Stablecoins versus traditional cryptocurrencies in response to interbank rates

Nguyen, Thach Vu Hong; Nguyen, Thai Vu Hong; Nguyen, Thanh Cong; Pham, Thu Thi Anh

doi:10.1016/j.frl.2022.102744

Cited by 12 publications

(5 citation statements)

References 29 publications

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“…Studies indicate that interest rates are also an important determinant of cryptocurrency pricing. Nguyen, Nguyen, Nguyen, Pham, and Nguyen (2022) investigated the Federal rate of the US and the Chinese interbank rate on the stablecoins and cryptocurrencies, based on the Generalized AutoRegressive Conditional Heteroskedasticity (GARCH), EGARCH and the fixed-effect model. The results suggested that higher federal fund rates and Chinese interbank rates had a significant impact on both stablecoins and cryptocurrencies, leading to increased price volatility in these markets.…”

Section: Resultsmentioning

confidence: 99%

A systematic literature review on the determinants of cryptocurrency pricing

Peng,

Prentice,

Shams

et al. 2023

CAFR

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PurposeGiven the cryptocurrency market boom in recent years, this study aims to identify the factors influencing cryptocurrency pricing and the major gaps for future research.Design/methodology/approachA systematic literature review was undertaken. Three databases, Scopus, Web of Science and EBSCOhost, were used for this review. The final analysis comprised 88 articles that met the eligibility criteria.FindingsThe influential factors were identified and categorized as supply and demand, technology, economics, market volatility, investors’ attributes and social media. This review provides a comprehensive and consolidated view of cryptocurrency pricing and maps the significant influential factors.Originality/valueThis paper is the first to systematically and comprehensively review the relevant literature on cryptocurrency to identify the factors of pricing fluctuation. This research contributes to cryptocurrency research as well as to consumer behaviors and marketing discipline in broad.

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Section: Resultsmentioning

confidence: 99%

A systematic literature review on the determinants of cryptocurrency pricing

Peng,

Prentice,

Shams

et al. 2023

CAFR

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show abstract

“…Finalmente, otros estudios han examinado el comportamiento de estos activos digitales ante cambios en la política monetaria. Nguyen et al (2022) muestran que, ante un incremento de los tipos de interés por parte de la Fed (Federal Reserve System), el impacto en el volumen de transacciones es mayor para las stablecoins que para las criptomonedas sin respaldo, si bien estas últimas están expuestas a una mayor volatilidad. En cualquier caso, se evidencia cómo tanto las stablecoins como el resto de criptoactivos están expuestos a las decisiones de política monetaria.…”

Section: Iceunclassified

La irrupción de las stablecoins: evolución, riesgos y marco regulatorio

Cuadros-Solas¹,

Sagardoy²

2022

Revista ICE

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Las stablecoins han experimentado un notable crecimiento en los últimos años. Este artículo examina las principales características de esta tipología de criptoactivos, las implicaciones para la estabilidad financiera y para la economía real de su adopción masiva y la respuesta regulatoria a dicho fenómeno. El presente artículo pone de manifiesto cómo las stablecoins, aunque son menos volátiles que el resto de los criptoactivos, están sujetas a una cierta inestabilidad en períodos de elevada volatilidad en los criptomercados. Además, se evidencia cómo el auge de las stablecoins podría generar riesgos para el inversor y la estabilidad financiera, ante los cuales se está construyendo una respuesta regulatoria y supervisora adecuada a nivel global, europeo y nacional.

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“…Some other studies (Kumar & Anandro, 2019;Yousaf & Ali, 2020;Akhtarruzzaman et al, 2022;Katsiampa et al, 2022;Kumar et al, 2022) show that the volatility spillover relationship between cryptocurrencies and stablecoins has increased in the aftermath of global events. Some studies show the relationship between cryptocurrencies is strong (Bouri et al, 2021;Moratis, 2021;Zhang & Mani, 2021;Naeem et al, 2021), and cryptocurrencies are related with global events (Wang et al, 2020b;Nguyen et al, 2022), also positive and negative shocks have different effects on cryptocurrencies (Fakhfekh & Jeribi, 2020;Zhang & Mani, 2021). In addition, some of the studies analyzed (Huynh, 2020;Jalan et al, 2021) revealed that stablecoins are volatile, meaning they are not stable.…”

Section: International Journal Of Economic and Administrative Studiesmentioning

confidence: 99%

“…These models are multivariate GARCH and DY (Diebold and Yılmaz) derivatives. However, few studies (Wang et al, 2020b;Nguyen et al, 2022) have evaluated the volatility spillover relationship between stablecoins and cryptocurrencies in the context of global events. In this respect, analyzing the volatility spillover relationship between stablecoins and cryptocurrencies with Q-VAR and evaluating the findings in the context of global events are considered as contributions of our study to the literature.…”

Section: International Journal Of Economic and Administrative Studiesmentioning

confidence: 99%

Kri̇pto Paralar Ve Stabi̇l Coi̇nler Arasindaki̇ Kanti̇l Bağlantililik

Kayahan

GÖKGÖZ

MURAT

2022

Uluslararası İktisadi Ve İdari İncelemeler Dergisi

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This paper aims to analyze the volatility spillover relationship between cryptocurrencies and stablecoins dynamically. Within the scope of the study, the daily closing price data of Bitcoin (BTC), Ethereum (ETH), BNB cryptocurrencies, and Tether (USDT) and USD Coin (USDC) stablecoins covering the period from January 1, 2019 to April 6, 2022 was analyzed using the Q-VAR model. Our results suggest that the volatility spillover between the cryptocurrency and stablecoins increased during the Covid-19 pandemic. Moreover, the direction and severity of volatility spillover between cryptocurrencies and stablecoins are affected by global events. While the relationship between cryptocurrencies and stablecoins themselves is strong, the relationship between each other is weak. Our findings suggest that global events influence the interaction between crypto-assets and that cryptocurrencies and stablecoins can be good diversifiers for each other. These findings have important implications for financial market regulators, portfolio investors, and academic research.

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Stablecoins versus traditional cryptocurrencies in response to interbank rates

Cited by 12 publications

References 29 publications

A systematic literature review on the determinants of cryptocurrency pricing

A systematic literature review on the determinants of cryptocurrency pricing

La irrupción de las stablecoins: evolución, riesgos y marco regulatorio

Kri̇pto Paralar Ve Stabi̇l Coi̇nler Arasindaki̇ Kanti̇l Bağlantililik

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