CLAIMBOUND / SOURCE-PUBLICATION EVIDENCE
Stablecoins
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1. BIS Working Papers No 1164: Public information and stablecoin runs · PDF page 5
Narrow public claim
Conversely, when priors about reserve quality are strong (which arises in the absence of severe pressure on the peg in previous periods), transparency can reduce run risk.
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The exact quoted statement occurred in the named official PDF fetched on 2026-08-17, and the complete PDF matched the recorded SHA-256.
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It does not independently establish the underlying model capability, safety, comparison, or real-world truth. This is a retrospective single-maintainer source-publication audit.
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- BIS Working Papers No 1164: Public information and stablecoin runs
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Conversely, when priors about reserve quality are strong (which arises in the absence of severe pressure on the peg in previous periods), transparency can reduce run risk.
2. BIS Working Papers No 1164: Public information and stablecoin runs · PDF page 5
Narrow public claim
Drawing on several case studies and using a synthetic control approach to address endogeneity concerns, we find empirical support for the implications of the model.
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The exact quoted statement occurred in the named official PDF fetched on 2026-08-17, and the complete PDF matched the recorded SHA-256.
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Drawing on several case studies and using a synthetic control approach to address endogeneity concerns, we find empirical support for the implications of the model.
3. BIS Working Papers No 1164: Public information and stablecoin runs · PDF page 6
Narrow public claim
The breaking of par convertibility can be avoided when a sufficiently small proportion of stablecoin holders demand conversion.
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The exact quoted statement occurred in the named official PDF fetched on 2026-08-17, and the complete PDF matched the recorded SHA-256.
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The breaking of par convertibility can be avoided when a sufficiently small proportion of stablecoin holders demand conversion.
4. BIS Working Papers No 1164: Public information and stablecoin runs · PDF page 6
Narrow public claim
Stablecoin issuers vary in the type of reserves they hold: fiat-denominated instruments, commodities and other crypto assets, including other stablecoins.4 We present an environ ment that can accommodate this variety, where the volatility of reserve assets is not known Stolper, 2016), and financial crises (Bebchuk and Goldstein, 2011).
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The exact quoted statement occurred in the named official PDF fetched on 2026-08-17, and the complete PDF matched the recorded SHA-256.
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- BIS Working Papers No 1164: Public information and stablecoin runs
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PDF page 6- Captured
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Stablecoin issuers vary in the type of reserves they hold: fiat-denominated instruments, commodities and other crypto assets, including other stablecoins.4 We present an environ ment that can accommodate this variety, where the volatility of reserve assets is not known Stolper, 2016), and financial crises (Bebchuk and Goldstein, 2011).
5. BIS Working Papers No 1164: Public information and stablecoin runs · PDF page 7
Narrow public claim
Importantly, whereas the thin-tailed global game predicts runs whenever collateral value drops below a threshold level, the fat-tailed global game requires both a fall in collateral value below a threshold and a sufficiently large change relative to previous periods to make running a uniquely rationalizable response by stablecoin holders.
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The exact quoted statement occurred in the named official PDF fetched on 2026-08-17, and the complete PDF matched the recorded SHA-256.
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- BIS Working Papers No 1164: Public information and stablecoin runs
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PDF page 7- Captured
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Importantly, whereas the thin-tailed global game predicts runs whenever collateral value drops below a threshold level, the fat-tailed global game requires both a fall in collateral value below a threshold and a sufficiently large change relative to previous periods to make running a uniquely rationalizable response by stablecoin holders.
6. BIS Working Papers No 1164: Public information and stablecoin runs · PDF page 7
Narrow public claim
Greater transparency can lead to increased run risk whenever stablecoin holders have sufficiently low priors about reserve assets to begin with.
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The exact quoted statement occurred in the named official PDF fetched on 2026-08-17, and the complete PDF matched the recorded SHA-256.
What this card does not prove
It does not independently establish the underlying model capability, safety, comparison, or real-world truth. This is a retrospective single-maintainer source-publication audit.
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- BIS Working Papers No 1164: Public information and stablecoin runs
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PDF page 7- Captured
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Greater transparency can lead to increased run risk whenever stablecoin holders have sufficiently low priors about reserve assets to begin with.
7. BIS Working Papers No 1164: Public information and stablecoin runs · PDF page 8
Narrow public claim
Second, we zoom in on Tether’s peg stability before and after the February 28 and March 30 2021 attestation report releases, the first such reports after two and a half years without any disclosure on reserves and the only time where two such reports were released in two consecutive months.
