【行业研报】国际清算银行工作文件第1087号_市场营销策划_重点报告20230702_doc.docx

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1、CryptoCarryMaikSchme1ingGoetheUniversity&CEPRschme1ingfinance.uni-frankfurt.deAndreasSchrimpfBIS&CEPRandreas.schrimpfbis.orgKaramfi1TodorovBISkaramf11.todorovbis.orgThisversion:March24,2023AbstractWedocumentthatthecarryofcryptofutures,i.e.thedifferencebetweenfuturesandspotprices,canbecomevery1arge(u

2、pto60%p.a.)andvariesstrong1yovertime.Thisbehaviorismostconsistentwiththeexistenceofahigh1yvo1ati1ecryptoconvenienceyie1dthatstemsfromtwomainforces:(i)trend-chasingandattentionbysma11erinvestorsseeking1everagedupsideexposuretocryptoassetsinboomperiods,and(ii)there1ativescarcityof“arbitrage“capita1tak

3、ingtheothersidethroughacashandcarryposition.Engaginginthe1atterisriskyduetospikesinmarginsand1iquidationsamiddrawdowns.Theinterp1aybetweenthesetwoforces,andtheinvo1vedhigh1everage,mayhe1pexp1ainwhyseveremarketcrashesareafrequentfeatureofcryptomarkets.JE1C1assification:G12,G13,GI5Keywords:Crypto,Carr

4、y,Futuresbasis,Crashrisk,Bitcoin,Ethereum*Wearegratefu1forhe1pfu1commentstoAgostinoCappponi,WenqianHuang,EgemenEren,ShihaoYu(discussant),seminarparticipantsattheBISandconferenceparticipantsatthe2023SGFconference.Wca1sothankGiu1ioCome11iforexce11entresearchassistance.MaikSchme1inggratefu11yacknow1edg

5、esfinancia1supportbytheGermanScienceFoundation(DFG).Theviewsexpressedinthispaperarethosebytheauthorsanddonotnecessari1yrepresentthosebytheBankforInternationa1Sett1ements(BIS).TheRisk-Free*CryptoTradeIsBackInaBigWayB1oomberg,8October2023uThec1osestthingtoarisk-freebethasreemergedinthecryptocurrencyma

6、rketastraders.bidupthepriceoffutures.1. IntroductionDigita1assetssuchasBitcoin(BTC)andEther(ETH)havegainedsignificantattentionfrommarketpractitioners,academics,andpo1icymakersinrecentyearsduetotheirextremegrowthinmarketcapita1ization,tradingvo1ume,andtheriseofproductsandapp1icationsbasedonthesecrypt

7、oassets.Thisdigita1ecosystemhasmaturedtoapointwherecashandderivativeinstrumentsarenowactive1ytradedbothonnativecryptoexchangesaswe11asontraditiona1exchanges,i.e.theChicagoMercanti1eExchange(CME).Againstthisbackground,themainpurposeofourpaperistostudyoneofthemostsa1ientfeaturesoftheseinstrumentsinrec

8、entyears-the1argedifferencebetweenspotandfuturesprices,theso-ca11edfuturesbasisor“cryptocarryw.Weusethetermscryptocarryandbasisinterchangeab1yinthispaper.Cryptocarryencapsu1atesthereturnonasimp1e“cashandcarrywstrategy:going1onginthespotmarket,whi1ese11ingforwardthesameamountforwardviaafuturescontrac

9、t.Ifcarryispositive,1ockinginthehigherfuturespricewhi1eho1dingthespotunti1expirationofthefuturescontractgeneratesprofit(1ossifcarryisnegative).Weana1yzecryptocarryobservedforthetwomajordigita1assets,BitcoinandEthereum,shed1ightonitseconomicdrivers,andstudyhowtheseareconnectedtotheboom-and-bustdynami

10、cscommon1yobservedincryptomarkets.ThefirstcontributionofourpaperistoprovideSty1iZedfactsaboutCryPtOcarry,characterizingitsvariationovertimeandacrossvariouscryptop1atformsandtraditiona1exchanges.AstrikingfeatureofCryPtOcarryisitssize,averagingabouto%p.a.acrossexchangesfromApri12019toJanuary2023.Asimp

11、1ecashandcarrytradewou1dthushaveyie1dedabout10%p.a.whi1eatthesametimebeinghedgedagainstpriceswingsintheunder1yingasset.ThecarryforBTCandETHisovera11quitesimi1arintermsofits1eve1andishigh1ycorre1atedacrossthetwoassetsovertime.Carryisa1sohigh1ycorre1atedacrossexchanges,withcorre1ationstypica11yexceedi

12、ng90%.Thatsaid,thereissomeevidenceonmarketsegmentationbetweencryptoexchangesandthetraditiona1financia1system(CME),withcorre1ationsofcarryontheformerandthatontheCMEbeingmuchweaker(on1yabout60-70%),see,e.g.MakarovandSchoar(2023)foranempirica1ana1ysisofpriceinefficienciesincryptomarkets.Cryptocarryisa1

13、soveryvo1ati1eat1owfrequencieswithmaximum(minimum)va1uesabove40%p.a.(be1ow-20%)overthe1ongerrun,whi1eitisquitepersistentathigherfrequencies(suchasdai1y).Basedonthesefacts,weseektoprovideadeeperunderstandingoftheeconomicforcesdrivingCryPtOcarry.Asanorganizingframework,were1yonthebasicfuturespricingeq

14、uation,s1ight1yadaptedtodigita1assetmarkets(seeSection2.3forfurtherdetai1s):f-s1=n,*+,+1ft.Ttt,Ttwheref=1ogFands=1ogSdenote1ogfuturesandspotprices,respective1y,Tisthematurityofthefuturescontract,andiindexesexchanges,n.andN1Tdenoteshort-terminterestratesforUSdo11ars(USD)andforcryptoassets,respective1

15、y.Thepartunexp1ainedbytheinterestdifferentia1conceptua11yconsistsoftwoparts:dtdenotesanidiosyncratic(exchangespecific)pricingerror,whi1e3inturncanbethoughtofasanaggregatecryptoconvenienceyie1d.Morespecifica11y,wedenoteby凉Tthenet(ofstorage)convenienceyie1dofho1dingthefuturescontract.Wedepartfromthest

16、andardconventionofdefiningtheconvenienceyie1dasreferringtoho1dingspot(e.g.,GortonandRouwcnhorst,2006)forreasonsthatwi11becomec1ear1ater:name1y,theconvenienceoffuturesasatoo1toengagein1everedcryptotrading.Convenienceyie1dsareshowntobeimportantdriversofpricesa1soinassetsotherthancommodities:e.g.,Jiangeta1.(2023)usecurrencyforwardstoshowthatforeigninvestorsderiveaconvenienceyie1dfromho1dingU.S.Treasuries.T