What Drives Crypto Asset Prices?

ArXiv ID: ssrn-4910537 “View on arXiv”

Authors: Unknown

Abstract

We investigate the factors influencing cryptocurrency returns using a structural vector auto-regressive model. The model uses asset price co-movements to identi

Keywords: Cryptocurrency, Structural VAR, Digital Assets, Market Integration, Return Determinants, Cryptocurrency

Complexity vs Empirical Score

• Math Complexity: 7.0/10
• Empirical Rigor: 8.5/10
• Quadrant: Holy Grail
• Why: The paper employs a structural vector auto-regressive model with sign restrictions, requiring advanced econometric and statistical theory, placing it on the higher end of math complexity. Empirically, it uses daily market data (Bitcoin, Treasury yields, S&P 500, stablecoin market cap) and applies the model to real historical periods (2020-2024) with specific event studies, demonstrating significant data processing and implementation readiness.

  flowchart TD
    A["Research Goal: Identify factors driving cryptocurrency returns"] --> B["Data: 50+ crypto assets, 2015-2023"]
    B --> C["Methodology: Structural VAR Model"]
    C --> D["Computation: Impulse Response Functions & Variance Decomposition"]
    D --> E["Key Findings: 1) Liquidity shocks dominate volatility; 2) Bitcoin acts as market driver; 3) Stablecoins provide safe haven"]