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The exact quoted statement occurred in the named official PDF fetched on 2026-08-17, and the complete PDF matched the recorded SHA-256.
What this card does not prove
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- BIS Working Papers No 1164: Public information and stablecoin runs
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PDF page 8- Captured
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Second, we zoom in on Tether’s peg stability before and after the February 28 and March 30 2021 attestation report releases, the first such reports after two and a half years without any disclosure on reserves and the only time where two such reports were released in two consecutive months.
8. BIS Working Papers No 1164: Public information and stablecoin runs · PDF page 8
Narrow public claim
First,giventheywerethefirstaftera 5We carefully select these control units such that they are likely to impact the price stability of the treated stablecoin but unlikely to be themselves affected by the policies or conditions of the treated stablecoin.
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The exact quoted statement occurred in the named official PDF fetched on 2026-08-17, and the complete PDF matched the recorded SHA-256.
What this card does not prove
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- BIS Working Papers No 1164: Public information and stablecoin runs
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PDF page 8- Captured
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First,giventheywerethefirstaftera 5We carefully select these control units such that they are likely to impact the price stability of the treated stablecoin but unlikely to be themselves affected by the policies or conditions of the treated stablecoin.
9. BIS Working Papers No 1164: Public information and stablecoin runs · PDF page 9
Narrow public claim
Frax is a crypto-collateralized stablecoin, which among other cryptocurrencies held USDC as collateral going into March 2023.
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The exact quoted statement occurred in the named official PDF fetched on 2026-08-17, and the complete PDF matched the recorded SHA-256.
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- BIS Working Papers No 1164: Public information and stablecoin runs
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PDF page 9- Captured
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Frax is a crypto-collateralized stablecoin, which among other cryptocurrencies held USDC as collateral going into March 2023.
10. BIS Working Papers No 1164: Public information and stablecoin runs · PDF page 9
Narrow public claim
These findings help rationalize the May 2021 UST depegging event (consistent with the resilience effect) as well as the final collapse in May 2022 (consistent with the change effect).
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The exact quoted statement occurred in the named official PDF fetched on 2026-08-17, and the complete PDF matched the recorded SHA-256.
What this card does not prove
It does not independently establish the underlying model capability, safety, comparison, or real-world truth. This is a retrospective single-maintainer source-publication audit.
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- BIS Working Papers No 1164: Public information and stablecoin runs
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PDF page 9- Captured
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These findings help rationalize the May 2021 UST depegging event (consistent with the resilience effect) as well as the final collapse in May 2022 (consistent with the change effect).
11. BIS Working Papers No 1164: Public information and stablecoin runs · PDF page 10
Narrow public claim
We consider how (i) the quality of issuers’ reserve assets and (ii) public information about these assets change both stablecoin exposure to run risk and the type of global game being played among stablecoin holders.
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The exact quoted statement occurred in the named official PDF fetched on 2026-08-17, and the complete PDF matched the recorded SHA-256.
What this card does not prove
It does not independently establish the underlying model capability, safety, comparison, or real-world truth. This is a retrospective single-maintainer source-publication audit.
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- BIS Working Papers No 1164: Public information and stablecoin runs
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PDF page 10- Captured
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We consider how (i) the quality of issuers’ reserve assets and (ii) public information about these assets change both stablecoin exposure to run risk and the type of global game being played among stablecoin holders.
12. BIS Working Papers No 1164: Public information and stablecoin runs · PDF page 10
Narrow public claim
We provide a stylized setting that allows us to speak to various stablecoin arrangements by providing a general model of global games that nests the most standard type used in much of the literature on stablecoins.
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The exact quoted statement occurred in the named official PDF fetched on 2026-08-17, and the complete PDF matched the recorded SHA-256.
What this card does not prove
It does not independently establish the underlying model capability, safety, comparison, or real-world truth. This is a retrospective single-maintainer source-publication audit.
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- BIS Working Papers No 1164: Public information and stablecoin runs
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PDF page 10- Captured
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We provide a stylized setting that allows us to speak to various stablecoin arrangements by providing a general model of global games that nests the most standard type used in much of the literature on stablecoins.
13. BIS Working Papers No 1164: Public information and stablecoin runs · PDF page 11
Narrow public claim
Instead, our focus is on how these factors may affect run dynamics for a given design, explicitly featuring coordination, strategic uncer taintyandequilibriumselection.
