Stablecoins versus traditional cryptocurrencies in response to interbank rates_FRL_Quan Minh Pham Nguyen.pdf (915.05 kB)
Stablecoins versus traditional cryptocurrencies in response to interbank rates
journal contribution
posted on 2023-06-10, 06:41 authored by Thach V H Nguyen, Thai Vu Hong Nguyen, Thanh Cong Nguyen, Thu Thi Anh Pham, Quan Pham Minh NguyenQuan Pham Minh NguyenThis 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.
History
Publication status
- Published
File Version
- Accepted version
Journal
Finance Research LettersISSN
1544-6123Publisher
ElsevierExternal DOI
Issue
Part BVolume
47Page range
a102744Department affiliated with
- Accounting and Finance Publications
Full text available
- Yes
Peer reviewed?
- Yes
Legacy Posted Date
2023-04-13First Open Access (FOA) Date
2023-04-13First Compliant Deposit (FCD) Date
2023-04-05Usage metrics
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