Stablecoin: A Story of (In)Stabilities and Co-Movements Written Through Wavelet
Abstract
1. Introduction
2. Literature Review
3. Methodology
3.1. Data
3.2. Wavelet Analysis
4. Result Analysis
4.1. Descriptive Statistics
4.2. The History of the (In)Stabilities
4.3. The History of the Co-Movements of the (In)Stabilities
5. Conclusions
Author Contributions
Funding
Institutional Review Board Statement
Informed Consent Statement
Data Availability Statement
Conflicts of Interest
Appendix A
1 | On 22 April 2021, Coinbase announced it would list USDT (Tether) on its exchange. This was a notable development, as Coinbase is one of the largest and most prominent cryptocurrency exchanges in the United States. Available online: https://www.coinbase.com/pt-pt/blog/tether-usdt-is-launching-on-coinbase-pro (accessed on 20 July 2024). |
2 | Government sets out plan to make UK a global cryptoasset technology hub. Available online: https://www.gov.uk/government/news/government-sets-out-plan-to-make-uk-a-global-cryptoasset-technology-hub (accessed on 20 July 2024). |
3 | SEC says FTX auditor did not understand the crypto market. Available online: https://www.ft.com/content/ad04330b-4252-45d3-a7f9-b60a9d930081 (accessed on 2 October 2024). |
4 | Terraform Labs and Do Kwon found liable for fraud in SEC case. Available online: https://www.ft.com/content/e180b713-21db-49df-ac56-bfb019af920b (accessed on 2 October 2024). |
5 | Iron Finance bank run stings investors—A lesson for all stablecoins? Available online: https://cointelegraph.com/news/iron-finance-bank-run-stings-investors-a-lesson-for-all-stablecoins (accessed on 2 October 2024). |
6 | The collapse of FTX—Lessons and implications for stakeholders in the crypto industry. Available online: https://assets.kpmg.com/content/dam/kpmg/sg/pdf/2022/12/the-collapse-of-ftx-1.pdf (accessed on 2 October 2024). |
7 | California regulator cites social media, digital banking as key factors in Silicon Valley Bank’s failure. Available online: https://www.latimes.com/business/story/2023-05-08/california-regulator-cites-social-media-digital-banking-as-key-factors-in-silicon-valley-banks-failure (accessed on 2 October 2024). |
8 | Here’s What On-Chain Data Tells Us About Crypto’s Reaction to the Demise of Silicon Valley Bank And Its Impact on USDC. Available online: https://www.chainalysis.com/blog/crypto-market-usdc-silicon-valley-bank/ (accessed on 2 October 2024). |
9 | Data was collected from coinmarketcap.com on 20 July 2024. |
10 | WHO Director-General’s opening remarks at the media briefing on COVID-19—11 March 2020. Available online: https://www.who.int/director-general/speeches/detail/who-director-general-s-opening-remarks-at-the-media-briefing-on-covid-19---11-march-2020 (accessed on 17 December 2024). |
11 | The history of a DAI at par value: What can we learn from it? Available online: https://cryptobanking.network/the-history-of-a-dai-at-par-value/ (accessed on 17 December 2024). |
12 | Binance to delist several TrueUSD trading pairs. https://cointelegraph.com/news/binance-trueusd-stablecoin-trading-pair-delisting (accessed on 17 December 2024). |
13 | Several studies use different time intervals to determine the period of COVID (Costa et al., 2022; Shang et al., 2023). |
14 | Full mathematical definitions, derivations, and parameter choices for the Continuous Wavelet Transform (CWT), WPS, WC, and WCPD are provided in Appendix A. |
15 | https://coinmarketcap.com/currencies/trueusd/ (accessed on 2 October 2024). |
16 | Fifth largest stablecoin TrueUsd extends drop after losing peg. Available online: https://www.bloomberg.com/news/articles/2024-01-18/fifth-largest-stablecoin-trueusd-extends-drop-after-losing-peg?embedded-checkout=true (accessed on 2 October 2024). |
17 | “TUSD saw some volatility in its secondary market prices in early 2024 following large redemptions. There is no information about what caused this” (p. 4). Source: S&P Global Ratings—Stablecoin Stability Assessment: TrueUSD (TUSD). Available online: https://www.spglobal.com/_assets/documents/ratings/research/101608839.pdf (accessed on 17 December 2024). |
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DAI | TUSD | USDC | USDT | |||||
---|---|---|---|---|---|---|---|---|
Pre-Listing | Post-Listing | Pre-Listing | Post-Listing | Pre-Listing | Post-Listing | Pre-Listing | Post-Listing | |
Min | −8.64 | −2.51 | −4.97 | −1.88 | −3.65 | −2.80 | −5.12 | −0.392 |
Q1 | −0.277 | −0.0308 | −0.0900 | −0.0361 | −0.0768 | −0.0117 | −0.0889 | −0.0145 |
Median | −0.00769 | −0.00120 | 0.00450 | −0.00135 | 0.00130 | 0.0000983 | −0.00435 | −0.000402 |
Q3 | 0.228 | 0.0298 | 0.0988 | 0.0309 | 0.0795 | 0.0125 | 0.104 | 0.0121 |
Max | 6.76 | 1.92 | 4.67 | 4.14 | 4.34 | 2.12 | 5.48 | 0.463 |
Mean | 0.00592 | 0.000108 | 0.000616 | −0.00002 | 0.000402 | 0.0000432 | 0.00124 | −0.000122 |
SD | 1.09 | 0.155 | 0.469 | 0.175 | 0.497 | 0.110 | 0.495 | 0.0417 |
Skewness | −0.3565 | −1.0420 | −0.1863 | 10.5887 | 1.1795 | −7.8865 | 0.7472 | 0.4582 |
Kurtosis | 17.6437 | 108.6019 | 53.0141 | 285.8186 | 29.6504 | 485.2044 | 61.2228 | 29.0177 |
Observations | 476 | 1166 | 476 | 1166 | 476 | 1166 | 476 | 1166 |
F-Statistic | 49.576099 | 7.157217 | 20.545065 | 141.103966 | ||||
p-Value | 0.000 | 0.000 | 0.000 | 0.000 |
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Moura de Carvalho, R.; Inácio, H.C.; Marques, R.P. Stablecoin: A Story of (In)Stabilities and Co-Movements Written Through Wavelet. J. Risk Financial Manag. 2025, 18, 20. https://doi.org/10.3390/jrfm18010020
Moura de Carvalho R, Inácio HC, Marques RP. Stablecoin: A Story of (In)Stabilities and Co-Movements Written Through Wavelet. Journal of Risk and Financial Management. 2025; 18(1):20. https://doi.org/10.3390/jrfm18010020
Chicago/Turabian StyleMoura de Carvalho, Rubens, Helena Coelho Inácio, and Rui Pedro Marques. 2025. "Stablecoin: A Story of (In)Stabilities and Co-Movements Written Through Wavelet" Journal of Risk and Financial Management 18, no. 1: 20. https://doi.org/10.3390/jrfm18010020
APA StyleMoura de Carvalho, R., Inácio, H. C., & Marques, R. P. (2025). Stablecoin: A Story of (In)Stabilities and Co-Movements Written Through Wavelet. Journal of Risk and Financial Management, 18(1), 20. https://doi.org/10.3390/jrfm18010020