Long memory interdependency and inefficiency in Bitcoin markets
We model cross-market Bitcoin prices as long-memory processes and study dynamic interdependence in a fractionally cointegrated VAR framework. We find long-memory in both the individual markets and the system of markets depicting non-homogeneous informational inefficiency. Moreover, Bitcoin markets are found to be fractionally cointegrated, where uncertainty negatively impacts this type of cointegration relationship.
This paper incorporates labor search frictions into a model with lumpy capital to explain a set of stylized facts about the United States labor market dynamics over business cycles. All of these facts are related to …rm size: (1) job creation is procyclical in both small and large …rms; (2) job destruction is countercyclical in large …rms, but, paradoxically, it is procyclical in small …rms; and (3) job creation and job destruction are more volatile in large …rms than in small …rms. The model is calibrated to US data and its predictions are broadly consistent with the facts. The success of the model relies on the interaction between labor search and lumpy capital. Search frictions imply that even if two …rms have the