比特币价格与黄金、美元、美债等存在什么关系？

　　讯 : 本文来自 ：张明宏观金融研究，作者：张明1977，张明研究员为中国社会科学院金融研究所副所长、国家金融与发展实验室副主任。

Source: Zhang Ming Macro Finance , by Zhang Ming, 1977; Zhang Ming Researcher is Deputy Director of the Institute of Finance of the Chinese Academy of Social Sciences and Deputy Director of the National Laboratory of Finance and Development.

　　图1、反映了自2013年以来比特币美元价格走势的相关时间序列。从中可以看出，比特币价格走势从2017年起开始显著上涨，并呈现出很强的波动性。迄今为止比特币价格出现了三次高点，分别是2017年12月、2019年6月与2021年2月。

As can be seen, the trend in bitcoin prices has increased significantly since 2017, with strong volatility. To date, bitcoin prices have risen three times, in December 2017, June 2019, and February 2021.

　　要建立关于比特币价格走势的分析框架，首先需要界定比特币是风险资产还是避险资产。有观点认为，由于比特币总量固定为2100万枚，因此比特币具备与黄金类似的抵御通货膨胀的价值。然而如图2所示，2017年至2018年期间，比特币价格与黄金价格变动之间呈现出正相关关系。而从2019年至今，两者之间的关系转为呈现出显著的负相关。

To establish an analytical framework on the price trends of bitcoins, it is first necessary to define whether bitcoins are risky or risk-free. It is argued that bitcoins have inflation-resistant values similar to gold because they are fixed at 21 million. But, as figure 2 shows, between 2017 and 2018, there is a positive correlation between bitcoins and gold price movements.

　　由于比特币与黄金价格的相关性从历史上来看并不稳定，我们可以再考察一下比特币价格与大宗商品价格之间的关系。如图3所示，自2017年以来，比特币价格走势与CRB大宗商品现货价格指数走势之间呈现出显著的正相关。

Because of the historical and unstable relevance of Bitcoin to gold prices, we can look again at the relationship between bitcoin prices and prices of large commodities such as

　　综上所述，比特币的性质更像一种典型的风险资产。我们不妨再考虑一下比特币价格与全球金融市场动荡程度之间的相互关系。如图4所示，总体来看，自2017年以来，比特币价格变动与全球金融市场动荡程度(VIX指数)呈现出显著的负相关。这进一步强化了关于比特币是一种风险资产的论断。

In summary, bitcoin is more of a typical risk asset. We may wish to consider the correlation between bitcoin prices and the volatility of global financial markets. Overall, as shown in figure 4, there has been a significant negative correlation between bitcoin price movements and the volatility of global financial markets (VIX indices) since 2017.

　　由于我们讨论的是比特币美元价格的走势，作为计价货币的美元的自身强弱，按理说应该与比特币价格走势呈现出负相关。此外，美元也是一种典型的避险资产，按理说同样应该与作为风险资产的比特币的价格走势负相关。如图5所示，自2017年以来，比特币价格变动的确与美元指数走势之间呈现出显著的负相关。

Since we are discussing the evolution of the Bitcoin dollar price, the United States dollar, as a denominated currency, is itself strong and weak, and should by definition be negatively related to the movement of the bitcoin price. Moreover, the dollar is a typical hedge asset, and by definition should also be negatively related to the price movement of the bitcoin as a risky asset. As figure 5 shows, since 2017, the movement of the bitcoin price has been significantly negatively related to the movement of the dollar index.

无论风险资产还是避险资产，其价格都受到全球流动性状况的影响。如图6所示，自新冠疫情爆发以来，比特币价格变动与美联储资产负债表总资产变动显著正相关，且美联储总资产变动要领先于比特币价格变动。

　　此外，美国长期利率变动也反映了全球流动性与融资成本变化。按理说，比特币价格应该与美国长期利率走势负相关。如图7所示，自2017年以来，比特币价格变动与美国10年期国债收益率变动之间存在一定的负相关，但相关性显著程度较弱，且领先滞后关系也在发生变化。例如，新冠疫情爆发后比特币价格的显著上涨，似乎与新冠疫情爆发后美国10年期国债收益率的显著下行有所关联。但美债收益率自2020年下半年以来的回升似乎尚未对比特币价格造成显著负面冲击。

In addition, long-term interest rate changes in the United States also reflect changes in global liquidity and financing costs. Bitcoin prices should, by definition, be related to negative trends in long-term interest rates in the United States. Since 2017, as figure 7 shows, Bitcoin price movements have been associated with 10 years of US

　　总而言之，以上分析显示，比特币是一种典型的风险资产。由于其供给总量有限且新增供给速度逐渐下降，因此其价格更多受到需求端影响。由于比特币应用于真实世界的机会不多，因此，比特币需求主要受到投机需求的驱动。作为一种风险资产，比特币价格与大宗商品价格指数、全球流动性状况正相关，与黄金价格、全球金融市场动荡程度、美元指数、10年期国债收益率负相关。

In summary, the above analysis shows that Bitcoin is a typical risk asset. Its prices are more affected by demand because of its limited supply volume and the gradual decline in the rate of new supply.

　　最后，值得注意的是，比特币价格与10年期国债收益率变动之间的相关性要弱一些，比特币与黄金价格走势的相关性在2019年前后发生了方向性转变。

Finally, it is worth noting that the correlation between the Bitcoin price and the change in the rate of return on public debt over a 10-year period is weaker and that the correlation between Bitcoin and the gold price movement changed in a direction around 2019.