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PDF page 11- Captured
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Instead, our focus is on how these factors may affect run dynamics for a given design, explicitly featuring coordination, strategic uncer taintyandequilibriumselection.
14. BIS Working Papers No 1164: Public information and stablecoin runs · PDF page 11
Narrow public claim
Klages-Mundt and Minca (2021, 2022) provide early studies of deleveraging spirals and stablecoin runs within the computer science literature.
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PDF page 11- Captured
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Klages-Mundt and Minca (2021, 2022) provide early studies of deleveraging spirals and stablecoin runs within the computer science literature.
15. BIS Working Papers No 1164: Public information and stablecoin runs · PDF page 12
Narrow public claim
Bertsch (2023) uses a first generation regime change global game to capture stablecoin fragility stemming from concerns about the quality of the issuer’s assets, giving rise to run risk; this is the same fragility we are concerned with.
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The exact quoted statement occurred in the named official PDF fetched on 2026-08-17, and the complete PDF matched the recorded SHA-256.
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PDF page 12- Captured
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Bertsch (2023) uses a first generation regime change global game to capture stablecoin fragility stemming from concerns about the quality of the issuer’s assets, giving rise to run risk; this is the same fragility we are concerned with.
16. BIS Working Papers No 1164: Public information and stablecoin runs · PDF page 12
Narrow public claim
Bertsch (2023) endogenizes the liability side of the stablecoin issuer’s balance sheet ex ante, before the issuer is exposed to run risk.
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PDF page 12- Captured
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Bertsch (2023) endogenizes the liability side of the stablecoin issuer’s balance sheet ex ante, before the issuer is exposed to run risk.
17. BIS Working Papers No 1164: Public information and stablecoin runs · PDF page 13
Narrow public claim
Moreover, investors in their model may learn about the proportion of safe assets only from issuer disclosures but do not study the implications of this theoretically (rather, it is posed as an empirical challenge).
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The exact quoted statement occurred in the named official PDF fetched on 2026-08-17, and the complete PDF matched the recorded SHA-256.
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PDF page 13- Captured
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Moreover, investors in their model may learn about the proportion of safe assets only from issuer disclosures but do not study the implications of this theoretically (rather, it is posed as an empirical challenge).
18. BIS Working Papers No 1164: Public information and stablecoin runs · PDF page 13
Narrow public claim
The interaction between the precision of public information and run risk is well estab lished in the global games literature (Ahnert and Kakhbod, 2017; Metz, 2003; Prati and Sbracia, 2010; Szkup and Trevino, 2015).
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PDF page 13- Captured
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The interaction between the precision of public information and run risk is well estab lished in the global games literature (Ahnert and Kakhbod, 2017; Metz, 2003; Prati and Sbracia, 2010; Szkup and Trevino, 2015).
19. BIS Working Papers No 1164: Public information and stablecoin runs · PDF page 14
Narrow public claim
(2023).13 Stablecoins are backed by a vector of reserve assets with a combined dollar value θ.
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PDF page 14- Captured
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(2023).13 Stablecoins are backed by a vector of reserve assets with a combined dollar value θ.
20. BIS Working Papers No 1164: Public information and stablecoin runs · PDF page 14
Narrow public claim
14Our model can easily accommodate an analysis of the effect of increasing the weight of low-risk assets in the reserve portfolio.
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PDF page 14- Captured
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14Our model can easily accommodate an analysis of the effect of increasing the weight of low-risk assets in the reserve portfolio.
21. BIS Working Papers No 1164: Public information and stablecoin runs · PDF page 15
Narrow public claim
An example of a function satisfying this condition is π(θ)=eθ+1, which suggests that SC holders receive at least their claim of $1 plus additional benefits from transacting in the crypto environment.
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The exact quoted statement occurred in the named official PDF fetched on 2026-08-17, and the complete PDF matched the recorded SHA-256.
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PDF page 15- Captured
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An example of a function satisfying this condition is π(θ)=eθ+1, which suggests that SC holders receive at least their claim of $1 plus additional benefits from transacting in the crypto environment.
22. BIS Working Papers No 1164: Public information and stablecoin runs · PDF page 15
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A well-defined dominance region is crucial for the uniqueness of a global game equilibrium, since it relies on iterative deletion of strictly dominated strategies (Milgrom and Roberts, 1990).
