国际清算银行-加密乘数（英）-2023.6-18页

Crypto Multiplier Analysis

Introduction

This report examines cryptocurrency volatility through the lens of the "crypto multiplier," introduced by Garratt and van Oordt (2023). It highlights that cryptocurrency exchange rates exhibit high volatility compared to fiat currencies due to factors like inelastic supply and easy switching between coins.

Key Findings

• The crypto multiplier measures the equilibrium response of a cryptocurrency's market capitalization to aggregate investor fund flows. It is derived from the quantity equation and is given by the ratio ( M / (M - Z) ), where ( M ) is the total supply of coins and ( Z ) is the number of coins held as a store of value (e.g., investment).
• High multipliers occur when a large share of coins is not used for payments, as empirical evidence shows that major cryptocurrencies like Bitcoin have a significant portion of coins inactive, suggesting values around or above 20 for popular coins.
• Volatility is amplified by events such as announcements by large investors or celebrity endorsements, as changes in speculative holdings can cause substantial price movements due to the multiplier effect.
• Blockchain data and statistical analysis confirm a positive correlation between the share of coins held as stores of value and exchange rate volatility.

Implications

• Large block holdings can lead to significant price impacts when liquidated, as seen in historical examples like Ripple's XRP incident and FTX's FTT token collapse.
• Volatility is expected to persist unless cryptocurrencies shift from being primarily investment vehicles to means of payment.

Conclusion

The crypto multiplier provides a theoretical framework for understanding price fluctuations, emphasizing that structural factors like hold motives are key drivers of volatility, which may not abate without a fundamental shift in adoption.