Intelligent design: stablecoins (in)stability and collateral during market turbulence

Financial Innovation

Research

Riccardo De Blasis¹  Robert I. Webb²  Alexander Webb³  Luca Galati⁴ 

[1] Department of Management, Marche Polytechnic University, Via Lodovico Menicucci 6, 60121, Ancona, AN, Italy;McIntire School of Commerce, University of Virginia, 140 Hospital Drive, 22903, Charlottesville, VA, USA;School of Business, University of Wollongong, Northfields Ave, 2522, Wollongong, NSW, Australia;School of Business, University of Wollongong, Northfields Ave, 2522, Wollongong, NSW, Australia;Derivatives Markets Research Centre, Rozetta Institute, 55 Harrington St, 2000, Sydney, NSW, Australia;Department of Economics, University of Molise, Via Francesco De Sanctis, 86100, Campobasso, CB, Italy;

关键词: Stablecoins;    Herding;    Information cascades;    Volatility spillovers;    Market crashes;    Financial contagion;    D47;    F31;    F61;    G14;    G41;   

DOI  :  10.1186/s40854-023-00492-4

 received in 2022-09-14, accepted in 2023-04-13,  发布年份 2023

来源: Springer

【 摘 要 】

How does stablecoin design affect market behavior during turbulent periods? Stablecoins attempt to maintain a “stable” peg to the US dollar, but do so with widely varying structural designs. The spectacular collapse of the TerraUSD (UST) stablecoin and the linked Terra (LUNA) token in May 2022 precipitated a series of reactions across major stablecoins, with some experiencing a fall in value and others gaining value. Using a Baba, Engle, Kraft and Kroner (1990) (BEKK) model, we examine the reaction to this exogenous shock and find significant contagion effects from the UST collapse, likely partially due to herding behavior among traders. We test the varying reactions among stablecoins and find that stablecoin design differences affect the direction, magnitude, and duration of the response to shocks. We discuss the implications for stablecoin developers, exchanges, traders, and regulators.

【 授权许可】

CC BY   
© The Author(s) 2023

【 图 表 】

Fig. 1

41116_2023_36_Article_IEq469.gif

41116_2023_36_Article_IEq468.gif

41116_2023_36_Article_IEq467.gif

41116_2023_36_Article_IEq466.gif

Fig. 4

41116_2023_36_Article_IEq465.gif

41116_2023_36_Article_IEq464.gif

Fig. 2

Fig. 1

41116_2023_36_Article_IEq461.gif

Fig. 1

41116_2023_36_Article_IEq459.gif

41116_2023_36_Article_IEq458.gif

41116_2023_36_Article_IEq457.gif

41116_2023_36_Article_IEq456.gif

41116_2023_36_Article_IEq455.gif

41116_2023_36_Article_IEq454.gif

41116_2023_36_Article_IEq453.gif

41116_2023_36_Article_IEq452.gif

41116_2023_36_Article_IEq443.gif

41116_2023_36_Article_IEq441.gif

41116_2023_36_Article_IEq427.gif

41116_2023_36_Article_IEq426.gif

41116_2023_36_Article_IEq425.gif

Fig. 1

41116_2023_36_Article_IEq424.gif

41116_2023_36_Article_IEq423.gif

41116_2023_36_Article_IEq422.gif

41116_2023_36_Article_IEq421.gif

41116_2023_36_Article_IEq420.gif

41116_2023_36_Article_IEq419.gif

41116_2023_36_Article_IEq417.gif

41116_2023_36_Article_IEq346.gif

41116_2023_36_Article_IEq344.gif

41116_2023_36_Article_IEq342.gif

41116_2023_36_Article_IEq278.gif

41116_2023_36_Article_IEq246.gif

41116_2023_36_Article_IEq241.gif

41116_2023_36_Article_IEq232.gif