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A well-defined dominance region is crucial for the uniqueness of a global game equilibrium, since it relies on iterative deletion of strictly dominated strategies (Milgrom and Roberts, 1990).
23. BIS Working Papers No 1164: Public information and stablecoin runs · PDF page 16
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If they anticipate A≤θ, it is a best response to maintain their holding (since π(θ)>1−2τ).
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If they anticipate A≤θ, it is a best response to maintain their holding (since π(θ)>1−2τ).
24. BIS Working Papers No 1164: Public information and stablecoin runs · PDF page 17
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The second term in equation (1) is an aggregated noise component that SC holders disentangle to form beliefs about fundamentals and the mass of aggregate withdrawals.
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The second term in equation (1) is an aggregated noise component that SC holders disentangle to form beliefs about fundamentals and the mass of aggregate withdrawals.
25. BIS Working Papers No 1164: Public information and stablecoin runs · PDF page 17
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20The inverse χ2 distribution is a conjugate prior for the variance of the normal distribution which forms a posterior student’s t-distribution over fundamentals.
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20The inverse χ2 distribution is a conjugate prior for the variance of the normal distribution which forms a posterior student’s t-distribution over fundamentals.
26. BIS Working Papers No 1164: Public information and stablecoin runs · PDF page 20
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We now focus on equilibrium shifts (i.e., when do we expect a run on stablecoin issuers and under what conditions can the peg be re-established?) and the role that sudden, large shocks to reserves play in such shifts.
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We now focus on equilibrium shifts (i.e., when do we expect a run on stablecoin issuers and under what conditions can the peg be re-established?) and the role that sudden, large shocks to reserves play in such shifts.
27. BIS Working Papers No 1164: Public information and stablecoin runs · PDF page 20
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26To be clear, we do not extend the model into a rich dynamic arrangement of the kind studied in d’Avernas et al.
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26To be clear, we do not extend the model into a rich dynamic arrangement of the kind studied in d’Avernas et al.
28. BIS Working Papers No 1164: Public information and stablecoin runs · PDF page 21
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Time is on the horizontal axis, whereas the vertical axis captures a sample path of fundamentals (value 27That is, common past observations of θ provide public information that SC holders use to learn about the population parameters governing the distribution of reserve assets.
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Time is on the horizontal axis, whereas the vertical axis captures a sample path of fundamentals (value 27That is, common past observations of θ provide public information that SC holders use to learn about the population parameters governing the distribution of reserve assets.
29. BIS Working Papers No 1164: Public information and stablecoin runs · PDF page 22
Narrow public claim
However, a large enough negative shock in the value of reserve assets, coupled with withdrawing becoming a p−dominant response for the median SC holder, causes a major ity of SC holders to run on the stablecoin and its price drops significantly.30 Subsequent increases in the value of reserve assets do not recover the peg as long as withdrawing re mainsp−dominantforthemedianSCholder.
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However, a large enough negative shock in the value of reserve assets, coupled with withdrawing becoming a p−dominant response for the median SC holder, causes a major ity of SC holders to run on the stablecoin and its price drops significantly.30 Subsequent increases in the value of reserve assets do not recover the peg as long as withdrawing re mainsp−dominantforthemedianSCholder.
30. BIS Working Papers No 1164: Public information and stablecoin runs · PDF page 27
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This is what distinguishes the effects of the quality of reserve assets on run riskfromtransparency overthecompositionofreserveassets.
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This is what distinguishes the effects of the quality of reserve assets on run riskfromtransparency overthecompositionofreserveassets.
31. BIS Working Papers No 1164: Public information and stablecoin runs · PDF page 27
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This difference may seem surprising, as it implies that issuers with more opaque reserve assetsaremoreresilienttosmallshocks, buttheinertiahasasimpleintuition.
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This difference may seem surprising, as it implies that issuers with more opaque reserve assetsaremoreresilienttosmallshocks, buttheinertiahasasimpleintuition.
32. BIS Working Papers No 1164: Public information and stablecoin runs · PDF page 28
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Weshowthatontheonehand, conditionalonmodeluncertaintyabout the reserve portfolio and that a run is not already occurring, lower transparency by the issuer lowers the tendency of SC holders to run on the issuer.
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Weshowthatontheonehand, conditionalonmodeluncertaintyabout the reserve portfolio and that a run is not already occurring, lower transparency by the issuer lowers the tendency of SC holders to run on the issuer.
