Blok Zincir Tabanlı Merkeziyetsiz Borç Verme Protokolleri: S&P 500 Endeksi ve DeFi Varlıkları Arasında Bir Getiri Analizi
Öz
Bu makale, merkeziyetsiz finansın (DeFi) bankacılık sektöründeki potansiyel finansal faydalarını ve zorluklarını araştırmayı amaçlamaktadır. DeFi, blok zincir teknolojisini ve akıllı sözleşmeleri kullanan merkeziyetsiz bir platformda çalışan finansal hizmetlere devrimci bir yaklaşımdır. DeFi'deki kredi verme ve borç alma işlemi, aracıları ortadan kaldırarak daha verimli ve maliyet etkin hale getirmek için sabit veya değişken faiz oranlarıyla kripto para birimlerinin takası üzerine kuruludur. Bu makale, MKR, AAVE ve COMP gibi DeFi varlıklarının S&P 500 getirileri ile ilişkisini kapsamlı bir analiz kullanarak ampirik bir çalışma sunmaktadır. Çalışma, merkeziyetsiz finansın borç verme protokollerini açıklayan bir çerçeve kullanır ve merkezi finans ile merkeziyetsiz finansı karşılaştırır.
Anahtar Kelimeler
Merkeziyetsiz Finans Blok Zincir Borç Alma Protokolleri Eşler Arası Borç Verme
Kaynakça
- Aave. (2020), Frequently asked questions. Available at https://docs.aave.com/faq/
- Aave. (2020), Whitepaper. Available at https://github.com/aave/aave-protocol/blob/master/docs/Aave_Protocol_Whitepaper_v1_0.pdf
- Aitken, R., (2018), As Blockchain Finds A Foothold Traditional Fintech Plants The Flag. Forbes. Available at https://www.forbes.com/sites/rogeraitken/2018/02/11/as-blockchain-finds-a-foothold-traditional-fintech-plants-the-flag/
- Bartoletti, M., Chiang, J.H.Y., and Lluch-Lafuente, (2020), A. “SoK: Lending Pools in Decentralized Finance”.
- Baumgartner, Th., Burns, Tr., Deville, Ph., (1986), The Shaping of Socio-Economic Systems, Gordon and Breach Science Publishers, 38-42.
- Bellavitis, C., Fisch, C., and Wiklund, J., (2021), A comprehensive review of the global development of initial coin offerings (ICOs) and their regulation. Journal of Business Venturing Insights, 15.
- Bildirici. M. E., Aykaç Alp E., Ersin Ö. HE., Bozoklu Ü. (2010), Nonlinear Time Series Methods Used in Economics, İstanbul: Türkmen Bookstore.
- Buterin, V. (2013), “Ethereum white paper”. Available at: https://github.com/ethereum/wiki/wiki/White- PAPER
- Bollaert H., Lopez-de-Silanes, F. , and Schwienbacher, A. (2021), Fintech and access to finance. Journal of corporate finance, 68.
- Catalini, C., Gortari, A., & Shah, N. (2021), Some Simple Economics of Stablecoins. MIT Sloan Research Paper No. 6610-21. Massachusetts Institute of Technology (MIT) - Sloan School of Management; Diem Association and Diem Networks US; National Bureau of Economic Research (NBER).
- Catalini, C., and Gans, J. S., (2018), Initial coin offerings and the value of crypto tokens, National Bureau of Economic Research.
- Chainlink. (2022), What is an Automated Market Maker?, Available at https://chain.link/education-hub/what-is-an-automated-market-maker-amm
- Charoenwong, B., Kirby, R. M., & Reiter, J. (2022), Decentralized Stablecoin Design. Available at SSRN: https://ssrn.com/abstract=4202600
- Chen, Yan, & Bellavitis, Cristiano., (2020), Blockchain disruption and decentralized finance: The rise of decentralized business models., Journal of Business Venturing Insights, 13.
