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

Background This 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. Methods Using qua...

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Detalhes bibliográficos
Autores: Jareño Cebrián, Francisco, González Pérez, María de la O, Almansa, José M.
Formato: artículo
Fecha de publicación:2025
País:España
Recursos:Universidad de Castilla-La Mancha
Repositorio:RUIdeRA. Repositorio Institucional de la UCLM
OAI Identifier:oai:ruidera.uclm.es:10578/41979
Acesso em linha:https://doi.org/10.3934/QFE.2025004
https://www.aimspress.com/article/doi/10.3934/QFE.2025004
https://hdl.handle.net/10578/41979
Access Level:acceso abierto
Palavra-chave:Cryptocurrency returns
Inflation expectations
Interest rates
Market conditions
Quantile regression
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spelling Interest rate sensitivity of traditional, green and stable cryptocurrencies: A comparative study across market conditionsJareño Cebrián, FranciscoGonzález Pérez, María de la OAlmansa, José M.Cryptocurrency returnsInflation expectationsInterest ratesMarket conditionsQuantile regressionBackground This 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. Methods Using 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. Results The 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.Conclusions The 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.AIMS202520252025info:eu-repo/semantics/articleapplication/pdfapplication/pdfhttps://doi.org/10.3934/QFE.2025004https://www.aimspress.com/article/doi/10.3934/QFE.2025004https://hdl.handle.net/10578/41979reponame:RUIdeRA. Repositorio Institucional de la UCLMinstname:Universidad de Castilla-La ManchaInglésPID2021-128829NB-100SBPLY/21/180501/0000862022-GRIN34491info:eu-repo/semantics/openAccessoai:ruidera.uclm.es:10578/419792026-05-27T07:36:41Z
dc.title.none.fl_str_mv Interest rate sensitivity of traditional, green and stable cryptocurrencies: A comparative study across market conditions
title Interest rate sensitivity of traditional, green and stable cryptocurrencies: A comparative study across market conditions
spellingShingle Interest rate sensitivity of traditional, green and stable cryptocurrencies: A comparative study across market conditions
Jareño Cebrián, Francisco
Cryptocurrency returns
Inflation expectations
Interest rates
Market conditions
Quantile regression
title_short Interest rate sensitivity of traditional, green and stable cryptocurrencies: A comparative study across market conditions
title_full Interest rate sensitivity of traditional, green and stable cryptocurrencies: A comparative study across market conditions
title_fullStr Interest rate sensitivity of traditional, green and stable cryptocurrencies: A comparative study across market conditions
title_full_unstemmed Interest rate sensitivity of traditional, green and stable cryptocurrencies: A comparative study across market conditions
title_sort Interest rate sensitivity of traditional, green and stable cryptocurrencies: A comparative study across market conditions
dc.creator.none.fl_str_mv Jareño Cebrián, Francisco
González Pérez, María de la O
Almansa, José M.
author Jareño Cebrián, Francisco
author_facet Jareño Cebrián, Francisco
González Pérez, María de la O
Almansa, José M.
author_role author
author2 González Pérez, María de la O
Almansa, José M.
author2_role author
author
dc.subject.none.fl_str_mv Cryptocurrency returns
Inflation expectations
Interest rates
Market conditions
Quantile regression
topic Cryptocurrency returns
Inflation expectations
Interest rates
Market conditions
Quantile regression
description Background This 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. Methods Using 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. Results The 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.Conclusions The 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.
publishDate 2025
dc.date.none.fl_str_mv 2025
2025
2025
dc.type.none.fl_str_mv info:eu-repo/semantics/article
format article
dc.identifier.none.fl_str_mv https://doi.org/10.3934/QFE.2025004
https://www.aimspress.com/article/doi/10.3934/QFE.2025004
https://hdl.handle.net/10578/41979
url https://doi.org/10.3934/QFE.2025004
https://www.aimspress.com/article/doi/10.3934/QFE.2025004
https://hdl.handle.net/10578/41979
dc.language.none.fl_str_mv Inglés
language_invalid_str_mv Inglés
dc.relation.none.fl_str_mv PID2021-128829NB-100
SBPLY/21/180501/000086
2022-GRIN34491
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
application/pdf
dc.publisher.none.fl_str_mv AIMS
publisher.none.fl_str_mv AIMS
dc.source.none.fl_str_mv reponame:RUIdeRA. Repositorio Institucional de la UCLM
instname:Universidad de Castilla-La Mancha
instname_str Universidad de Castilla-La Mancha
reponame_str RUIdeRA. Repositorio Institucional de la UCLM
collection RUIdeRA. Repositorio Institucional de la UCLM
repository.name.fl_str_mv
repository.mail.fl_str_mv
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score 15.812429

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