33. BIS Working Papers No 1164: Public information and stablecoin runs · PDF page 30
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But unlike difference-in-differences, which requires multiple treated and control units, synthetic control techniques are designed for settings with just one treated unit such as ours.
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But unlike difference-in-differences, which requires multiple treated and control units, synthetic control techniques are designed for settings with just one treated unit such as ours.
34. BIS Working Papers No 1164: Public information and stablecoin runs · PDF page 30
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We therefore rely on data beyond stablecoins that are likely to be important determinants of stablecoin variabil ity to estimate our counterfactuals (see discussion below).33 Second, one advantage of our approach is that the relatively small number of covariates used to construct counterfactual predictions implies that the risk of overfitting the counterfactual estimate is much lower compared to a traditional synthetic control exercise, where the number of control units is large and often exceeds the number of observations.
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We therefore rely on data beyond stablecoins that are likely to be important determinants of stablecoin variabil ity to estimate our counterfactuals (see discussion below).33 Second, one advantage of our approach is that the relatively small number of covariates used to construct counterfactual predictions implies that the risk of overfitting the counterfactual estimate is much lower compared to a traditional synthetic control exercise, where the number of control units is large and often exceeds the number of observations.
35. BIS Working Papers No 1164: Public information and stablecoin runs · PDF page 32
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These exchange-level price data are also sourced from cryptocompare.com and the choice of exchange is based on coin-level exchange data quality and transparency.38 We also make use of daily market capitalization statistics for Tether, TerraUSD and Luna from Coingecko.
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These exchange-level price data are also sourced from cryptocompare.com and the choice of exchange is based on coin-level exchange data quality and transparency.38 We also make use of daily market capitalization statistics for Tether, TerraUSD and Luna from Coingecko.
36. BIS Working Papers No 1164: Public information and stablecoin runs · PDF page 32
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Data on conventional financial market variables are from FRED.39 38Figures 17 and 18 in Appendix C presents price series for the main cryptoassets considered.
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Data on conventional financial market variables are from FRED.39 38Figures 17 and 18 in Appendix C presents price series for the main cryptoassets considered.
37. BIS Working Papers No 1164: Public information and stablecoin runs · PDF page 33
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Our first case study uses minute-by-minute data around the large de-pegging event suffered byUSDCinMarch2023.
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Our first case study uses minute-by-minute data around the large de-pegging event suffered byUSDCinMarch2023.
38. BIS Working Papers No 1164: Public information and stablecoin runs · PDF page 33
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To assess this, we fit the dynamic regression specification described in equation (6), where USDC’s absolute peg deviations are modeled as a function of their own lag and the set of controls discussed above for which minute-frequency data are available: Tether’s absolute peg deviations, Bitcoin volatility and Ether volatility.
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To assess this, we fit the dynamic regression specification described in equation (6), where USDC’s absolute peg deviations are modeled as a function of their own lag and the set of controls discussed above for which minute-frequency data are available: Tether’s absolute peg deviations, Bitcoin volatility and Ether volatility.
39. BIS Working Papers No 1164: Public information and stablecoin runs · PDF page 35
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This occurred in the aftermath of a June 2018 audit report that was completed by a law firm, rather than a certified accounting firm.41 Concerns over whether Tether was fully backed by US dollars (as claimed by the issuer, without any supporting evidence) con tinued to fester and worries also rose regarding Tether’s relationship with Bitfinex and the possibleco-minglingofcustomerfunds.
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This occurred in the aftermath of a June 2018 audit report that was completed by a law firm, rather than a certified accounting firm.41 Concerns over whether Tether was fully backed by US dollars (as claimed by the issuer, without any supporting evidence) con tinued to fester and worries also rose regarding Tether’s relationship with Bitfinex and the possibleco-minglingofcustomerfunds.
40. BIS Working Papers No 1164: Public information and stablecoin runs · PDF page 35
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44The choice of treatment date is not clear-cut in this exercise because of the ongoing scrutiny over Tether’s reserve adequacy over this period.
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44The choice of treatment date is not clear-cut in this exercise because of the ongoing scrutiny over Tether’s reserve adequacy over this period.
41. BIS Working Papers No 1164: Public information and stablecoin runs · PDF page 37
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The earliest available attestation report of Tether’s reserves is dated June 1, 2018 by firm Free, Sporkin, and Sullivan LLP (see footnote 41 and preceding discussion).
