欧洲央行-稳定币、货币市场基金与货币政策（英）

Working Paper Series Stablecoins, money market funds and monetary policyIñaki Aldasoro, Giulio Cornelli, Massimo Ferrari Minesso, Leonardo Gambacorta, Maurizio Michael Habib Disclaimer: This paper should not be reported as representing the views of the European Central Bank (ECB). The views expressed are those of the authors and do not necessarily reflect those of the ECB. No 2987 AbstractUsing a new series of crypto shocks, we document that money marketfunds’ (MMF) assets under management, and traditional financial mar-ket variables more broadly, do not react to crypto shocks, whereas stable-coin market capitalization does. U.S. monetary policy shocks, in contrast,drive developments in both crypto and traditional markets. Crucially, thereaction of MMF assets and stablecoin market capitalization to monetarypolicy shocks is different: while prime-MMF assets rise after a monetarypolicy tightening, stablecoin market capitalization declines. In assessingthe state of the stablecoin market, the risk-taking environment as dictatedby monetary policy is much more consequential than flight-to-quality dy-namics observed within stablecoins and MMFs.JEL classification: E50, F30.Keywords: stablecoins, crypto, Bitcoin, monetary policy shocks, money marketfunds.ECB Working Paper Series No 29871Non-technical summaryStablecoins are crypto tokens that live on distributed ledgers (i.e., “on-chain”)and promise to be worth always a dollar, providing par convertibility ondemand.Stablecoin issuers defend this promise by holding (mostly) fiat-denominated (i.e., “off-chain”) short-term assets, such as Treasuries, high-quality commercial paper, repurchase agreements and bank deposits. Thecombination of money-like demandable liabilities with backing assets thatmay become illiquid implies that stablecoin issuers’ liquidity transformationexposes them to runs.Stablecoins’ balance sheet structure therefore closely resembles that of moneymarket funds (MMFs). During episodes of stress in crypto markets, stable-coins exhibit flight-to-quality dynamics, much like those observed for MMFsduring the great financial crisis and the Covid-19 pandemic. During suchepisodes, perceived high-quality stablecoins receive inflows at the expenseof their perceived low-quality peers, much like non-prime MMFs received in-flows at the expense of prime MMFs during stress episodes in that market.However, on aggregate, there is no evidence of inflows into stablecoins dur-ing major crypto events. Whether stablecoins act as crypto safe-haven is stillan open question.In this paper we document an important distinction between stablecoinsand MMFs, namely their very different response to crypto and U.S. monetarypolicy shocks since 2019. Drawing on a new series of crypto market shocksand a standard measure of monetary policy shocks, we show that cryptoshocks are inconsequential for MMFs and traditional financial markets butnegatively affect stablecoins. In contrast, U.S. monetary policy shocks sig-nificantly a