Stablecoins versus traditional cryptocurrencies in response to interbank rates

Thach V.H. Nguyen, Thai Nguyen, Thanh Cong Nguyen, Thu Thi Anh Pham and Quan M.P. Nguyen

Finance Research Letters, 2022, vol. 47, issue PB

Abstract: This study investigates the impacts of the United States (US) federal funds rate and Chinese interbank rate on the behaviors of stablecoins and traditional cryptocurrencies. We employ GARCH, EGARCH and Fixed Effects models for the daily sample of the top five stablecoins and the top five traditional cryptocurrencies in terms of market capitalization from December 2018 to December 2019. Our results show that a higher federal funds rate and Chinese interbank rate compress the prices and price volatility of stablecoins. In contrast, higher rates from both countries increase the prices and price volatility of traditional cryptocurrencies. Both rates also increase the trading value of both types of coins. The federal funds rate tends to have stronger impacts compared to the Chinese interbank rate on both types of coins, except for the price response of traditional cryptocurrencies.

Keywords: Stablecoins; Cryptocurrencies; Federal funds rate; Chinese interbank rate (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612322000654
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:47:y:2022:i:pb:s1544612322000654

DOI: 10.1016/j.frl.2022.102744

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().