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Ganesh Viswanath Natraj
Roman Kozhan
Amit Chaudhary
University of Warwick, Warwick Gillmore Centre Research Fellow
2023
Interest Rate Parity in Decentralized Finance

This paper studies determinants of interest rates on Decentralized lending protocols. Using transaction level data, we show these protocols are being used to make long or short leveraged positions in the cryptocurrency market. Authors identify a significant relationship between the interest rate differential and the perpetual futures premium for the ETH/USDT market.