- Circle. (2021), USDC: The world's digital dollar, Retrieved from https://www.circle.com/en/usdc
- CoinMarketCap, (2023), Cryptocurrency market capitalizations, Retrieved from https://coinmarketcap.com
- Cousaert, S., Xu, J., & Matsui, T. (2022), SoK: Yield Aggregators in DeFi. IEEE International Conference on Blockchain and Cryptocurrency (ICBC) (pp. 1-34). doi:10.1109/ICBC54727.2022.9805523
- Compound. (2019), Whitepaper. Available at https://compound.finance/documents/Compound.Whitepaper.pdf
- Daian, P., Goldfeder, S., Kell, T., Li, Y., Zhao, X., Bentov, I., Breidenbach, L., and Juels, A., (2020), Flash boys 2.0: Frontrunning in decentralized exchanges, miner extractable value, and consensus instability. 2020 IEEE Symposium on Security and Privacy (SP), 910–927.
- Defi Llama. (2023), Defi Llama: DeFi Dashboard. Available at https://defillama.com/
- Ethereum. (2022), Maximum Extractable Value, Available at https://ethereum.org/en/developers/docs/mev/
- Fisch, C., Meoli, M., and Vismara, S., (2020), Does blockchain technology democratize entrepreneurial finance? An empirical comparison of icos, venture capital, and reits. ,Economics of Innovation and New Technology, 1–20).
- Fisch, C., (2019), Initial coin offerings (ICOs) to finance new ventures. Journal of Business Venturing, 34(1), 1–22.
- Financial Times Adviser. (2021), Hermes: Financial inclusion an economic opportunity for all. Available at https://www.ftadviser.com/Partner-Contents114/2021/09/29/Hermes-Financial-inclusion-an-economic-opportunity-for-all
- Hardie, I., & Howarth, D. (Eds.). (2013), Market-Based Banking & the International Financial Crisis. Oxford University Press.
- Harvey, C.R., Ramachandran, A. and Santoro, J., (2021), DeFi and the Future of Finance. John Wiley & Sons.
- Howell, S. T., Niessner, M., and Yermack, D., (2020), Initial coin offerings: Financing growth with cryptocurrency token sales. The Review of Financial Studies, 33(9), 3925–3974.
- Investopedia. (2022). Initial Coin Offering (ICO). Investopedia. Retrieved from https://www.investopedia.com/terms/i/initial-coin-offering-ico.asp
- Investopedia. (2022), What is the Proof of Work?, Available at https://www.investopedia.com/terms/p/proof-stake-pos.asp
- Investopedia. (2022), What Does Proof-of-Stake (PoS) Mean in Crypto?, Available at https://www.investopedia.com/terms/p/proof-stake-pos.asp
- Kaal, W. A., (2020), Digital Asset Market Evolution. Journal of Corporation Law.
- Lee, S. (2018), Decentralized Lending Promises Easy And Global Access To Credit, But Is It Too Good To Be True? Forbes. Available at https://www.forbes.com/sites/shermanlee/2018/05/22/decentralized-lending-promises-easy-and-global-access-to-credit-but-is-it-too-good-to-be-true/
- Lee, J., Li, T., and Shin, D., (2018), The wisdom of crowds in fintech: Evidence from initial coin offerings. The Review of Corporate Finance Studies, 11(1), 1–46, (2022)., Li, Jiasun, & Mann, William., Digital tokens and platform building.
- MakerDAO. (2017), Getting started: Maker Protocol 101. Available at https://docs.makerdao.com/getting-started/maker-protocol-101
- MakerDAO. (2017), Whitepaper. Available at https://makerdao.com/whitepaper/
- MakerDAO. (2017), What is Dai?, Available at https://makerdao.com/en/
- Mishkin, F. S., (2018), The economics of money, banking, and financial markets (12th ed.). Pearson Education.
- Momtaz, P. P., (2020a), Decentralized finance (defi) markets for startups: Search frictions, intermediation, and efficiency.
- Nakamoto. S., (2008), Bitcoin: A Peer-to-Peer Electronic Cash System., Available at https://bitcoin.org/bitcoin.pdf.
- Nelson, D. B., (1991), Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370. Available at https://www.jstor.org/stable/2951599
- Piñeiro-Chousa, J., López-Cabarcos, M. Á., Sevic, A., González-López, I. (2022). A preliminary assessment of the performance of DeFi cryptocurrencies in relation to other financial assets, volatility, and user-generated content. Technological Forecasting and Social Change, Volume 181, 121740. ISSN 0040-1625. Available at https://doi.org/10.1016/j.techfore.2022.121740.
