Stablecoins as a crypto safe haven? Not all of them!

We test the safe haven properties of the largest stablecoins (USDT, USDC, TUSD, PAX, DAI, GUSD) against the standard “nonstable” coins (BTC, ETH, XRP, BCH, LTC). Our dataset comprises high-frequency 1-minute data calculated as volume-weighted averages across 18 exchanges where these cryptocurrencies are traded, thus capturing the entire price movement around the world. Using a quantile coherency cross-spectral measure, we find that only TUSD, PAX, and GUSD can serve as safe havens.

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Year of publication:	2020
Authors:	Baumöhl, Eduard ; Vyrost, Tomas
Publisher:	Kiel, Hamburg : ZBW – Leibniz Information Centre for Economics
Subject:	cryptocurrencies \| stablecoins \| quantile dependence \| cross-spectral analysis \| diversification \| safe haven

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Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	hdl:10419/215484 [Handle] RePEc:zbw:esprep:215484 [RePEc]
Classification:	G11 - Portfolio Choice ; G15 - International Financial Markets ; F31 - Foreign Exchange
Source:	EconStor

Persistent link: https://www.econbiz.de/10012183194