2024-10-27-国际清算银行-稳定币_货币市场基金与货币政策（英）_25页_1mb

Stablecoins, Money Market Funds and Monetary Policy Summary

Introduction and Overview

Stablecoins are cryptotokens pegged to a fiat currency, traditionally with their issuer holding short-term assets for backing. Analogous to money market funds (MMFs), stablecoins exhibit flight-to-quality dynamics during stress episodes, though being largely unregulated and lacking interest payments. This paper contrasts stablecoins and MMFs, finding distinct responses to crypto and monetary policy shocks.

Key Findings

1. Crypto Shocks:

   • Negative crypto shocks have no significant impact on traditional financial markets, including MMFs.
   • Crypto shocks negatively affect stablecoin market capitalization, particularly Tether and USDC (though Dai shows a unique dynamic).

2. Monetary Policy Shocks:

   • U.S. monetary policy shocks significantly influence both traditional markets ( affecting MMF assets and Treasury yields) and crypto markets (with a negative effect on stablecoins).
   • Prime MMFs see an increase in assets under management.
   • Stablecoins experience a significant decline in market capitalization following contractionary monetary policy shocks, with the effect persisting for over three months.

3. Differences:

   • The reaction to monetary policy tightening differs sharply: assets under management for prime MMFs rise, while stablecoin market capitalization falls.
   • Stablecoins appear not to function as safe-havens against either crypto or traditional financial shocks.

Methodology and Data

• Uses weekly data from Jan 2019 to July 2024 for crypto and financial markets.
• Constructs crypto shocks as the unforecastable component of the Bloomberg Galaxy Crypto Index using an elastic-net regression.
• Identifies U.S. monetary policy shocks from 3-month Treasury future yields.
• Employs local projections with impulse response functions to analyze the dynamic responses of relevant variables.

Conclusion

The study highlights that stablecoins and MMFs react differently to shocks. While crypto shocks primarily impact stablecoin supply, U.S. monetary policy plays a crucial role in stablecoin market development, driving outflows during tightening. Stablecoins lack clear evidence of being safe-havens, and monetary policy is the key link connecting crypto and traditional financial markets, particularly for the U.S. dollar.