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The earliest available attestation report of Tether’s reserves is dated June 1, 2018 by firm Free, Sporkin, and Sullivan LLP (see footnote 41 and preceding discussion).
42. BIS Working Papers No 1164: Public information and stablecoin runs · PDF page 37
Narrow public claim
This dry spell was broken when Moore (then Tether’s auditor) published attestations of Tether’s reserves on February 28, 2021 and then again on March 30, 2021 – the only period when Tether released audits in two consecutive months.45 We take advantage of this period to examine whether Tether’s peg stability was impacted by the first audit release after several years.
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This dry spell was broken when Moore (then Tether’s auditor) published attestations of Tether’s reserves on February 28, 2021 and then again on March 30, 2021 – the only period when Tether released audits in two consecutive months.45 We take advantage of this period to examine whether Tether’s peg stability was impacted by the first audit release after several years.
43. BIS Working Papers No 1164: Public information and stablecoin runs · PDF page 38
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Coun terfactual peg deviations were larger than actual peg deviations following the February 28 release, and the difference between them grew even larger following the March 31 release.
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Coun terfactual peg deviations were larger than actual peg deviations following the February 28 release, and the difference between them grew even larger following the March 31 release.
44. BIS Working Papers No 1164: Public information and stablecoin runs · PDF page 39
Narrow public claim
In particular, we fit the dynamic regression specification described in equation (6), where Frax’s hourly absolute peg deviations are modeled as a function of their own lag and the set of controls discussed above, for which hourly data are available: Tether’s absolute peg deviations, Bitcoin volatility and Ether volatility.
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In particular, we fit the dynamic regression specification described in equation (6), where Frax’s hourly absolute peg deviations are modeled as a function of their own lag and the set of controls discussed above, for which hourly data are available: Tether’s absolute peg deviations, Bitcoin volatility and Ether volatility.
45. BIS Working Papers No 1164: Public information and stablecoin runs · PDF page 40
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It is quite visible how Frax’s actual peg deviations rose significantly following the disclosure, while counterfactual peg deviations did not rise by nearly as much.
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It is quite visible how Frax’s actual peg deviations rose significantly following the disclosure, while counterfactual peg deviations did not rise by nearly as much.
46. BIS Working Papers No 1164: Public information and stablecoin runs · PDF page 40
Narrow public claim
Moreover, the difference between actual and counter factual average absolute peg deviations is statistically significant at the 1% level.
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Moreover, the difference between actual and counter factual average absolute peg deviations is statistically significant at the 1% level.
47. BIS Working Papers No 1164: Public information and stablecoin runs · PDF page 41
Narrow public claim
We define this difference as Terra’s “equity value”.47 For example, the 2021 episode when Terra equity values quickly approached zero was caused by the bursting of the cryptoasset bubble, with the price of Bitcoin falling 40% in a matter of days, bringing Luna’spricedownwithit.
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We define this difference as Terra’s “equity value”.47 For example, the 2021 episode when Terra equity values quickly approached zero was caused by the bursting of the cryptoasset bubble, with the price of Bitcoin falling 40% in a matter of days, bringing Luna’spricedownwithit.
48. BIS Working Papers No 1164: Public information and stablecoin runs · PDF page 41
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As a result, TerraUSD holders’ best guess of the variance of the reserve asset Luna is likely a function of Luna’s price return history, and this estimate can change over time with the arrival of new information.
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As a result, TerraUSD holders’ best guess of the variance of the reserve asset Luna is likely a function of Luna’s price return history, and this estimate can change over time with the arrival of new information.
49. BIS Working Papers No 1164: Public information and stablecoin runs · PDF page 45
Narrow public claim
Under an equity value of $15 billion, TerraUSD’s peg deviations would increase from $0.00013 to $0.0004.49 However, under an equity value of just $1 billion, TerraUSD peg deviations would rise from $0.0009 to $0.0026, a 29-fold increase.
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Under an equity value of $15 billion, TerraUSD’s peg deviations would increase from $0.00013 to $0.0004.49 However, under an equity value of just $1 billion, TerraUSD peg deviations would rise from $0.0009 to $0.0026, a 29-fold increase.
50. BIS Working Papers No 1164: Public information and stablecoin runs · PDF page 45
Narrow public claim
On May 12, 2022, TerraUSDbroke itspegandfellfrom $1to roughly $0.78andTerra’sequityvalue was wiped out.
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On May 12, 2022, TerraUSDbroke itspegandfellfrom $1to roughly $0.78andTerra’sequityvalue was wiped out.
