How do AI-based tokens react to interest rate shocks? Evidence from quantile regression

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Authors: Francisco Jareño, Marta Tolentino, María Caridad Sevillano
Cited by: 2
References: 46

Abstract

Purpose This study aims to investigate how artificial intelligence (AI)-based tokens respond to changes in nominal and real interest rates, particularly in different market conditions, and to evaluate their potential role in portfolio diversification. Design/methodology/approach This study uses quantile regression to analyse the effect of changes in the nominal interest rate on the returns of five AI-based tokens. Two models are used to evaluate the performance of the tokens in relation to the S&P 500 and interest rates, taking into account inflation expectations and sub-period analysis. Findings AI-based tokens are sensitive to shocks in the US stock market, particularly during periods of market decline. Negative changes in the real interest rate affect tokens negatively in bear markets, while changes in the nominal rate are more harmful during market peaks. The behaviour of tokens varies across sub-periods. Originality/value This research provides valuable insights into the dynamics of AI-based token markets and how they interact with macroeconomic variables. It offers guidance for investors and portfolio managers.

Fields of Study & Subjects

Stock Market Forecasting Methods Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

Publication details

Journal / source
Studies in Economics and Finance
Publisher
Emerald
Volume
43
Issue
4
Pages
917–936
Publication date
23 January 2026
Language
EN