解析比特币交易费形成机制，揭示拥堵如何影响手续费定价。
A Model and Estimation of the Bitcoin Transaction Fee
- 将内存池视为稀缺区块空间市场，构建结构化费用模型。
- 发现拥堵是延迟主因，高优先级可显著缩短确认时间。
- 研究结果对矿工、交易者及政策制定者有重要参考价值。
随着区块补贴下降，比特币交易费的重要性日益凸显，但仅靠区块链数据难以研究费用形成机制，因为其背后的排队环境未被观测。本文构建并估计了一个比特币费用选择的结构化模型，将内存池视为稀缺区块空间的市场。通过自建比特币节点，采集高频内存池面板数据，记录交易到达、离开、区块包含、费用提升事件及拥堵快照。将费用市场刻画为维克里-克拉克-格罗夫斯机制，并推导出费用估算公式。第一阶段估计了单调延迟技术，将费率优先级与网络状态关联至预期确认延迟；第二阶段分析费用如何响应该延迟技术和交易特征。研究发现：拥堵是延迟的主要决定因素；优先级的边际价值体现在费用中，且随每提升一级费率所减少的确认时间梯度而上升；交易者使用RBF、CPFP及区块条件的选择对费用有显著经济影响。
原文摘要 · Abstract (English)
Bitcoin transaction fees will become more important as the block subsidy declines, but fee formation is hard to study with blockchain data alone because the relevant queueing environment is unobserved. We develop and estimate a structural model of Bitcoin fee choice that treats the mempool as a market for scarce blockspace. We assemble a novel, high-frequency mempool panel, from a self-run Bitcoin node that records transaction arrivals, exits, block inclusion, fee-bumping events, and congestion snapshots. We characterize the fee market as a Vickery-Clarke-Groves mechanism and derive an equation to estimate fees. In the first-stage we estimate a monotone delay technology linking fee-rate priority and network state to expected confirmation delay. We then estimate how fees respond to that delay technology and to transaction characteristics. We find that congestion is the main determinant of delay; that the marginal value of priority is priced in fees, which is increasing in the gradient of confirmation time reduction per movement up in the fee queue; and that transactor choice of RBF, CPFP, and block conditions have economically important effects on fees.
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