- Saengchote, K. (2022), Decentralized lending and its users: Insights from Compound. Available at https://arxiv.org/abs/2212.05734
- SmartAsset. (2022), How Long Does a Wire Transfer Take? Available at https://smartasset.com/checking-account/how-long-does-a-wire-transfer-take
- Tether. (2014), Tether. Available at https://tether.to/
- Ugolini, A., Reboredo, J. C., & Mensi, W. (2023). Connectedness between DeFi, cryptocurrency, stock, and safe-haven assets. Finance Research Letters, 103692. ISSN 1544-6123. Available at https://doi.org/10.1016/j.frl.2023.103692.
- Yousaf, I., Jareño, F., & Tolentino, M. (2023). Connectedness between Defi assets and equity markets during COVID-19: A sector analysis. Technological Forecasting and Social Change, Volume 187, 122174. Available at https://doi.org/10.1016/j.techfore.2022.122174.
- Wang, D., Wu, S., Lin, Z., Wu, L., Yuan, X., Zhou, Y., Wang, H., and Ren, K., (2021a), Towards a first step to understand flash loan and its applications in defi ecosystem. Proceedings of the Ninth International Workshop on Security in Blockchain and Cloud Computing, 23–28.
- Werner, S.M., Perez, D., Gudgeon, L., Klages-Mundt, A., Harz, D., and Knottenbelt, W.J. (2021), SoK: Decentralized Finance (DeFi).
- Zetzsche, D. A., Arner, D. W., and Buckley, R. P., (2020), Decentralized finance. Journal of Financial Regulation, 6(2), 172–203.
Öz
This article aims to explore the potential financial benefits and challenges of decentralized finance (DeFi) in the banking sector. DeFi is a revolutionary approach to financial services that leverages blockchain technology and smart contracts to operate on a decentralized platform. The lending and borrowing process in DeFi is based on the exchange of cryptocurrencies with fixed or variable interest rates, making it more efficient and cost-effective by eliminating intermediaries. This article presents an empirical study that uses a comprehensive analysis of the relationship between the returns of S&P 500 and DeFi assets, including MKR, AAVE, and COMP. The study employs a framework that explains the lending protocols in decentralized finance and compares centralized finance with decentralized finance. The study utilizes an EGARCH model to estimate the volatility of the assets and examine the presence of asymmetry and leverage effects. The results of the analysis show a positive relationship between S&P 500 and MKR, as well as a positive correlation between S&P 500 and COMP, while AAVE does not sign a significant relationship in the mean equation. The EGARCH variance equation results indicate a positive effect of AAVE and a negative effect of COMP on the volatility of S&P 500 returns, with the leverage effect for S&P 500 and COMP. The findings suggest that DeFi has the potential to transform the financial industry and bring about a more inclusive and equitable financial system for all. The article contributes to the limited literature on the subject, offering a complete return analysis of S&P 500 and DeFi assets to provide a better understanding to investors seeking alternative investment options.
Anahtar Kelimeler
Decentralized Finance Blockchain Lending Peer-to-Peer Lending
Kaynakça
- Aave. (2020), Frequently asked questions. Available at https://docs.aave.com/faq/
- Aave. (2020), Whitepaper. Available at https://github.com/aave/aave-protocol/blob/master/docs/Aave_Protocol_Whitepaper_v1_0.pdf
- Aitken, R., (2018), As Blockchain Finds A Foothold Traditional Fintech Plants The Flag. Forbes. Available at https://www.forbes.com/sites/rogeraitken/2018/02/11/as-blockchain-finds-a-foothold-traditional-fintech-plants-the-flag/
- Bartoletti, M., Chiang, J.H.Y., and Lluch-Lafuente, (2020), A. “SoK: Lending Pools in Decentralized Finance”.
- Baumgartner, Th., Burns, Tr., Deville, Ph., (1986), The Shaping of Socio-Economic Systems, Gordon and Breach Science Publishers, 38-42.
