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On the stability of stablecoins

dc.contributor.authorGrobys, Klaus
dc.contributor.authorJunttila, Juha
dc.contributor.authorKolari, James W.
dc.contributor.authorSapkota, Niranjan
dc.date.accessioned2021-09-29T06:47:08Z
dc.date.available2021-09-29T06:47:08Z
dc.date.issued2021
dc.identifier.citationGrobys, K., Junttila, J., Kolari, J. W., & Sapkota, N. (2021). On the stability of stablecoins. <i>Journal of Empirical Finance</i>, <i>64</i>, 207-223. <a href="https://doi.org/10.1016/j.jempfin.2021.09.002" target="_blank">https://doi.org/10.1016/j.jempfin.2021.09.002</a>
dc.identifier.otherCONVID_101210425
dc.identifier.urihttps://jyx.jyu.fi/handle/123456789/77954
dc.description.abstractThis paper investigates the volatility processes of stablecoins and their potential stochastic interdependencies with Bitcoin volatility. We employ a novel approach to choose the optimal combination for the power law exponent and the minimum value for the volatilities bending the power law. Our results indicate that Bitcoin volatility is well-behaved in a statistical sense with a finite theoretical variance. Surprisingly, the volatilities of stablecoins are statistically unstable and contemporaneously respond to Bitcoin volatility. Also, whereas the volatilities of stablecoins are not Granger-causal for Bitcoin volatility, lagged Bitcoin volatility exhibits Granger-causal effects on the volatilities of stablecoins. We conclude that Bitcoin volatility is a fundamental factor that drives the volatilities of stablecoins.en
dc.format.mimetypeapplication/pdf
dc.language.isoeng
dc.publisherElsevier
dc.relation.ispartofseriesJournal of Empirical Finance
dc.rightsCC BY 4.0
dc.subject.otherBitcoin
dc.subject.otherfinancial technology
dc.subject.otherpower laws
dc.subject.otherspillovers
dc.subject.otherstablecoins
dc.titleOn the stability of stablecoins
dc.typeresearch article
dc.identifier.urnURN:NBN:fi:jyu-202109295019
dc.contributor.laitosKauppakorkeakoulufi
dc.contributor.laitosSchool of Business and Economicsen
dc.contributor.oppiaineResurssiviisausyhteisöfi
dc.contributor.oppiaineTaloustiedefi
dc.contributor.oppiainePäätöksentekoa tukeva taloustiede ja talouden kilpailukyky (painoala)fi
dc.contributor.oppiaineJyväskylä International Macro & Financefi
dc.contributor.oppiaineBasic or discovery scholarshipfi
dc.contributor.oppiaineSchool of Resource Wisdomen
dc.contributor.oppiaineEconomicsen
dc.contributor.oppiainePolicy-Relevant Economics and Competitiveness of Economy (focus area)en
dc.contributor.oppiaineJyväskylä International Macro & Financeen
dc.contributor.oppiaineBasic or discovery scholarshipen
dc.type.urihttp://purl.org/eprint/type/JournalArticle
dc.type.coarhttp://purl.org/coar/resource_type/c_2df8fbb1
dc.description.reviewstatuspeerReviewed
dc.format.pagerange207-223
dc.relation.issn0927-5398
dc.relation.volume64
dc.type.versionpublishedVersion
dc.rights.copyright© 2021 The Author(s). Published by Elsevier B.V.
dc.rights.accesslevelopenAccessfi
dc.type.publicationarticle
dc.subject.ysomarkkina-arvo
dc.subject.ysovirtuaalivaluutta
dc.subject.ysomarkkinat (taloustiede)
dc.subject.ysovolatiliteetti
dc.format.contentfulltext
jyx.subject.urihttp://www.yso.fi/onto/yso/p22006
jyx.subject.urihttp://www.yso.fi/onto/yso/p28873
jyx.subject.urihttp://www.yso.fi/onto/yso/p1865
jyx.subject.urihttp://www.yso.fi/onto/yso/p10771
dc.rights.urlhttps://creativecommons.org/licenses/by/4.0/
dc.relation.doi10.1016/j.jempfin.2021.09.002
dc.type.okmA1


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