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<p>This study develops a unified framework to evaluate stablecoin stability and resilience during major market disruptions. It is the first to analyze all four reserve architectures—fiat-backed, crypto-backed, commodity-backed, and algorithmic. We examine 20 stablecoins from January 2020 to October 2022, spanning the COVID-19 pandemic and the Russia–Ukraine conflict, using a three-pronged approach: event-study abnormal returns to capture immediate market reactions, wavelet-based volatility analysis to track multiscale shock persistence, and peg-deviation metrics to assess mechanical peg stability. Our results reveal pronounced differences across stablecoin architectures. Commodity-backed stablecoins, particularly gold-linked tokens, generate strong positive abnormal returns during both crises, along with positive yet larger and persistent peg deviations, reflecting slower structural adjustment. Wavelet analysis confirms that volatility propagates toward lower frequencies, indicating sustained market-driven appreciation and resilience to external shocks rather than mechanical failure. By contrast, fiat-backed stablecoins combine tight peg adherence with limited abnormal returns, and their high-frequency volatility dissipates quickly, illustrating robust operational stability. These patterns highlight the distinction between market-driven performance and mechanical peg stability. Algorithmic stablecoins perform weakest, with higher volatility and weaker returns. Overall, across stablecoins, minimal abnormal returns suggest their greater stability relative to unbacked cryptocurrencies. Taken together, the three analyses—event-study, wavelets, and peg deviations—offer a comprehensive picture of stablecoin stability and resilience, with direct implications for portfolio construction and regulatory design.</p>

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Stablecoins under global stress tests: evidence across four reserve designs

  • 期刊论文

  • 发表日期：

    2026年5月16日

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  • Chiraz Karamti,
  • Wafa Bouabid

摘要

This study develops a unified framework to evaluate stablecoin stability and resilience during major market disruptions. It is the first to analyze all four reserve architectures—fiat-backed, crypto-backed, commodity-backed, and algorithmic. We examine 20 stablecoins from January 2020 to October 2022, spanning the COVID-19 pandemic and the Russia–Ukraine conflict, using a three-pronged approach: event-study abnormal returns to capture immediate market reactions, wavelet-based volatility analysis to track multiscale shock persistence, and peg-deviation metrics to assess mechanical peg stability. Our results reveal pronounced differences across stablecoin architectures. Commodity-backed stablecoins, particularly gold-linked tokens, generate strong positive abnormal returns during both crises, along with positive yet larger and persistent peg deviations, reflecting slower structural adjustment. Wavelet analysis confirms that volatility propagates toward lower frequencies, indicating sustained market-driven appreciation and resilience to external shocks rather than mechanical failure. By contrast, fiat-backed stablecoins combine tight peg adherence with limited abnormal returns, and their high-frequency volatility dissipates quickly, illustrating robust operational stability. These patterns highlight the distinction between market-driven performance and mechanical peg stability. Algorithmic stablecoins perform weakest, with higher volatility and weaker returns. Overall, across stablecoins, minimal abnormal returns suggest their greater stability relative to unbacked cryptocurrencies. Taken together, the three analyses—event-study, wavelets, and peg deviations—offer a comprehensive picture of stablecoin stability and resilience, with direct implications for portfolio construction and regulatory design.