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Cryptocurrencies and stablecoins: a high-frequency analysis

Author

Listed:
  • Emilio Barucci

    (Politecnico di Milano)

  • Giancarlo Giuffra Moncayo

    (Politecnico di Milano)

  • Daniele Marazzina

    (Politecnico di Milano)

Abstract

We analyze cryptoasset markets (cryptocurrencies and stablecoins) at high frequency. We investigate intraday patterns. We show that Tether plays a crucial role as a safe haven and/or store of value facilitating trading in cryptocurrencies without going through traditional currencies. Markets centered on cryptocurrencies and stablecoins play a primary role aggregating preference/technology shocks and heterogeneous opinions, instead markets centered on the US dollar play a marginal role on price formation.

Suggested Citation

  • Emilio Barucci & Giancarlo Giuffra Moncayo & Daniele Marazzina, 2022. "Cryptocurrencies and stablecoins: a high-frequency analysis," Digital Finance, Springer, vol. 4(2), pages 217-239, September.
    • Handle: RePEc:spr:digfin:v:4:y:2022:i:2:d:10.1007_s42521-022-00055-9
    DOI: 10.1007/s42521-022-00055-9
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    More about this item

    Keywords

    Stablecoin; Cryptocurrency; Intraday; Time series;
    All these keywords.

    JEL classification:

    • E41 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Demand for Money
    • E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General

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