What’s left after the hype? An empirical approach comparing the distributional properties of traditional and virtual currency exchange rates

This paper provides an empirical analysis of the distributional properties and statistical regularities of virtual, intra-virtual and traditional currency exchange rates. To perform the analysis, the most relevant virtual, intra-virtual and foreign currency exchange rates between October 2015 and December 2018 are examined. The analysis shows that, in spite of their differing mode of formation, daily log-returns of all currency types share tent-shaped empirical densities, one of the characteristics of a Laplace distribution at semi-log scale. This peculiar property has also been examined thoroughly in other fields of economic literature. Moreover, the empirical results show that virtual and traditional currencies hold the same functional form, even after the 2018 hype. However, in spite of these similarities virtual and intra-virtual currencies display fatter tails and steeper towering peaks than regular foreign currencies which underscores the rather speculative nature of this asset class.本文针对虚拟货币、虚拟内部货币与传统法定货币的汇率分布特性及统计规律开展实证分析。为完成本次分析，本研究选取2015年10月至2018年12月期间最具代表性的虚拟货币、虚拟内部货币及外币汇率样本进行检验。分析结果显示，尽管各类货币的汇率形成机制存在差异，但所有货币类型的每日对数收益率均呈现帐篷状经验密度分布，这是半对数尺度下拉普拉斯分布（Laplace Distribution）的典型特征之一。该特殊特性在经济学其他研究领域中已得到充分探讨。此外，实证结果表明，即便在2018年虚拟货币炒作热潮过后，虚拟货币与传统法定货币仍保持一致的函数形式。尽管存在上述共性，虚拟货币与虚拟内部货币仍较常规外币展现出更厚的尾部与更陡峭的尖峰，这一特征进一步凸显了该资产类别极强的投机属性。