Richard K. Lyons, Ganesh Viswanath-Natraj · 2023 · Journal article · Journal of International Money and Finance (NBER WP 27136)
Empirical study of the arbitrage mechanism that holds fiat-backed stablecoins near their peg.
Key findings
- Peg deviations are corrected mainly through the primary market (mint/redeem by authorised participants).
- Access to primary-market arbitrage strengthened peg stability over time.
Harald Uhlig · 2022 · Working paper · NBER Working Paper 30256
Post-mortem of the May 2022 Terra/UST algorithmic-stablecoin collapse.
Key findings
- Models the UST depeg as a run driven by loss of confidence rather than purely mechanical failure.
- Highlights the fragility of algorithmic stablecoins lacking hard collateral.
Adrien d'Avernas, Vincent Maurin, Quentin Vandeweyer · 2022 · Working paper · Working paper (Becker Friedman Institute / SSRN)
Theoretical analysis of whether fiat-backed stablecoins can remain stable without deposit insurance or a lender of last resort.
Key findings
- Stablecoins are exposed to runs absent a backstop; par stability is not guaranteed by full reserves alone.
- Explores conditions (fees, redemption design) under which a peg can survive stress.
Gary B. Gorton, Chase P. Ross, Sharon Y. Ross · 2022 · Working paper · NBER Working Paper 30796
Analyses how leverage and secondary-market liquidity determine whether a stablecoin holds its peg.
Key findings
- A stablecoin holds its peg when arbitrageurs can profitably trade it back to par; deep liquidity is key.
- Leverage built on stablecoins can amplify depeg dynamics.
John M. Griffin, Amin Shams · 2020 · Journal article · The Journal of Finance, Vol. 75(4)
A high-profile empirical study associating Tether (USDT) issuance with support of Bitcoin prices during the 2017 run-up.
Key findings
- Finds patterns consistent with Tether being issued and used to support Bitcoin prices during downturns in 2017.
- Raises questions about whether issuance was fully backed by reserves.
- Became foundational to concerns about stablecoin reserve transparency and market impact.