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Interest rate sensitivity of traditional, green, and stable cryptocurrencies: A comparative study across market conditions

Francisco Jareño et al.

Quantitative Finance and Economics2025https://doi.org/10.3934/qfe.2025004article
AJG 1
Weight
0.41

What the paper says

BackgroundThis study examines the impact of interest rate fluctuations on the returns of traditional, 'green', and 'stable' cryptocurrencies from April 2019 to April 2023. Bitcoin, Cardano, and Tether represent these categories due to their market significance.MethodsUsing quantile regression (QR), the study analyzes the impact of interest rate shocks on cryptocurrency returns during bullish and bearish market periods. It also decomposes nominal interest rates into real interest rates and inflation expectations. The sample period is divided into stable and rising interest rate sub-periods for robustness.ResultsThe results show that cryptocurrency returns are more sensitive to interest rate fluctuations in both bullish and bearish periods. The sensitivity varies across cryptocurrency types, with Cardano acting as a hedge against inflation risk during bearish periods.ConclusionsThe results support the research hypotheses and provide insights into the behavior of cryptocurrencies under different market conditions. These findings help portfolio managers and policymakers to make informed decisions in a digital financial environment. Future research should explore the interactions between cryptocurrencies and other financial markets.

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https://doi.org/https://doi.org/10.3934/qfe.2025004

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@article{francisco2025,
  title        = {{Interest rate sensitivity of traditional, green, and stable cryptocurrencies: A comparative study across market conditions}},
  author       = {Francisco Jareño et al.},
  journal      = {Quantitative Finance and Economics},
  year         = {2025},
  doi          = {https://doi.org/https://doi.org/10.3934/qfe.2025004},
}

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Interest rate sensitivity of traditional, green, and stable cryptocurrencies: A comparative study across market conditions

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Evidence weight

0.41

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.25 × 0.4 = 0.10
M · momentum0.55 × 0.15 = 0.08
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.