From depegs to jumps: The role of stablecoin instabilities in crypto market dynamics

IF 2.8 2区经济学 Q2 BUSINESS, FINANCE

Journal of International Money and Finance Pub Date : 2025-04-08 DOI:10.1016/j.jimonfin.2025.103339

Baptiste Perez Riaza, Jean-Yves Gnabo

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Abstract

This study shows that, contrary to their intended purpose of stabilizing the crypto-asset ecosystem, stablecoins can become a significant source of market destabilization. While stablecoins like Tether (USDT) were designed to facilitate stable digital transactions and mitigate volatility in crypto portfolios, instances of depegging, where the stablecoin’s value deviates from its target, have introduced new risks. Using high-frequency 5-min price data across 70 non-stable crypto-assets, we show that stablecoin depegging events significantly increase the likelihood of abrupt price jumps in non-stable crypto-assets. Within the first 5 min following a depegging event, the probability of price jumps in the BTC/USD pair increases nearly fivefold compared to normal conditions under our most conservative estimates, while the probability of cojumps rises by a factor of 6.5. Our results also reveal that these jumps tend to be of greater magnitude than those typically observed. These findings underscore the destabilizing role stablecoin depegging can play in the broader crypto market, challenging the assumption that stablecoins inherently contribute to market stability.

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从深度到跳跃：稳定币不稳定性在加密市场动态中的作用

这项研究表明，与稳定加密资产生态系统的预期目的相反，稳定币可能成为市场不稳定的重要来源。虽然像Tether （USDT）这样的稳定币旨在促进稳定的数字交易并减轻加密投资组合的波动性，但在去挂钩的情况下，稳定币的价值偏离了目标，这带来了新的风险。使用70种非稳定加密资产的高频5分钟价格数据，我们表明稳定币去挂钩事件显着增加了非稳定加密资产价格突然跃升的可能性。在脱钩事件发生后的前5分钟 内，根据我们最保守的估计，与正常情况相比，BTC/USD货币对价格上涨的可能性增加了近5倍，而协跳的可能性增加了6.5倍。我们的结果还表明，这些跳跃往往比通常观察到的幅度更大。这些发现强调了稳定币去挂钩在更广泛的加密市场中可能发挥的不稳定作用，挑战了稳定币本质上有助于市场稳定的假设。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of International Money and Finance BUSINESS, FINANCE-

CiteScore

4.20

自引率

4.00%

发文量

141

期刊介绍： Since its launch in 1982, Journal of International Money and Finance has built up a solid reputation as a high quality scholarly journal devoted to theoretical and empirical research in the fields of international monetary economics, international finance, and the rapidly developing overlap area between the two. Researchers in these areas, and financial market professionals too, pay attention to the articles that the journal publishes. Authors published in the journal are in the forefront of scholarly research on exchange rate behaviour, foreign exchange options, international capital markets, international monetary and fiscal policy, international transmission and related questions.