- Bellavitis, C., Fisch, C., and Wiklund, J., (2021), A comprehensive review of the global development of initial coin offerings (ICOs) and their regulation. Journal of Business Venturing Insights, 15.
- Bildirici. M. E., Aykaç Alp E., Ersin Ö. HE., Bozoklu Ü. (2010), Nonlinear Time Series Methods Used in Economics, İstanbul: Türkmen Bookstore.
- Buterin, V. (2013), “Ethereum white paper”. Available at: https://github.com/ethereum/wiki/wiki/White- PAPER
- Bollaert H., Lopez-de-Silanes, F. , and Schwienbacher, A. (2021), Fintech and access to finance. Journal of corporate finance, 68.
- Catalini, C., Gortari, A., & Shah, N. (2021), Some Simple Economics of Stablecoins. MIT Sloan Research Paper No. 6610-21. Massachusetts Institute of Technology (MIT) - Sloan School of Management; Diem Association and Diem Networks US; National Bureau of Economic Research (NBER).
- Catalini, C., and Gans, J. S., (2018), Initial coin offerings and the value of crypto tokens, National Bureau of Economic Research.
- Chainlink. (2022), What is an Automated Market Maker?, Available at https://chain.link/education-hub/what-is-an-automated-market-maker-amm
- Charoenwong, B., Kirby, R. M., & Reiter, J. (2022), Decentralized Stablecoin Design. Available at SSRN: https://ssrn.com/abstract=4202600
- Chen, Yan, & Bellavitis, Cristiano., (2020), Blockchain disruption and decentralized finance: The rise of decentralized business models., Journal of Business Venturing Insights, 13.
- Circle. (2021), USDC: The world's digital dollar, Retrieved from https://www.circle.com/en/usdc
- CoinMarketCap, (2023), Cryptocurrency market capitalizations, Retrieved from https://coinmarketcap.com
- Cousaert, S., Xu, J., & Matsui, T. (2022), SoK: Yield Aggregators in DeFi. IEEE International Conference on Blockchain and Cryptocurrency (ICBC) (pp. 1-34). doi:10.1109/ICBC54727.2022.9805523
- Compound. (2019), Whitepaper. Available at https://compound.finance/documents/Compound.Whitepaper.pdf
- Daian, P., Goldfeder, S., Kell, T., Li, Y., Zhao, X., Bentov, I., Breidenbach, L., and Juels, A., (2020), Flash boys 2.0: Frontrunning in decentralized exchanges, miner extractable value, and consensus instability. 2020 IEEE Symposium on Security and Privacy (SP), 910–927.
- Defi Llama. (2023), Defi Llama: DeFi Dashboard. Available at https://defillama.com/
- Ethereum. (2022), Maximum Extractable Value, Available at https://ethereum.org/en/developers/docs/mev/
- Fisch, C., Meoli, M., and Vismara, S., (2020), Does blockchain technology democratize entrepreneurial finance? An empirical comparison of icos, venture capital, and reits. ,Economics of Innovation and New Technology, 1–20).
- Fisch, C., (2019), Initial coin offerings (ICOs) to finance new ventures. Journal of Business Venturing, 34(1), 1–22.
- Financial Times Adviser. (2021), Hermes: Financial inclusion an economic opportunity for all. Available at https://www.ftadviser.com/Partner-Contents114/2021/09/29/Hermes-Financial-inclusion-an-economic-opportunity-for-all
- Hardie, I., & Howarth, D. (Eds.). (2013), Market-Based Banking & the International Financial Crisis. Oxford University Press.
- Harvey, C.R., Ramachandran, A. and Santoro, J., (2021), DeFi and the Future of Finance. John Wiley & Sons.
- Howell, S. T., Niessner, M., and Yermack, D., (2020), Initial coin offerings: Financing growth with cryptocurrency token sales. The Review of Financial Studies, 33(9), 3925–3974.
