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Information Spillovers in Segmented USD Markets

组织者

高瑞泽 , 韩立岩 , 李振 , 刘瑾 , 龙飞 , 史冬波 , 汤珂 , 万莉 , 张琦

演讲者

吾俊达

时间

2026年04月03日 15:00 至 16:00

地点

A3-2-303

线上

Zoom 435 529 7909 (BIMSA)

摘要

Stablecoins, as cryptoassets designed to be pegged to the dollar, have prompted concerns regarding monetary sovereignty. This paper examines information spillover dynamics among Argentina's fragmented USD markets—official, black, and stablecoin (USDT/ARS)—under shifting capital control regimes. We develop a model where markets exhibit varying information absorption capacities (θ), which implies markets with higher (θ) have predictive power over markets with lower (θ). Empirically, using the spillover index based on Time-Varying Parameter Vector Autoregression (TVP-VAR) model, our findings align with the model. During periods of strict capital controls, the information absorption order was Official < Black < Stablecoin. After the loosening of capital controls, this order evolved to Black < Official < Stablecoin. Notably, the stablecoin market consistently acts as a net information transmitter across both regulatory environments. Additionally, frequency domain analysis via BK spillover index reveals that these information spillover effects are predominantly concentrated in short term.

演讲者介绍

Wu Junda is a PhD candidate at BIMSA and UCAS. His research interests include digital economy, applications of artificial intelligence in economics, and cross-market risk spillovers.