Speed of Adjustment in Digital Assets in a Decentralized Financial World
研究了去中心化金融中加密货币资产的调整速度，即冲击消散和价格回归长期均衡的速率，发现不同资产调整速度差异大且存在强传染效应，对投资组合和风险管理有参考价值。
ABSTRACT This paper investigates the stability and co‐movement of cryptocurrency assets in Decentralized Finance (DeFi), with a focus on the Speed of Adjustment (SA), the rate at which shocks dissipate, and prices revert to long‐run equilibrium. SA provides a critical measure of market efficiency and portfolio allocation in a highly volatile DeFi environment. We extend conventional cointegration analysis by applying a Fractionally Cointegrated Vector Autoregressive framework, which captures slow error corrections. Rolling estimations generate a time‐varying series of SA, allowing examination of its evolution and cross‐asset spillovers. The results reveal multiple cointegrating relationships, heterogeneous adjustment speeds, and strong contagion effects among DeFi assets. For instance, RPL exhibits rapid yet volatile adjustment, while LDO, BAL, and SNX revert more slowly, reflecting distinct risk‐return trade‐offs. Spillover analysis highlights high systemic interconnectedness, underscoring challenges for diversification and contagion management. Overall, dynamic SA emerges as a valuable forward‐looking indicator of stability in digital asset markets.