- Investopedia. (2022). Initial Coin Offering (ICO). Investopedia. Retrieved from https://www.investopedia.com/terms/i/initial-coin-offering-ico.asp
- Investopedia. (2022), What is the Proof of Work?, Available at https://www.investopedia.com/terms/p/proof-stake-pos.asp
- Investopedia. (2022), What Does Proof-of-Stake (PoS) Mean in Crypto?, Available at https://www.investopedia.com/terms/p/proof-stake-pos.asp
- Kaal, W. A., (2020), Digital Asset Market Evolution. Journal of Corporation Law.
- Lee, S. (2018), Decentralized Lending Promises Easy And Global Access To Credit, But Is It Too Good To Be True? Forbes. Available at https://www.forbes.com/sites/shermanlee/2018/05/22/decentralized-lending-promises-easy-and-global-access-to-credit-but-is-it-too-good-to-be-true/
- Lee, J., Li, T., and Shin, D., (2018), The wisdom of crowds in fintech: Evidence from initial coin offerings. The Review of Corporate Finance Studies, 11(1), 1–46, (2022)., Li, Jiasun, & Mann, William., Digital tokens and platform building.
- MakerDAO. (2017), Getting started: Maker Protocol 101. Available at https://docs.makerdao.com/getting-started/maker-protocol-101
- MakerDAO. (2017), Whitepaper. Available at https://makerdao.com/whitepaper/
- MakerDAO. (2017), What is Dai?, Available at https://makerdao.com/en/
- Mishkin, F. S., (2018), The economics of money, banking, and financial markets (12th ed.). Pearson Education.
- Momtaz, P. P., (2020a), Decentralized finance (defi) markets for startups: Search frictions, intermediation, and efficiency.
- Nakamoto. S., (2008), Bitcoin: A Peer-to-Peer Electronic Cash System., Available at https://bitcoin.org/bitcoin.pdf.
- Nelson, D. B., (1991), Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370. Available at https://www.jstor.org/stable/2951599
- Piñeiro-Chousa, J., López-Cabarcos, M. Á., Sevic, A., González-López, I. (2022). A preliminary assessment of the performance of DeFi cryptocurrencies in relation to other financial assets, volatility, and user-generated content. Technological Forecasting and Social Change, Volume 181, 121740. ISSN 0040-1625. Available at https://doi.org/10.1016/j.techfore.2022.121740.
- Saengchote, K. (2022), Decentralized lending and its users: Insights from Compound. Available at https://arxiv.org/abs/2212.05734
- SmartAsset. (2022), How Long Does a Wire Transfer Take? Available at https://smartasset.com/checking-account/how-long-does-a-wire-transfer-take
- Tether. (2014), Tether. Available at https://tether.to/
- Ugolini, A., Reboredo, J. C., & Mensi, W. (2023). Connectedness between DeFi, cryptocurrency, stock, and safe-haven assets. Finance Research Letters, 103692. ISSN 1544-6123. Available at https://doi.org/10.1016/j.frl.2023.103692.
- Yousaf, I., Jareño, F., & Tolentino, M. (2023). Connectedness between Defi assets and equity markets during COVID-19: A sector analysis. Technological Forecasting and Social Change, Volume 187, 122174. Available at https://doi.org/10.1016/j.techfore.2022.122174.
- Wang, D., Wu, S., Lin, Z., Wu, L., Yuan, X., Zhou, Y., Wang, H., and Ren, K., (2021a), Towards a first step to understand flash loan and its applications in defi ecosystem. Proceedings of the Ninth International Workshop on Security in Blockchain and Cloud Computing, 23–28.
- Werner, S.M., Perez, D., Gudgeon, L., Klages-Mundt, A., Harz, D., and Knottenbelt, W.J. (2021), SoK: Decentralized Finance (DeFi).
- Zetzsche, D. A., Arner, D. W., and Buckley, R. P., (2020), Decentralized finance. Journal of Financial Regulation, 6(2), 172–203.
Ayrıntılar
| Birincil Dil | İngilizce |
|---|---|
| Konular | Finans |
| Bölüm | Araştırma Makalesi |
| Yazarlar | |
| Erken Görünüm Tarihi | 23 Haziran 2023 |
| Yayımlanma Tarihi | 30 Haziran 2023 |
| Yayımlandığı Sayı | Yıl 2023 Cilt: 8 Sayı: 1 |
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