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International Conference on Digital Economy

ICDEc 2019: Digital Economy. Emerging Technologies and Business Innovation pp 53–65Cite as

The Interest Rate Behaviour of Bitcoin as a Digital Asset

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Part of the book series: Lecture Notes in Business Information Processing ((LNBIP,volume 358))

Abstract

The objective of this study is to assess interest rate behaviour of bitcoin as a digital asset in relation to market rates. The implied bitcoin interest rate is quantified through the assumptions of uncovered interest parity theory, and implied bitcoin exchange rate determined from the triangular of USD/BTC, and EUR/BTC. The Vector Autoregressive model is regressed on implied bitcoin interest rate along with four maturity classes of LIBOR interest rates for US and Euro markets respectively. The results show that there is a uni–directional impact with bitcoin interest rate responding to shocks from market rates, while shocks emanating from bitcoin to market rates are non-existent, or not statistically significant. The findings of this study have potential value towards monetary policy and capital market investors.

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Author information

Authors and Affiliations

  1. Department of Finance and Investment Management, University of Johannesburg, Kingsway Road, Auckland Park, Johannesburg, South Africa

    Thabo J. Gopane

Authors
  1. Thabo J. Gopane
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Correspondence to Thabo J. Gopane .

Editor information

Editors and Affiliations

  1. ESEN, University of Manouba, Manouba, Tunisia

    Rim Jallouli

  2. ESEN, University of Manouba, Manouba, Tunisia

    Mohamed Anis Bach Tobji

  3. Université de Sherbrooke, Sherbrooke, QC, Canada

    Deny Bélisle

  4. Université Laval, Quebec, QC, Canada

    Sehl Mellouli

  5. International University of Beirut, Mazraa, Lebanon

    Farid Abdallah

  6. American University of Beirut, Beirut, Lebanon

    Ibrahim Osman

Appendix

Appendix

Fig. 3.
figure 3

Impulse response function graphs for USA based LIBOR market

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Fig. 4.
figure 4

Impulse response function for Euro based LIBOR market

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Table 2. VAR results for US based LIBOR markets and Implied btc rate.
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Table 3. VAR results for Euro based LIBOR markets and Implied btc rate.
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Gopane, T.J. (2019). The Interest Rate Behaviour of Bitcoin as a Digital Asset. In: Jallouli, R., Bach Tobji, M., Bélisle, D., Mellouli, S., Abdallah, F., Osman, I. (eds) Digital Economy. Emerging Technologies and Business Innovation. ICDEc 2019. Lecture Notes in Business Information Processing, vol 358. Springer, Cham. https://doi.org/10.1007/978-3-030-30874-2_5

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  • DOI: https://doi.org/10.1007/978-3-030-30874-2_5

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  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-030-30873-5

  • Online ISBN: 978-3-030-30874-2

  • eBook Packages: Computer ScienceComputer Science (R0)

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