Nguyen, Thach V.H., Nguyen, Thai Vu Hong, Nguyen, Thanh Cong , Pham, Thu Thi Anh and Nguyen, Quan M.P. (2022) Stablecoins versus traditional cryptocurrencies in response to interbank rates. Finance Research Letters . p. 102744. ISSN 1544-6123
Full content URL: https://doi.org/10.1016/j.frl.2022.102744
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| Item Type: | Article |
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| Item Status: | Live Archive |
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, Chinese interbank rate, Federal funds rate, Cryptocurrencies |
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| Subjects: | N Business and Administrative studies > N300 Finance |
| Divisions: | Lincoln International Business School |
| ID Code: | 48344 |
| Deposited On: | 09 Mar 2022 14:45 |
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