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El bitcoin, ¿una burbuja especulativa? Análisis de la estabilidad paramétrica de series de tiempo para el periodo 2009-2018

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  • Espinoza-Licona, David R.

    (Universidad Autónoma de Querétaro)

  • Pérez-Sosa, Felipe A.

    (Universidad Autónoma de Querétaro)

Abstract

El bitcoin es el medio de cambio más reconocido en la actualidad, representa una alternativa potencial a las monedas fiduciarias actuales. En el presente trabajo se analizará el comportamiento del precio para determinar si existe una burbuja especulativa originada por factores irracionales mediante un análisis de estabilidad paramétrica de la serie de tiempo de las cotizaciones de esta criptomoneda. Se demuestra que existe un cambio estructural durante 2017 y 2018, que ocasionó que la relación entre precio del bitcoin y el tiempo se modificara, la evidencia estadística confirma la formación de una burbuja especulativa durante dicho periodo.

Suggested Citation

  • Espinoza-Licona, David R. & Pérez-Sosa, Felipe A., 2019. "El bitcoin, ¿una burbuja especulativa? Análisis de la estabilidad paramétrica de series de tiempo para el periodo 2009-2018," eseconomía, Escuela Superior de Economía, Instituto Politécnico Nacional, vol. 14(51), pages 45-60, Segundo s.
    • Handle: RePEc:ipn:esecon:v:14:y:2019:i:51:p:45-60
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    bitcoin; criptomoneda; burbuja especulativa; blockchain; cambio estructural.;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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