- BIMSA 数字经济实验室讨论班

Stablecoin Arbitrage Fragility, Redemption Runs, and External Regulatory Liquidity Support

组织者

彼尔·约翰逊 , 高瑞泽 , 韩立岩 , 李振 , 刘瑾 , 龙飞 , 史冬波 , 汤珂 , 严兴 , 张琦

演讲者

王淑婕

时间

2026年06月26日 15:00 至 16:00

地点

A3-2-303

线上

Zoom 435 529 7909 (BIMSA)

摘要

Stablecoin markets often rely on secondary-market arbitrage to maintain parity with their reference assets. When prices fall below par, arbitrageurs can buy discounted stablecoins and redeem them at face value, helping restore the peg. This paper argues that this stabilizing mechanism is fragile because arbitrage depends on redemption credibility. When confidence deteriorates, redemption channels become congested, or reserves cannot be converted quickly into cash, arbitrageurs may withdraw or even add selling pressure, turning a stabilizing force into a run amplifier. We develop a three-period equilibrium model with stablecoin holders, arbitrageurs, an issuer, and a regulator. Holders value the payment and settlement services of stablecoins but may redeem or sell when confidence weakens. Without external liquidity support, the market may exhibit both low-redemption and high-redemption run equilibria. Once redemption demand exceeds immediate liquidity capacity, redemption credibility falls, arbitrage weakens, discounts widen, and further redemption incentives arise. We then analyze a regulatory liquidity support mechanism combining central-bank reserves, a stability fund, and collateralized liquidity facilities. This mechanism raises redemption credibility without providing unconditional bailouts. The analysis highlights that stablecoin regulation should focus not only on reserve sufficiency, but also on the liquidity capacity and credibility of the redemption mechanism.

演讲者介绍

Shujie Wang is a PHD student at BIMSA and UCAS. Her research interests includes digital economy, empirical asset pricing, and data asset pricing.