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Research / Peg dynamics / USDC
EMPIRICAL FINANCE · DAILY FREQUENCY
Peg dynamics & stress analysis
Estimate mean reversion from observed market prices. Explore conditional shocks without assuming unobserved reserve data.
Scope: Market-price and supply observations only. Selected AR(p) estimates describe historical peg dynamics; scenario shocks are conditional, not forecasts or causal effects. Reserve coverage is not inferred from market capitalization.
SAMPLE WINDOW
—CIRCULATING SUPPLY i
—reported market circulation
MEAN ABS. DEVIATION
—basis points from par
COMMON AR ORDER
—pooled BIC · USDC + USDT
01 / OBSERVED SERIES
Market price relative to par
Price deviation (bp)Par
USDCLast 90 days Observed
Deviation = (market price − $1) × 10,000 bpSource: DeFiLlama / CoinGecko
02 / MODEL SELECTION & ESTIMATION
Common autoregressive dynamics
dt = α + φ1dt−1 + … + φpdt−p + εt
dt = (Pt − 1) × 10,000 bp. Common order minimizes pooled information criterion across both assets.
| Term | OLS | HAC s.e. | Bayes mean | 95% credible interval |
|---|---|---|---|---|
| Waiting for USDC + USDT observations | ||||
USDC observations—
USDT observations—
Pooled criterion—
Residual σ—
Model diagnostics will appear when both samples are loaded.
| Order | USDC BIC | USDT BIC | Pooled ΔBIC | USDC AICc | USDT AICc |
|---|---|---|---|---|---|
| Awaiting data | |||||
OLS/HAC p-values use a normal approximation. Bayesian estimates use a Normal–Inverse-Gamma prior with weakly informative lag shrinkage; intervals are approximate marginal 95% credible intervals. Selection is in-sample, not a claim of structural truth.
03 / CONDITIONAL EXPERIMENT
Shock-response calculator
Apply an explicit price shock to the fitted selected-order AR process. Redemption intensity is a separate scale input; it is not estimated as a causal effect.
−200 bp+100 bp
0%25%
1 day30 days
0σ4σ
CONDITIONAL PRICE AT HORIZON—
ILLUSTRATIVE REDEMPTION AMOUNT—
MODEL-IMPLIED RECOVERY—
Load data to calculate a conditional path. Bands use residual standard deviation, not a prediction interval.
DATA AUDIT
Series & provenance
Selected assetUSDC · USD Coin
Price sourceDeFiLlama (CoinGecko)
Supply sourceDeFiLlama stablecoins API
FrequencyDaily · UTC
Missing rows dropped—
Data retrievalIn progress
CSV import format: date,price,supply. Supply is in USD units. Import replaces the active sample in this browser session.
INTERPRETATION
What this model can test
- How quickly observed price deviations mean-revert in the selected sample.
- How a specified price shock decays under the fitted selected-order AR process.
- How observed supply and peg prices differ between USDC and USDT.
Not identified here: reserve liquidity, redemption queues, arbitrage access, or causal run dynamics. Add verified issuer-level reserve and redemption data before estimating those channels.
04 / RESEARCH DESIGN
Mechanism map & references
Model choice. Lyons and Viswanath-Natraj (2020) study peg-deviation persistence and arbitrage, motivating explicit lag-order comparison and half-life reporting. We select a common AR order by pooled information criterion rather than fixing AR(1) or AR(4). Identification boundary. Run, cash-buffer, and fire-sale papers motivate the scenario vocabulary, but price and supply alone cannot identify redemption access, reserve liquidity, or causal run channels; those mechanisms remain outside the estimated equation.
References (APA style)
- Ahmed, R., Clouse, J. A., Natalucci, F., Rebucci, A., & Sun, G. (2025). Stablecoins: A revolutionary payment technology with financial risks (NBER Working Paper No. 34475).
- Bernardo, A. E., & Welch, I. (2004). Liquidity and financial market runs. Quarterly Journal of Economics, 119(1), 135–158. NBER WP 9251.
- Bordo, M. D., & Wilkins, C. (2026). Money and power: Historical lessons for stablecoins and U.S. dollar dominance (NBER Working Paper No. 35768).
- Chernenko, S., & Sunderam, A. (2016). Liquidity transformation in asset management: Evidence from the cash holdings of mutual funds (NBER Working Paper No. 22391).
- Covitz, D., Liang, N., & Suarez, G. A. (2009). When safe proved risky: Commercial paper during the financial crisis of 2007–2009 (NBER Working Paper No. 15538).
- Gorton, G. B., Klee, E. C., Ross, C. P., Ross, S. Y., & Vardoulakis, A. (2022). Leverage and stablecoin pegs (NBER Working Paper No. 30796).
- Hortaçsu, A., & Yoo, Y. (2026). When cash wakes up: Inertia in institutional money market funds and the potential effects of AI disruption (NBER Working Paper No. 35954).
- Lyons, R. K., & Viswanath-Natraj, G. (2020). What keeps stablecoins stable? (NBER Working Paper No. 27136).
- Ma, Y., Zeng, Y., & Zhang, A. L. (2025). Stablecoin runs and the centralization of arbitrage (NBER Working Paper No. 33882).
- Shleifer, A., & Vishny, R. W. (2011). Fire sales in finance and macroeconomics. Journal of Economic Perspectives, 25(1), 29–48. NBER WP 16642.