From depegs to jumps: The role of stablecoin instabilities in crypto market dynamics
研究发现，稳定币脱锚事件会显著增加非稳定加密资产的价格跳跃概率，例如Tether脱锚后5分钟内比特币价格跳跃概率增加近5倍，挑战了稳定币有助于市场稳定的假设。
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. • We analyze how stablecoin depegs impact Bitcoin price jumps and co-jumps in the crypto market. • Our study relies on high-frequency data from 70 crypto-assets and Tether. • A Tether depeg raises the probability of BTC/USD price jumps nearly fivefold within 5 min, while co-jump probability increases 6.5 times. • Price jumps are larger following a depeg compared to periods of stable pegs.