비트코인 가격 변화에 관한 실증분석: 소비자, 산업, 그리고 거시변수를 중심으로 (Empirical Analysis on Bitcoin Price Change by Consumer, Industry and Macro-Economy Variables)

서지정보

· 발행기관 : 한국지능정보시스템학회
· 수록지 정보 : 지능정보연구 / 24권 / 2호 / 195 ~ 220페이지
· 저자명 : 이준식, 김건우, 박도형

초록

본 연구는 비트코인 가격 변화량에 영향을 미치는 요인에 대한 실증 분석을 수행하였다. 기존 연구들은 암호화폐와 관련해 블록체인 시스템의 보안성, 암호화폐가 불러일으키는 경제적 파급효과 및 법적 시사점, 소비자수용 및 사용 의도와 사회현상을 중심으로 이루어졌다. 그러나 암호화폐 가격 변화가 급등과 급락을 반복하면서 많은 사회적 문제를 야기했음에도 불구하고 암호화폐의 가격 변화에 영향을 미치는 요인에 대한 실증적 연구는 부족하다. 때문에 본 연구에서 암호화폐 가격 변화에 미치는 영향 요인을 도출하기 위해 암호화폐 중 가장대표적인 비트코인을 중심으로 분석을 진행하였다. 분석을 위해 소비자, 산업, 거시경제 세 가지 차원에서 가설을 수립, 각 차원의 변수에 대한 시계열 데이터를 수집하였다. 단위근 검정을 통해 시계열 데이터에 대한 가성회귀를 제거하고 안정성을 검증한 후, 비트코인 가격 변화량에 영향을 미칠 수 있는 요인들에 대한 회귀 분석을실시하였다. 분석 결과 비트코인 가격 변화량은 비트코인 거래 금지에 대한 검색 트래픽, 미국 달러지수 변화량과는 음의 상관관계를, GPU 벤더의 주가 변화량, 원유 가격 변화량과는 양의 상관관계를 갖는 것을 확인했다.
그 이유로는 비트코인 거래 금지는 비트코인 존폐와 관련해 투자심리에 부정적 영향을 미친 것으로 판단되며, GPU 벤더 주가는 비트코인 생산 단가 증가와 관련해 비트코인 가격에 영향을 미친 것으로 해석된다. 미국 달러지수와는 반대로 움직임으로서 비트코인이 금의 성격을 갖고 있음을 확인하였으며, 원유 가격과의 관계를 통해 원자재와 같은 투자 자산의 역할도 갖고 있음을 확인하였다. 본 연구의 결과를 통해 비트코인이 가진 성격을규명하였으며, 비트코인 가격 변화 요인에 대한 실증 검증을 통해, 그 동안 부족했던 비트코인 가격 변화 요인을 규명하였고, 해당 요인들을 통해 실무적으로 소비자나 금융기관, 정부 기관에 대해 비트코인에 대한 전략적인 접근방법에 대한 가이드를 제공할 수 있다는 점에서 의의가 있다.

영어초록

In this study, we conducted an empirical analysis of the factors that affect the change of Bitcoin Closing Price. Previous studies have focused on the security of the block chain system, the economic ripple effects caused by the cryptocurrency, legal implications and the acceptance to consumer about cryptocurrency. In various area, cryptocurrency was studied and many researcher and people including government, regardless of country, try to utilize cryptocurrency and applicate to its technology. Despite of rapid and dramatic change of cryptocurrencies’ price and growth of its effects, empirical study of the factors affecting the price change of cryptocurrency was lack. There were only a few limited studies, business reports and short working paper. Therefore, it is necessary to determine what factors effect on the change of closing Bitcoin price. For analysis, hypotheses were constructed from three dimensions of consumer, industry, and macroeconomics for analysis, and time series data were collected for variables of each dimension. Consumer variables consist of search traffic of Bitcoin, search traffic of bitcoin ban, search traffic of ransomware and search traffic of war. Industry variables were composed GPU vendors’ stock price and memory vendors’ stock price. Macro-economy variables were contemplated such as U.S. dollar index futures, FOMC policy interest rates, WTI crude oil price. Using above variables, we did times series regression analysis to find relationship between those variables and change of Bitcoin Closing Price. Before the regression analysis to confirm the relationship between change of Bitcoin Closing Price and the other variables, we performed the Unit-root test to verifying the stationary of time series data to avoid spurious regression. Then, using a stationary data, we did the regression analysis. As a result of the analysis, we found that the change of Bitcoin Closing Price has negative effects with search traffic of ‘Bitcoin Ban’ and US dollar index futures, while change of GPU vendors’ stock price and change of WTI crude oil price showed positive effects. In case of ‘Bitcoin Ban’, it is directly determining the maintenance or abolition of Bitcoin trade, that’s why consumer reacted sensitively and effected on change of Bitcoin Closing Price.
GPU is raw material of Bitcoin mining. Generally, increasing of companies’ stock price means the growth of the sales of those companies’ products and services. GPU’s demands increases are indirectly reflected to the GPU vendors’ stock price. Making an interpretation, a rise in prices of GPU has put a crimp on the mining of Bitcoin. Consequently, GPU vendors’ stock price effects on change of Bitcoin Closing Price.
And we confirmed U.S. dollar index futures moved in the opposite direction with change of Bitcoin Closing Price. It moved like Gold. Gold was considered as a safe asset to consumers and it means consumer think that Bitcoin is a safe asset. On the other hand, WTI oil price went Bitcoin Closing Price’s way. It implies that Bitcoin are regarded to investment asset like raw materials market’s product. The variables that were not significant in the analysis were search traffic of bitcoin, search traffic of ransomware, search traffic of war, memory vendor’s stock price, FOMC policy interest rates. In search traffic of bitcoin, we judged that interest in Bitcoin did not lead to purchase of Bitcoin. It means search traffic of Bitcoin didn’t reflect all of Bitcoin’s demand. So, it implies there are some factors that regulate and mediate the Bitcoin purchase. In search traffic of ransomware, it is hard to say concern of ransomware determined the whole Bitcoin demand. Because only a few people damaged by ransomware and the percentage of hackers requiring Bitcoins was low. Also, its information security problem is events not continuous issues. Search traffic of war was not significant. Like stock market, generally it has negative in relation to war, but exceptional case like Gulf war, it moves stakeholders’ profits and environment. We think that this is the same case. In memory vendor stock price, this is because memory vendors' flagship products were not VRAM which is essential for Bitcoin supply. In FOMC policy interest rates, when the interest rate is low, the surplus capital is invested in securities such as stocks. But Bitcoin’ price fluctuation was large so it is not recognized as an attractive commodity to the consumers. In addition, unlike the stock market, Bitcoin doesn’t have any safety policy such as Circuit breakers and Sidecar. Through this study, we verified what factors effect on change of Bitcoin Closing Price, and interpreted why such change happened. In addition, establishing the characteristics of Bitcoin as a safe asset and investment asset, we provide a guide how consumer, financial institution and government organization approach to the cryptocurrency. Moreover, corroborating the factors affecting change of Bitcoin Closing Price, researcher will get some clue and qualification which factors have to be considered in hereafter cryptocurrency study.

참고자료

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