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: F31 G11 G15 (search for similar items in EconPapers)
Date: 2020
New Economics Papers: this item is included in nep-pay and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/215484/1/S ... o%20safe%20haven.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:zbw:esprep:215484

Access Statistics for this paper

More papers in EconStor Preprints from ZBW - Leibniz Information Centre for Economics Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().