2023-10-11-纽约联储-逃亡和飞往安全地带_Stablecoins是新的货币市场基金吗_49页_2mb

Runs and Flights to Safety: Are Stablecoins the New Money Market Funds?

This Federal Reserve Bank report compares stablecoins and money market funds (MMFs) to analyze vulnerability to runs during financial stress, using data from 2022 and 2023 crypto market stress events and 2008/2020 MMF crises. Key findings show that stablecoin investors exhibit flight-to-safety behavior similar to MMF investors during stress events. The analysis documents that funds flow from riskier stablecoins to safer ones, mirroring Prime MMFs losing investors to Government MMFs during past crises.

Stablecoins:

• Similar to MMFs, they provide money-like assets through liquidity transformation.
• Types include:
  • Asset-backed: Predominant (~96% market cap), backed by cash, Treasuries, and commercial paper.
  • Algorithmic: Relies on supply-demand mechanisms (e.g., Terra).
  • Crypto-collateralized: Backed by volatile crypto assets (e.g., MakerDAO).
• Runs occurred across different stablecoin types in 2022 and 2023, unlike MMFs where runs were typically limited to Prime funds.

Flight-to-Safety Dynamics:

• During crypto stress (e.g., Bitcoin price drops), investors flock to US-based stablecoins (e.g., USDC, Tether).
• Contagion exists: Runs spread from riskier stablecoins to similar ones during 2022.
• Flows occur within the same blockchain, which serve as a "blockchain family."

Threshold Analysis:

• A stablecoin's price dropping below $0.99 leads to acceleration in redemptions, analogous to MMF "breaking the buck" at $0.995.

Key Conclusions:

1. Stablecoin runs and flight-to-safety dynamics resemble those in MMFs, indicating sticky investor behavior across asset types.
2. Blockchain size matters: Riskier smaller chains exhibit contagion, whereas larger chains (Ethereum, Tron, BSC) have more predictable transfers.
3. While regulated MMFs have a clear threshold for forced redemption gates, stablecoins lack such restrictions, making them more vulnerable.

This report signals ongoing risks in decentralized finance systems and underscores the importance of regulatory watchfulness as digital assets integrate further into traditional financial markets.