Defining and Monitoring Stablecoin Depegging Risk: A Rolling Downside-Threshold Framework

Authors

Junda Wu, Qiqi Gu, Jian Yao, and Jiajing Sun.

Corresponding author: Jiajing Sun.

Research Overview

This paper develops a rolling downside-threshold framework for defining and monitoring stablecoin depegging risk. It distinguishes persistent discounts below the dollar peg from temporary price premia, using historical downside deviations to construct coin-specific event labels.

Using minute-level Kraken prices for USDT and USDC, with DAI as an extension, the study evaluates the labels against an event calendar and alternative benchmarks. Daily rare-event monitoring models are assessed through walk-forward testing, false-alarm measures, and onset and lead-time diagnostics. The evidence supports contemporaneous and near-event risk monitoring, rather than reliable advance prediction of stablecoin crises.

Status: Accepted for publication in Digital Finance. Publication details will be added when available.

Recommended citation: Wu, Junda, Qiqi Gu, Jian Yao, and Jiajing Sun. "Defining and Monitoring Stablecoin Depegging Risk: A Rolling Downside-Threshold Framework." Digital Finance. Accepted for publication (2026). Jiajing Sun is the corresponding author.