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Where Are the Rates? Derivative-Implied Interest Rates in Cryptocurrency Markets

Author

Listed:
  • Philippe Bergault
  • S'ebastien Bieber
  • Olivier Gu'eant
  • Wenkai Zhang

Abstract

In traditional finance, liquid markets for bonds, interest rate swaps, and other interest rate derivatives provide a basis for constructing yield curves. In the cryptocurrency ecosystem, lending and staking yields are predominantly variable and adjust over short timescales, whereas fixed-rate instruments remain scarce and, as of early 2026, widely accepted benchmark yield curves were still lacking. We jointly infer USD and cryptocurrency discount factors from inverse options and futures by combining put-call parity with the futures basis in a closed-form estimator. We introduce a novel RANSAC-based quote filter tailored to cryptocurrency market microstructure. We apply the method to hourly BTC and ETH derivatives data from Deribit between February~2023 and February~2026. The two underlying assets imply broadly similar USD term structures, with rates averaging approximately 8\% per year and rising during the 2024 cryptocurrency rallies. Implied BTC and ETH rates are typically close to zero across the maturities considered, despite positive Aave lending yields and ETH staking yields. Implied USD rates co-move with Aave USDC rates but exhibit persistent differences. These findings suggest limited integration between derivatives markets and decentralized lending and staking.

Suggested Citation

  • Philippe Bergault & S'ebastien Bieber & Olivier Gu'eant & Wenkai Zhang, 2025. "Where Are the Rates? Derivative-Implied Interest Rates in Cryptocurrency Markets," Papers 2509.03964, arXiv.org, revised Nov 2026.
    • Handle: RePEc:arx:papers:2509.03964
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    References listed on IDEAS

    as
    1. Bastien Baude & Damien Challet & Ioane Muni Toke, 2025. "Optimal risk-aware interest rates for decentralized lending protocols," Papers 2502.19862, arXiv.org, revised Aug 2026.
    2. Temin, Peter, 2004. "Financial Intermediation in the Early Roman Empire," The Journal of Economic History, Cambridge University Press, vol. 64(3), pages 705-733, September.
    3. Arkorful, Gideon Bruce & Chen, Haiqiang & Gu, Ming & Liu, Xiaoqun, 2023. "What can we learn from the convenience yield of Bitcoin? Evidence from the COVID-19 crisis," International Review of Economics & Finance, Elsevier, vol. 88(C), pages 141-153.
    4. Jimmy E. Hilliard & Julie T. D. Ngo, 2022. "Bitcoin: jumps, convenience yields, and option prices," Quantitative Finance, Taylor & Francis Journals, vol. 22(11), pages 2079-2091, November.
    5. Brenner, Menachem & Galai, Dan, 1986. "Implied Interest Rates," The Journal of Business, University of Chicago Press, vol. 59(3), pages 493-507, July.
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