On the connectedness between the uncertainty of central bank digital currency adoption and stablecoins

Thai Hong Le, Hiep Ngoc Luu, Dinh Dinh Do, Trung-Anh Nguyen and Toan Canh Pham

The North American Journal of Economics and Finance, 2025, vol. 79, issue C

Abstract: This paper investigates the extent of connectedness between uncertainty around CBDC adoption and stablecoins. First, by employing the QVAR framework, we assess how the dynamic connectedness between CBDC uncertainty and stablecoins switches across a broad spectrum of uncertainty conditions. Next, we turn to the indirect linkage between stablecoins and CBDC uncertainty by examining the role of the latter as a driver of the connectedness in stablecoin trading activities. Results of the TVP-VAR framework and the quantile-on-quantile regression approach show that during the time of high market sentiment, investors tend to move away from diversification and reserve certain coin(s) instead.

Keywords: CBDC; Stablecoins; QVAR; TVP-VAR; Quantile-on-quantile regression (search for similar items in EconPapers)
JEL-codes: C58 E42 E58 G10 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:79:y:2025:i:c:s1062940825000853

DOI: 10.1016/j.najef.2025.102445

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