Table 6 Estimated vector error-correction model in the VAR representation (on logarithmic market capitalizations)
From: On the role of stablecoins in cryptoasset pricing dynamics
estimate | SE | t-stat | p value | |
|---|---|---|---|---|
Bitcoin equation | ||||
intercept | 0.1042 | 0.0772 | 1.3490 | 0.1775 |
\(\Delta BTC_{t-1}\) | 0.0397 | 0.0406 | 0.9782 | 0.3281 |
\(\Delta BTC_{t-2}\) | − 0.0143 | 0.0371 | − 0.3838 | 0.7011 |
\(\Delta Alts_{t-1}\) | − 0.0745 | 0.0285 | − 2.6150 | 0.0090 |
\(\Delta Alts_{t-2}\) | 0.0474 | 0.0255 | 1.8600 | 0.0631 |
\(\Delta Stable_{t-1}\) | − 0.0375 | 0.0232 | − 1.6170 | 0.1059 |
\(\Delta Stable_{t-2}\) | 0.0357 | 0.0216 | 1.6510 | 0.1059 |
\(BTC_{t-1}\) | − 0.0077 | 0.0053 | − 1.4620 | 0.1440 |
\(Alts_{t-1}\) | 0.0037 | 0.0027 | 1.3750 | 0.1693 |
\(Stable_{t-1}\) | − 0.0004 | 0.0024 | − 0.1844 | 0.8537 |
t | < 0.0001 | < 0.0001 | 0.8117 | 0.4171 |
\(R^2\) | 0.0145 | F(10,1941) | 2.7592 | |
\({\bar{R}}^2\) | 0.0094 | p value | 0.0022 | |
\({\hat{\rho }}\) | − 0.0008 | D-W stat | 2.0007 | |
Altcoins equation | ||||
intercept | − 0.0281 | 0.1073 | − 0.2622 | 0.7932 |
\(\Delta BTC_{t-1}\) | − 0.0619 | 0.0462 | − 1.3390 | 0.1808 |
\(\Delta BTC_{t-2}\) | 0.0343 | 0.0386 | 0.8887 | 0.3743 |
\(\Delta Alts_{t-1}\) | 0.0083 | 0.0421 | 0.1971 | 0.8438 |
\(\Delta Alts_{t-2}\) | 0.0293 | 0.0285 | 1.0290 | 0.3038 |
\(\Delta Stable_{t-1}\) | − 0.0583 | 0.0261 | − 2.2360 | 0.0254 |
\(\Delta Stable_{t-2}\) | 0.0608 | 0.0297 | 2.0450 | 0.0410 |
\(BTC_{t-1}\) | 0.0041 | 0.0076 | 0.5436 | 0.5868 |
\(Alts_{t-1}\) | − 0.0044 | 0.0045 | − 0.9704 | 0.3320 |
\(Stable_{t-1}\) | 0.0023 | 0.0037 | 0.6210 | 0.5347 |
t | > − 0.0001 | < 0.0001 | − 0.8494 | 0.3957 |
\(R^2\) | 0.0109 | F(10,1941) | 1.6235 | |
\({\bar{R}}^2\) | 0.0058 | p value | 0.0940 | |
\({\hat{\rho }}\) | − 0.0010 | D-W stat | 2.0014 | |
Stablecoins equation | ||||
intercept | − 0.1698 | 0.0545 | − 3.1150 | 0.0019 |
\(\Delta BTC_{t-1}\) | − 0.0279 | 0.0291 | − 0.9581 | 0.3382 |
\(\Delta BTC_{t-2}\) | 0.0566 | 0.0351 | 1.6110 | 0.1073 |
\(\Delta Alts_{t-1}\) | 0.0451 | 0.0286 | 1.5760 | 0.1151 |
\(\Delta Alts_{t-2}\) | − 0.0112 | 0.0256 | − 0.4384 | 0.6612 |
\(\Delta Stable_{t-1}\) | − 0.0271 | 0.0198 | − 1.3680 | 0.1714 |
\(\Delta Stable_{t-2}\) | 0.0178 | 0.0117 | 1.5250 | 0.1274 |
\(BTC_{t-1}\) | 0.0085 | 0.0048 | 1.7780 | 0.0755 |
\(Alts_{t-1}\) | 0.0082 | 0.0041 | 2.0020 | 0.0454 |
\(Stable_{t-1}\) | − 0.0137 | 0.0036 | − 3.8250 | 0.0001 |
t | < 0.0001 | < 0.0001 | 2.8400 | 0.0046 |
\(R^2\) | 0.0223 | F(10,1941) | 4.2237 | |
\({\bar{R}}^2\) | 0.0173 | p value | 0.0001 | |
\({\hat{\rho }}\) | 0.0001 | D-W stat | 1.9997 | |