51. BIS Working Papers No 1164: Public information and stablecoin runs · PDF page 46
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The model and empirical findings indicate that stablecoins are subject to run risk and can (and do) de-peg, failing on their promise of par convertibility.
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The model and empirical findings indicate that stablecoins are subject to run risk and can (and do) de-peg, failing on their promise of par convertibility.
52. BIS Working Papers No 1164: Public information and stablecoin runs · PDF page 46
Narrow public claim
These stability risks are connected to reserve adequacy, and perceptions thereof – inadequate or illiquid for some, non-existent for others such as algorithmic coins.
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These stability risks are connected to reserve adequacy, and perceptions thereof – inadequate or illiquid for some, non-existent for others such as algorithmic coins.
53. BIS Working Papers No 1164: Public information and stablecoin runs · PDF page 49
Narrow public claim
Gorton, Gary B, Elizabeth C Klee, Chase P Ross, Sharon Y Ross, and Alexandros P Var doulakis (2022) “Leverage and Stablecoin Pegs,”Technical report, National Bureau of Economic Research.
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Gorton, Gary B, Elizabeth C Klee, Chase P Ross, Sharon Y Ross, and Alexandros P Var doulakis (2022) “Leverage and Stablecoin Pegs,”Technical report, National Bureau of Economic Research.
54. BIS Working Papers No 1164: Public information and stablecoin runs · PDF page 49
Narrow public claim
Kosse, Anneke, Marc Glowka, Ilaria Mattei, and Tara Rice (2023) “Will the real stablecoin please stand up?,” BIS Papers No 141, November.
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Kosse, Anneke, Marc Glowka, Ilaria Mattei, and Tara Rice (2023) “Will the real stablecoin please stand up?,” BIS Papers No 141, November.
55. BIS Working Papers No 1164: Public information and stablecoin runs · PDF page 50
Narrow public claim
Mell, Peter and Dylan Yaga (2022) “Understanding Stablecoin Technology and Related Security Considerations,” NIST Internal Report 8408, National Institute of Standards and Technology (NIST).
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Mell, Peter and Dylan Yaga (2022) “Understanding Stablecoin Technology and Related Security Considerations,” NIST Internal Report 8408, National Institute of Standards and Technology (NIST).
56. BIS Working Papers No 1164: Public information and stablecoin runs · PDF page 51
Narrow public claim
Oefele, Nico, Dirk G Baur, and Lee A Smales (2023) “Are Stablecoins the Money Market Mutual Funds of the Future?,” Available at SSRN 4550177.
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Oefele, Nico, Dirk G Baur, and Lee A Smales (2023) “Are Stablecoins the Money Market Mutual Funds of the Future?,” Available at SSRN 4550177.
57. BIS Working Papers No 1164: Public information and stablecoin runs · PDF page 51
Narrow public claim
Prati, Alessandro and Massimo Sbracia (2002) “Currency crises and uncertainty about fun damentals,”Technical report, IMF Working paper No.
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Prati, Alessandro and Massimo Sbracia (2002) “Currency crises and uncertainty about fun damentals,”Technical report, IMF Working paper No.
58. BIS Working Papers No 1164: Public information and stablecoin runs · PDF page 52
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A Derivations and proofs A.1 Proof of Proposition 1 First, we establish that the game is supermodular with each Bayes-Nash equilibrium in strategies that are monotone in type.
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A Derivations and proofs A.1 Proof of Proposition 1 First, we establish that the game is supermodular with each Bayes-Nash equilibrium in strategies that are monotone in type.
59. BIS Working Papers No 1164: Public information and stablecoin runs · PDF page 54
Narrow public claim
Together, conditions x∈P and x∈Q are necessary and sufficient to make withdrawing uniquely rationalizable at signal x.50 Owing to supermodularity of the game among SC holders, there exists a greatest and least Nash equilibrium that bound all rationalizable strategies (Van Zandt and Vives, 2007).
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Together, conditions x∈P and x∈Q are necessary and sufficient to make withdrawing uniquely rationalizable at signal x.50 Owing to supermodularity of the game among SC holders, there exists a greatest and least Nash equilibrium that bound all rationalizable strategies (Van Zandt and Vives, 2007).
60. BIS Working Papers No 1164: Public information and stablecoin runs · PDF page 55
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Note that the solutions to (19) are independent of the transaction cost τ.
