The Analysis Of Digital Currency's Price Bubble Based On GSADF Method

The development of digital currency is conducive to the development of the financial market,and it can promote the landing and application of block chain technology.At the same time,the emergence of the Inicial Coin Offering(ICO)mechanism has greatly improved the financing capacity of enterprises.Since 2017,the price of Bitcoin has increased with fluctuation.Before the closure of the digital currency Exchange in China,the average transaction price was about four times the price at the beginning of 2017.Bitcoin conflicts with the central bank's right to issue currency because of its characteristics,so all countries around the world are cautious about bitcoin,which also led to the sharp rise and collapse of bitcoin in a short period of time.Other market's performance of digital currency are similar to Bitcoin,with prices fluctuating greatly and there is likely to be a serious bubble.The orderly operation of digital currency's market is of great value to the development of the financial market,so we should be alert to the serious bubble in the market.Based on this realistic problem,this paper builds a digital currency's bubble analysis model and explores the causes behind the bubble on the basis of referring to the relevant theories of asset bubbles.Firstly,the GSADF method is used to test the time series data of five digital currency's prices to determine whether there is a bubble or not.After that,the time point and duration of foam occurrence are further determined.The results show that all five kinds of digital currency have bubble phenomenon,but the frequency of occurrence is not the same.2017 is a year with frequent bubbles,which may be related to overheated speculation.In order to further explore the causes of the price bubble,we analyzed the influencing factors of digital currency price through cointegration test and vector's error correction model.This article only analyzes Bitcoin as an example.We will take into account several important factors affecting digital currency's prices,including supply and demand factors,macroeconomic factors and policy factors.Since digital currency's supply is flexible and constant,demand is generally considered to be the main way to influence prices.Demand factors can be subdivided into investment demand,speculative demand and transactional demand,which are measured by different indicators.Macroeconomic factors are uncontrollable,so they are regarded as exogenous variables of the model.In order to explain the role of the policy,it is set as a virtual variable.Our conclusion is that speculative demand is an important factor affecting price fluctuations,and the formation of price bubbles is closely related to a large number of speculative activities.Macroeconomic factors have a positive guiding effect on the price of Bitcoin.The Chinese government's policy towards Bitcoin is a major factor affecting the price of Bitcoin.The introduction of policy variables is valuable for model analysis.Based on the above analysis,this paper puts forward some suggestions to promote the sound development of digital currency market in the last part.It is believed that Perfecting market monitoring mechanism and reducing excessive speculation play an important role in suppressing price bubbles.