Risk in Mining and Cryptocurrency Returns: Evidence from Electricity Prices

主讲人：杨昊晰（南开大学助理教授）

主持老师：（北大经院）王熙

参与老师：（北大经院）王一鸣、刘蕴霆、王法

（北大国发院）黄卓、张俊妮、孙振庭

（北大新结构）胡博

时间：2023年12月8日（周五） 10:00-11:30

地点（线下）： 北京大学经济学院107会议室

报告摘要：

This study develops a simple framework of supply for cryptocurrencies to quantify the role of electricity prices by examining cryptocurrency miners’ optimization. Cryptocurrency miners optimally adjust the supply of cryptocurrencies to changes in electricity prices. The optimal condition infers cryptocurrency returns from miners’ exposure to changes in electricity prices. Our empirical analysis confirms the model implications and shows that the rolling–window exposure of cryptocurrency returns to percentage changes in electricity prices (βM) can positively predict the cross–section of future cryptocurrency returns across major exchanges. Further evidence reveals that the predictive power of βM is more pronounced when estimating βM with electricity prices from mining–intensive regions. A global risk–in–mining factor can explain, across different cryptocurrency exchanges, a series of well–documented cryptocurrency anomalies including the ones regarding cryptocurrency market capitalization and momentum.

主讲人简介：

Haoxi Yang is an associate professor in Finance at Nankai University. She obtained her Ph.D. in Finance from Bocconi University. He primary research interests lies in asset pricing, macro finance and financial econometrics. Her expertise centers on asset return predictability and asset pricing models. Her research has published in Journal of Business & Economic Statistics, Journal of Banking and Finance, IMF Economic Review, Economic Research Journal (经济研究) and et. al.