목차
Title page 1
Contents 1
Abstract 2
Non-technical summary 3
1. Introduction 6
2. Macroeconomic Implications of stablecoins 16
3. Model 20
3.1. Stablecoins 21
3.2. The household problem 24
3.3. Calibration 28
4. Results 29
4.1. Macro-Financial Stability: The Risks of the Global Safe Asset Channel 30
4.2. Impulse-responses 32
4.2.1. U.S. shocks: Monetary Policy and TFP 33
4.2.2. Non-issuer country shock: Monetary Policy and TFP 37
4.2.3. Negative shock to stablecoin demand 37
4.3. Welfare Implications 39
4.4. Extensions and Robustness 39
5. Empirical Validation 40
6. Conclusion 42
References 45
Online appendix 52
A. Model 52
B. Alternative specifications 69
Acknowledgements 85
Figures 9
Figure 1. Stablecoin market capitalization and holdings of U.S. debt by countries and stablecoin issuers 9
Figure 2. Stablecoin holdings of U.S. Treasury bills compared to major hedge fund holdings, 2024 11
Figure 3. Description of the model 22
Figure 4. Demand for stablecoins against returns differential 27
Figure 5. Stability map 31
Figure 6. Stability map 33
Figure 7. Impulse responses to a U.S. monetary policy shock 34
Figure 8. Impulse responses to a U.S. TFP shock 35
Figure 9. Impulse responses to a monetary policy shock from country 2 36
Figure 10. Impulse responses to a stablecoin preference shock 38
Figure 11. Response of U.S. yields to U.S. and euro area monetary policy shocks 42
Figure 12. Response of U.S. yields at different maturities to U.S. monetary policy shocks 43
Appendix Tables 60
Table A.1. Calibration 60
Appendix Figures 61
Figure A.1. Demand for stablecoins against returns differential - extreme holdings 61
Figure A.2. Demand for stablecoins against returns differential - full solution 62
Figure A.3. Impulse responses to a U.S. monetary policy shock 63
Figure A.4. Impulse responses to a U.S. TFP shock 64
Figure A.5. Impulse responses to a monetary policy shock from country 2 65
Figure A.6. Impulse responses to a TFP shock from country 2 66
Figure A.7. Impulse responses to stablecoin preference shock 66
Figure A.8. Welfare changes relative to the model without stablecoins for different level of U.S. yield reduction 67
Figure A.9. Response of stablecoin market capitalization to U.S. monetary policy shocks 68
Figure B.1. Impulse responses to a U.S. monetary policy shock - constant μsc,c 69
Figure B.2. Impulse responses to a U.S. TFP shock - constant μsc,c 70
Figure B.3. Impulse responses to a monetary policy shock from country 2 - constant μsc,c 70
Figure B.4. Impulse responses to a TFP shock from country 2 - constant μsc,c 71
Figure B.5. Stability map 72
Figure B.6. Stability map 73
Figure B.7. Impulse responses to a U.S. monetary policy shock - money-in-utility 73
Figure B.8. Impulse responses to a U.S. TFP shock - money-in-utility 74
Figure B.9. Impulse responses to a monetary policy shock from country 2 - money-in-utility 74
Figure B.10. Impulse responses to a TFP shock from country 2 - money-in-utility 75
Figure B.11. Stability map when stablecoins are issued only domestically or only internationally 76
Figure B.12. Impulse responses to a U.S. monetary policy shock - U.S. vs foreign issuance 77
Figure B.13. Impulse responses to a monetary policy shock from country 2 - U.S. vs foreign issuance 77
Figure B.14. Impulse responses to a U.S. TFP shock - U.S. vs foreign issuance 78
Figure B.15. Impulse responses to a TFP shock from country 2 - U.S. vs foreign issuance 78
Figure B.16. Stability map 79
Figure B.17. Impulse responses to a U.S. monetary policy shock - estimated model 80
Figure B.18. Impulse responses to a U.S. TFP shock - estimated model 80
Figure B.19. Impulse responses to a monetary policy shock from country 2 - estimated model 81
Figure B.20. Impulse responses to a TFP shock from country 2 - estimated model 81
Figure B.21. Impulse responses to a U.S. monetary policy shock - model with redemption fee 82
Figure B.22. Impulse responses to a U.S. TFP shock - model with redemption fee 83
Figure B.23. Impulse responses to a monetary policy shock from country 2 - model with redemption fee 83
Figure B.24. Impulse responses to a TFP shock from country 2 - model with redemption fee 84
