits of the two currencies generate incomplete markets with crypto- and central bank currencies operating under distinct pricing kernels. We characterize the bitcoin kernel and its relationship with the pricing kernel in the centralized market. Our model allows us to evaluate the otherwise unobservable benefits and their contribution to the pricing kernel. The model explains both the co-existence of decentralized and centralized currencies and the risk and return patterns in the cryptocurrency world