Do asset-backed stablecoins spread crypto volatility to traditional financial assets? Evidence from Tether

Gabriel Shui Tang Wu and Pak Ho Leung

Economics Letters, 2023, vol. 229, issue C

Abstract: This study shows empirically how Tether, the largest asset-backed stablecoins, magnifies the volatility spillover from crypto assets to money market instruments through its reserve adjustments. Our finding supports the need of strengthening the disclosure by and liquidity management of stablecoins.

Keywords: Crypto assets; Money market; Stablecoins; Spillover (search for similar items in EconPapers)
JEL-codes: G10 G15 G23 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:229:y:2023:i:c:s0165176523002380

DOI: 10.1016/j.econlet.2023.111213

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