Exploring the Nexus between Inflation Expectations, LIBOR and Coinbase Index

Naidu, Suwastika and Patel, Arvind and Chand, Anand and Pandaram, Atishwar (2020) Exploring the Nexus between Inflation Expectations, LIBOR and Coinbase Index. In: Global Encyclopedia of Public Administration, Public Policy, and Governance. Springer Nature, Switzerland. ISBN 978-3-319-31816-5

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Abstract

The main aim of this paper is to explore the relationship between inflation expectations, London Interbank Offered Rate (LIBOR) and Coinbase Index (CBI). The findings from this study confirms that the asymmetric volatility spillover effect exists in our model. The GARCH/TARCH model recorded a positive and highest constant in the volatility equation. This shows that the CBI exhibits very different volatility processes as compared to the CBI returns. In the shortrun and longrun, LIBOR and Five Year Inflation Expectations (FYIE) has a positive and statistically significant impact on CBI returns. Similarly, in the longrun, LIBOR and FYIE have a positive and statistically significant impact on CBI. The findings from this study have implications for the policy makers and practitioners as it indicates the impact of the adjustment in the FYIE and LIBOR on the CBI returns.

Item Type:	Book Chapter
Subjects:	H Social Sciences > HA Statistics H Social Sciences > HG Finance
Divisions:	Faculty of Business and Economics (FBE) > School of Accounting and Finance Faculty of Business and Economics (FBE) > School of Management and Public Administration
Depositing User:	Suwastika Naidu
Date Deposited:	28 Apr 2020 02:38
Last Modified:	28 Apr 2020 02:38
URI:	https://repository.usp.ac.fj/id/eprint/11957

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