Journal article · 2021
On the stability of stablecoins
This paper investigates the volatility processes of stablecoins and their relationship with Bitcoin volatility. It finds that Bitcoin volatility influences the volatilities of stablecoins, which are statistically unstable.
Research questionWhat are the volatility processes of stablecoins and their interdependencies with Bitcoin volatility?
MethodologyNovel approach to choose optimal combination for power law exponent and minimum value for volatilities.
Constructsvolatility processes; stablecoins; Bitcoin volatility
Key findings
- Bitcoin volatility is well-behaved in a statistical sense with a finite theoretical variance.
- The volatilities of stablecoins are statistically unstable and respond to Bitcoin volatility.
- Lagged Bitcoin volatility exhibits Granger-causal effects on the volatilities of stablecoins.
Topics: Regulation & Policy
Cite this
Klaus Grobys et al. (2021). On the stability of stablecoins Journal of Empirical Finance.
BibTeX
@article{grobys2021stabilitystablecoins,
title = {On the stability of stablecoins},
author = {Klaus Grobys and Juha-Pekka Junttila and James W. Kolari and Niranjan Sapkota},
year = {2021},
institution = {Elsevier BV},
journal = {Journal of Empirical Finance},
doi = {10.1016/j.jempfin.2021.09.002},
url = {https://doi.org/10.1016/j.jempfin.2021.09.002},
note = {Indexed by Stablecoin Beat},
}Indexed by Stablecoin Beat — we link to and summarise sources; we do not host copyrighted full text, and summaries are our own. · All research · Methodology