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

Author

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

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.

Suggested Citation

  • Le, Thai Hong & Luu, Hiep Ngoc & Do, Dinh Dinh & Nguyen, Trung-Anh & Pham, Toan Canh, 2025. "On the connectedness between the uncertainty of central bank digital currency adoption and stablecoins," The North American Journal of Economics and Finance, Elsevier, vol. 79(C).
    • Handle: RePEc:eee:ecofin:v:79:y:2025:i:c:s1062940825000853
    DOI: 10.1016/j.najef.2025.102445
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    Keywords

    CBDC; Stablecoins; QVAR; TVP-VAR; Quantile-on-quantile regression;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • E42 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Monetary Sytsems; Standards; Regimes; Government and the Monetary System
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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