BroadChain, a professional blockchain media outlet, has learned that on August 11th, researchers from Uniswap Labs, Copenhagen Business School, and Circle released a research paper titled “Factors Driving Cryptocurrency Asset Prices.” The paper utilizes a structural vector autoregressive model to study the factors influencing cryptocurrency returns.
The model uses the co-movement of asset prices to identify the impact of monetary policy and risk sentiment on cryptocurrency asset prices in traditional markets.
Specifically, the researchers decompose daily Bitcoin returns into three factors: the conventional risk premium, monetary policy, and crypto-specific shocks. By utilizing the co-movement of Bitcoin with stablecoin market capitalization, the specific shocks of individual cryptocurrencies are further decomposed into crypto risk premium and changes in crypto adoption levels.
The analysis shows that cryptocurrency asset prices are significantly influenced by conventional risk and monetary policy factors. It is noteworthy that during the cryptocurrency market downturn in 2022, the factor of tightening monetary policy accounted for over two-thirds of the impact.
In contrast, since 2023, the compression of crypto risk premium has been the main driver of cryptocurrency returns, unrelated to the active stock market background.
