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Extremely stablecoins

Author

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  • Fernandez-Mejia, Julian

Abstract

In this research, I explore the factors driving extreme fluctuations in stablecoin prices concerning financial and cryptocurrency market indices. Through quantile models, I reveal the directional predictability of diverse financial variables, capturing extreme price variations and return distribution fluctuations. The outcomes highlight asymmetric pricing reactions and the impact of stablecoin stability mechanisms. The varying effects observed in stablecoin and cryptocurrency behavior imply a broader market link and potential fragility. Notably, intermediary constraints and stablecoin liquidity exhibit predictive power for subsequent price shifts in both tails, providing insights into the complex dynamics within cryptocurrency and stablecoin markets.

Suggested Citation

  • Fernandez-Mejia, Julian, 2024. "Extremely stablecoins," Finance Research Letters, Elsevier, vol. 63(C).
    • Handle: RePEc:eee:finlet:v:63:y:2024:i:c:s1544612324002988
    DOI: 10.1016/j.frl.2024.105268
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    References listed on IDEAS

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    1. Matsushita, Raul & Nobre, Iuri & Da Silva, Sergio, 2026. "Beyond volatility: Using differential entropy to detect financial market regimes," Chaos, Solitons & Fractals, Elsevier, vol. 202(P2).

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    Keywords

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    JEL classification:

    • C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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