讲座题目：The Crumbling Wall between Crypto and Noncrypto Markets: Risk Transmission through Stablecoins
The crypto and noncrypto markets used to be separated from each other. We argue that with the rapid development of stablecoins since 2018, risks are now transmitted between the crypto and noncrypto markets through stablecoins, which are both pegged to noncrypto assets and play a central role in crypto trading. Applying copula-based CoVaR approaches, we find significant risk spillovers between stablecoins and cryptocurrencies as well as between stablecoins and noncrypto markets, which could help explain the tail dependency between the crypto and noncrypto markets from 2019 to 2021. We also document that the risk spillovers through stablecoins are asymmetric—stronger in the direction from the US dollar to the crypto market than vice versa—which suggests the crypto market is re-dollarizing. Further analyses consider alternative explanations, such as the COVID-19 pandemic and institutional crypto holdings, and determine that the primary channels of risk transmission are stablecoins’US dollar peg to the noncrypto market and their transaction-medium function in the crypto ecosystem. Our results have important implications for financial stability and shed light on the future of stablecoin regulation.
纪洋，厦门大学经济学院金融系副教授，博士生导师，北京大学数字金融研究中心特约研究员。2017年于北京大学国家发展研究院中国经济研究中心（CCER）获经济学博士学位。研究方向为金融改革、数字金融等。在Journal of Banking and Finance、Finance Research Letters、China and World Economy、《经济研究》、《管理世界》、《经济学（季刊）》、《金融研究》、《世界经济》发表文章数十篇，担任多个期刊匿名审稿人。获2018年浦山政策研究奖。2021年入选国家级青年人才项目。