地缘政治风险:加密数字货币参与金融犯罪的催化剂？

财经论丛 ›› 2022, Vol. 38 ›› Issue (5): 46-55.

地缘政治风险:加密数字货币参与金融犯罪的催化剂？

柏建成^1,2, 何秋蓓¹, 高增安¹, 张利霞², 张芮¹

1.西南交通大学经济管理学院,四川成都 610031;
2.盐城师范学院商学院,江苏盐城 224002

收稿日期:2021-07-01 出版日期:2022-05-10 发布日期:2022-05-09
作者简介:柏建成(1983—),男,山东淄博人,西南交通大学经济管理学院博士生,盐城师范学院商学院讲师;何秋蓓(1997—),女,四川隆昌人,西南交通大学经济管理学院硕士生;高增安(1965—),男,四川天全人,西南交通大学经济管理学院教授,博士;张利霞(1984—),女,江苏盐城人,盐城师范学院商学院讲师;张芮(1995—),女,四川广元人,西南交通大学经济管理学院硕士生。
基金资助:
国家社会科学基金项目(21BJY254);四川省科技厅科技计划项目(21RKX0638)

Geopolitical Risks: A Catalyst for Cryptocurrency Involvement in Financial Crime?

BAI Jiancheng^1,2, HE Qiubei¹, GAO Zengan¹, ZHANG Lixia², ZHANG Rui¹

1. School of Economics and Management, Southwest Jiaotong University , Chengdu 610031, China;
2. Business School, Yancheng Teachers University, Yancheng 224002, China

Received:2021-07-01 Online:2022-05-10 Published:2022-05-09

摘要/Abstract

摘要： 基于地缘政治风险对加密数字货币影响的机理分析,结合分位数回归和DCC-GARCH模型,实证检验地缘政治风险对比特币、瑞波币、零币和达世币等4种不同类型加密数字货币的影响程度。结果表明,地缘政治风险对加密数字货币的影响程度取决于加密数字货币自身的属性,其中匿名性和交易便捷性大于市值属性,说明匿名性和交易便捷性较强的加密数字货币可能已参与到金融犯罪活动中。为此,有必要实行加密数字货币用户的实名制和交易平台的去匿名化管理,并在世界范围内共同打击加密数字货币金融犯罪。

关键词: 加密数字货币, 地缘政治风险, 金融犯罪, DCC-GARCH

Abstract: The cryptocurrency has become a new type of digital asset, and its underlying blockchain technology is considered as a great innovation driving the fintech revolution in the future. However, the generation and application of emerging technologies often make benefits and risks coexist. At present, the most widespread cryptocurrency in the market, with the characteristics of anonymity, high convenience of cross-border transactions and decentralization, may be easily taken advantage of by illegal traders and become the carrier of financial crimes. The geopolitical risk is an important factor in financial crimes such as money laundering, terrorist financing and capital flight. The intensification of the geopolitical risk will increase the possibility of cryptocurrencies being involved in financial crimes, especially the cryptocurrency with stronger anonymity and easier transaction.
Although currently scholars believe that cryptocurrencies have been involved in financial crimes, most literatures only give theoretical explanations, which have not been confirmed. This paper selects the daily data of the geopolitical risk index from October 29, 2016 to March 10, 2020, as well as the daily transaction data of four major cryptocurrencies, BTC, XRP, ZEC, DASH, which have different anonymity and market capitalization to explore the possibility of cryptocurrencies being involved in financial crimes from the perspective of analyzing the impact of geopolitical risks on cryptocurrencies with different attributes. Firstly, the quantile regression model is used to verify the correlation between the geopolitical risk and the yield spillover of cryptocurrencies, as well as the degree of the impact of the geopolitical risk on the yield of different cryptocurrencies. Specifically, the average yield of cryptocurrencies and the logarithmic GPR after first-order differences in the past 1 day, 5 days and 22 days are used as explanatory variables, and the average yield of cryptocurrencies in the future 1 day, 5 days and 22 days are used as explained variables to conduct quantile regression, so as to determine the extent to which the returns of cryptocurrencies with different attributes are affected by geopolitical risks in different quantiles. Secondly, in terms of the volatility spillover of the geopolitical risk to cryptocurrencies, the DCC-GARCH model is used to verify the dynamic spillover correlation of the geopolitical risk to the volatility of different cryptocurrency markets, and compare the dynamic spillover coefficients between them. Specifically, the geopolitical risk index is fitted with the DCC-GARCH (1, 1) model of the returns of four cryptocurrencies, namely, BTC, DASH, ZEC and XRP. And the dynamic spillover coefficient of the geopolitical risk on the volatility of BTC market is taken as the reference, the dynamic spillover coefficients of geopolitical risk on the volatility of DASH, ZEC and XRP are compared respectively, so as to further judge the impact of the geopolitical risk on the volatility of cryptocurrencies with different anonymity and transaction convenience.
The results show that in terms of yield spillovers, the specific impact of the geopolitical risk on different types of cryptocurrencies varies, with cryptocurrencies with stronger anonymity being more affected. In terms of volatility spillovers, the geopolitical risk has greater impact on currencies that are more anonymous and easier to trade. The extent of the impact of the geopolitical risk on cryptocurrencies depends on their anonymity and convenience. The above findings indicate that cryptocurrencies may have been involved in financial crimes, providing certain evidence that cryptocurrencies may have been used by illegal traders in financial crimes such as money laundering, terrorist financing and capital flight. Finally, based on the theoretical analysis and empirical results, this paper further highlights the importance and necessity that encrypt digital currency trading platforms should be de-anonymized, the process of transfer should use real names, and the cross-border deals should strengthen collaborative management. It also puts forward concrete suggestions for the regulation of encrypted digital currencies, providing evidence for the regulatory authorities to make relevant policies.

Key words: Cryptocurrency, Geopolitical Risks, Financial Crime, DCC-GARCH

中图分类号:

F831

柏建成, 何秋蓓, 高增安, 张利霞, 张芮. 地缘政治风险:加密数字货币参与金融犯罪的催化剂？[J]. 财经论丛, 2022, 38(5): 46-55.

BAI Jiancheng, HE Qiubei, GAO Zengan, ZHANG Lixia, ZHANG Rui. Geopolitical Risks: A Catalyst for Cryptocurrency Involvement in Financial Crime?[J]. Collected Essays on Finance and Economics, 2022, 38(5): 46-55.

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