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Stablecoins as a crypto safe haven? Not all of them!

Eduard Baumohl () and Tomáš Výrost ()

EconStor Preprints from ZBW - Leibniz Information Centre for Economics

Abstract: We test the safe haven properties of the largest stablecoins (USDT, USDC, TUSD, PAX, DAI, GUSD) against the standard “nonstable” coins (BTC, ETH, XRP, BCH, LTC). Our dataset comprises high-frequency 1-minute data calculated as volume-weighted averages across 18 exchanges where these cryptocurrencies are traded, thus capturing the entire price movement around the world. Using a quantile coherency cross-spectral measure, we find that only TUSD, PAX, and GUSD can serve as safe havens.

Keywords: cryptocurrencies; stablecoins; quantile dependence; cross-spectral analysis; diversification; safe haven (search for similar items in EconPapers)
JEL-codes: G11 G15 F31 (search for similar items in EconPapers)
Date: 2020
New Economics Papers: this item is included in nep-pay and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:esprep:215484

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