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—vs. $1.00 target
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.
TABLE 1 · MODEL ESTIMATES
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
Selected-model coefficient estimates
dt = α + φ1dt−1 + … + φpdt−p + εt
dt = (Pt − 1) × 10,000 bp. Common order minimizes pooled information criterion across both assets.
Table 1. Conditional autoregressive estimates for the selected asset. * p < .10 · ** p < .05 · *** p < .001
| Term | OLS estimate | 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; stars mark p < .10, p < .05, and p < .001. Bayesian 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.
04 / LONG-HORIZON PROJECTION
Peg deviation · 90-day projection
Forecast is calculated after model estimation.
Observed series + selected AR(p) conditional meanShading: expanding residual-scale interval