Stablecoins, Risk Transmission and Systemic Reconfiguration in a Fragmented USD Access System: Evidence from Quantile Time-Frequency Analysis

In high-inflation economies, stablecoins are increasingly becoming infrastructural channels through which households and firms access U.S.-dollar value outside traditional financial arrangements. We study Argentina as a fragmented USD access system composed of a regulated official channel, an informal parallel channel (the Blue Dollar), and platform-based USDT channels on Binance and Bitso. Using a quantile time-frequency connectedness framework, we estimate reduced-form dynamic dependence and spillover patterns across these interdependent subsystems under normal and extreme market states and across short- and long-term horizons. Four main findings emerge. First, system-wide connectedness is dominated by short-term transmission and rises sharply during policy regime transitions, particularly around the relaxation of capital controls. Second, under normal conditions, stablecoin markets behave as early-moving net spillover transmitters, whereas the Blue Dollar and the official rate primarily absorb shocks. Third, connectedness exhibits a symmetric U-shaped pattern across quantiles, indicating that tail events intensify cross-channel dependence regardless of shock direction. Fourth, under upper-tail extreme market states, the official rate becomes a net transmitter in the long-term frequency band, implying that major devaluation episodes can temporarily reconfigure the system’s transmission architecture, even though stablecoin channels remain important in overall connectedness. These findings should be interpreted as evidence of dynamic dependence rather than structural causality. They suggest that digital dollarization does not simply add another trading venue; it increases boundary permeability, reshapes information hierarchy, and changes the monitoring problem faced by authorities in fragmented financial systems.