The Interest Rate Behaviour of Bitcoin as a Digital Asset

摘要

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 bit-coin 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.