Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/215484
Authors: 
Baumöhl, Eduard
Vyrost, Tomas
Year of Publication: 
2020
Abstract: 
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.
Subjects: 
cryptocurrencies
stablecoins
quantile dependence
cross-spectral analysis
diversification
safe haven
JEL: 
G11
G15
F31
Document Type: 
Working Paper

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