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Note that the solutions to (19) are independent of the transaction cost τ.
61. BIS Working Papers No 1164: Public information and stablecoin runs · PDF page 56
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A.2 Proof of Corollary 1 Equilibrium shifts to majority redemption if and only if withdrawing early is uniquely ra tionalizable for the median SC holder.
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A.2 Proof of Corollary 1 Equilibrium shifts to majority redemption if and only if withdrawing early is uniquely ra tionalizable for the median SC holder.
62. BIS Working Papers No 1164: Public information and stablecoin runs · PDF page 57
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By its definition in equation (17), the threshold is sensitive to changes in degrees of freedom, ν, that parameterize the t-distribution G(η).
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By its definition in equation (17), the threshold is sensitive to changes in degrees of freedom, ν, that parameterize the t-distribution G(η).
63. BIS Working Papers No 1164: Public information and stablecoin runs · PDF page 59
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As before, the issuer draws on reserve assets that have a combined 54Analogously, y is the smallest prior that supports R(z)≥y+E[η|z] for some z>0.
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As before, the issuer draws on reserve assets that have a combined 54Analogously, y is the smallest prior that supports R(z)≥y+E[η|z] for some z>0.
64. BIS Working Papers No 1164: Public information and stablecoin runs · PDF page 60
Narrow public claim
Arbitrageurs are large in the primary market but small in the secondary market, so they take the mapping from fundamentals to prices as given when making their decisions.56 Prices in the secondary market are determined by the joint selling pressure from secondary market participants and arbitrageurs.
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Arbitrageurs are large in the primary market but small in the secondary market, so they take the mapping from fundamentals to prices as given when making their decisions.56 Prices in the secondary market are determined by the joint selling pressure from secondary market participants and arbitrageurs.
65. BIS Working Papers No 1164: Public information and stablecoin runs · PDF page 61
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By contrast, when the issuer is insolvent, arbitrageurs derive a strictly higher benefit from redeeming over selling their coins whenever Assumption 1 is satisfied.
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By contrast, when the issuer is insolvent, arbitrageurs derive a strictly higher benefit from redeeming over selling their coins whenever Assumption 1 is satisfied.
66. BIS Working Papers No 1164: Public information and stablecoin runs · PDF page 61
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Since equation (33) shows that prices are decreasing in selling pressure, this implies strategic substitutability among secondary market participants in states where the issuer is solvent and the market functions as intended.
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Since equation (33) shows that prices are decreasing in selling pressure, this implies strategic substitutability among secondary market participants in states where the issuer is solvent and the market functions as intended.
67. BIS Working Papers No 1164: Public information and stablecoin runs · PDF page 63
Narrow public claim
To do this, we consider how the probability of failure, as measured by P[θ ≤θ∗], is affected 59A study focusing on differential information that arbitrageurs and secondary market participants hold is beyondthescopeofthispaper.
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To do this, we consider how the probability of failure, as measured by P[θ ≤θ∗], is affected 59A study focusing on differential information that arbitrageurs and secondary market participants hold is beyondthescopeofthispaper.
68. BIS Working Papers No 1164: Public information and stablecoin runs · PDF page 65
Narrow public claim
Proposition 4 shows that the secondary market introduces an additional profit incentive for arbitrageurs to demand redemption with the issuer beyond the panic effect arising from beliefs that the issuer will fail.
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Proposition 4 shows that the secondary market introduces an additional profit incentive for arbitrageurs to demand redemption with the issuer beyond the panic effect arising from beliefs that the issuer will fail.
69. BIS Working Papers No 1164: Public information and stablecoin runs · PDF page 65
Narrow public claim
The effect on arbitrageurs is not reliant on the limit of vanishing private noise.60 In general, as long as the posterior that the issuer cannot honor redemptions is sufficiently large, a secondary market does not alleviate the risk of self fulfilling runs on stablecoin issuers.
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The effect on arbitrageurs is not reliant on the limit of vanishing private noise.60 In general, as long as the posterior that the issuer cannot honor redemptions is sufficiently large, a secondary market does not alleviate the risk of self fulfilling runs on stablecoin issuers.
70. BIS Working Papers No 1164: Public information and stablecoin runs · PDF page 70
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Tether price deviations from $1 are computed using a 60-day centered moving average with shaded regions covering ±2 standard deviations.
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Tether price deviations from $1 are computed using a 60-day centered moving average with shaded regions covering ±2 standard deviations.