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Stablecoins versus traditional cryptocurrencies in response to interbank rates

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

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.

Suggested Citation

  • Nguyen, Thach V.H. & Nguyen, Thai Vu Hong & Nguyen, Thanh Cong & Pham, Thu Thi Anh & Nguyen, Quan M.P., 2022. "Stablecoins versus traditional cryptocurrencies in response to interbank rates," Finance Research Letters, Elsevier, vol. 47(PB).
    • Handle: RePEc:eee:finlet:v:47:y:2022:i:pb:s1544612322000654
    DOI: 10.1016/j.frl.2022.102744
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    Cited by:

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    2. Yousaf, Imran & Jareño, Francisco & Martínez-Serna, María-Isabel, 2023. "Extreme spillovers between insurance tokens and insurance stocks: Evidence from the quantile connectedness approach," Journal of Behavioral and Experimental Finance, Elsevier, vol. 39(C).
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    4. Yousaf, Imran & Pham, Linh & Goodell, John W., 2024. "Dynamic spillovers between leading cryptocurrencies and derivatives tokens: Insights from a quantile VAR approach," International Review of Financial Analysis, Elsevier, vol. 94(C).
    5. Lennart Ante & Ingo Fiedler & Jan Marius Willruth & Fred Steinmetz, 2023. "A Systematic Literature Review of Empirical Research on Stablecoins," FinTech, MDPI, vol. 2(1), pages 1-14, January.

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