Could Stable Currency Really Stabilize the Cryptocurrency Markets? A Quantile Regression Approach Based on Tether USD

Published: 17-08-2019| Version 1 | DOI: 10.17632/r865j5mtw3.1
Contributor:
Yun Hong

Description

Our paper is the first attempt to exam the stable currency’s impact on the cryptocurrency market by using the the quantile ARDL-ECM (QARDL-ECM) and the quantile-in-quantile ARDL-ECM (QQARDL-ECM) models, we find that the USTD supply is positively related to cryptocurrency prices in the long run, while in the short-term, more USTD supply could support the cryptocurrency market when the market in the downturn period, but exacerbated price rises in the boom market. We focus on the USTD and 4 leading cryptocurrencies (Bitcoin, Litecoin, Ethereum, Ripple) that constitute 82.53% of the overall cryptocurrency market capitalization, the daily USTD supply and cryptocurrencies close price data are collected from the CoinMarketCap (https://coinmarketcap.com), the world’s most recognizable cryptocurrencies data provider. The sample period is from 2015-08-08 to 2019-08-07, with a total number of 1462 observations, since we get the price data for all the cryptocurrencies since 2015-08-08. Natural logarithmic series based on USTD supply and the cryptocurrencies’s closing prices are adopted to control for the possible exponential growth trend.

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Steps to reproduce

the daily USTD supply and cryptocurrencies close price data are collected from the CoinMarketCap (https://coinmarketcap.com), the world’s most recognizable cryptocurrencies data provider. The sample period is from 2015-08-08 to 2019-08-07, with a total number of 1462 observations, since we get the price data for all the cryptocurrencies since 2015-08-08. Natural logarithmic series based on USTD supply and the cryptocurrencies’s closing prices are adopted to control for the possible exponential growth trend. In the implementation of the algorithm, we can easily modify the existing function rq() in the package quantreg in the R computing language