泰达币(USDT)与人民币汇率相关性研究

The Nexus between the USDT Stablecoin and the RMB Exchange Rate

全球规模最大的稳定币“泰达”币(USDT)在最近的司法调查中被发现涉嫌发行欺诈,受到全球高度关注。为考察USDT场外交易与人民币外汇交易之间的联系,本文首先构建了一个刻画人民币-USDT场外交易-比特币三角交易机制的理论模型,分析推导USDT人民币价格与人民币汇率之间的关系;然后使用独有的2019年10月至2020年10月USDT中国场外市场日度交易数据,实证检验了USDT(人民币)收益率、波动率与人民币汇率收益率、波动率之间的相关性;最后将实证结果与欧元、日元进行了国际比较。本文发现:(1)USDT的人民币价格收益率与人民币对美元汇率收益率负相关、波动率正相关,而USDT的欧元、日元价格收益率与它们对美元汇率收益率正相关、波动率负相关;(2)USDT的人民币、欧元、日元价格的波动率指标分别是各自汇率波动率的先行指标。本文研究结果表明,USDT稳定币与人民币外汇市场的联系是因为前者所具有的外汇黑市机制,同时稳定币作为桥梁,建立了加密资产市场与人民币外汇市场的联系。

USDT is a dominant stablecoin pegging the US dollar at parity and is issued entirely against reserves mainly deposited at banks. More than two thirds of global Bitcoin transactions use USDT, which has become the infrastructure and primary medium of exchange for the crypto-assets market. The core mechanism to stabilize the intrinsic value of USDT is having the necessary reserves in place to ensure that the token is readily redeemable at parity with the US dollar. Tether, a tech company domiciled in the US, promises to meet the market demand for redeeming USDT against USD at parity at any time. However, on February 24, 2021, Tether and affiliates(Bitfinex) settled a judicial investigation with the New York attorney general’s office, paying a $18.5 million fine to end a judicial probe into the alleged fraudulent issuance of the stablecoin USDT, foreshadowing that USDT could have a serious liquidity impact on the $1.4 trillion crypto-assets market as reported by The Economist. In China, using USDT has become a way to bypass government regulations, which channels its risks to the foreign exchange(FX) market through the nexus between USDT and the RMB exchange rate. Nowadays, most USDT trading activities in China are conducted through OTC online trade, which provides platforms priced in RMB for buyers to bid and sellers to ask. Some recent court verdicts have shown that Bitcoin and USDT share a decentralized, borderless and hard-to-trace nature, so both of these cryptocurrencies are used for cross-border fund transfers, forming a triangular RMB-USDT-Bitcoin trading mechanism.Accordingly, the theoretical and empirical work of this paper is twofold. First, this paper establishes a theoretical model for the triangular trading mechanism. A salient feature of USDT is its ability to act as a bridge between a fiat currency and crypto-assets priced in USD, which could be seen as a de facto black market for USD. This model predicts the inherent correlations between the price of USDT and official exchange rates, such as of CNY, which can deepen the theoretical framework for stablecoin and further reveal the financial risks brought by. An empirical model for USDT price return and volatility correlated with those of CNY is then developed to test the hypothesis based on the theoretical model. This paper is the first to find that(a) USDT(in RMB) return is negatively correlated with CNY return, and USDT(in RMB) volatility is positively correlated with CNY volatility;and(b) USDT(in RMB) volatility is a leading indicator of CNY volatility. Moreover, the results of similar empirical models show that the correlations between EUR and JPY return/volatility and USDT(in EUR and JPY) return/volatility are in sharp contrast to the correlations between CNY and USDT(in RMB). To narrow the explanatory gap of these empirical findings, the negative correlation between USDT(in RMB) and CNY can be explained by our theoretical model, which shows that increasing the probability of successful AML/CFT monitoring and capital outflow control would lower the equilibrium ratio of the USDT price to the official exchange rate, with the former price decreasing(RMB appreciation) and the latter price increasing(RMB devaluation) in tandem.This paper also contributes to the theoretical framework for FX black markets in the digital era, as it finds that a weak currency exhibits different correlational relationships with a stablecoin(USDT) compared to strong currencies, which would present an insidious risk to the stability of the weak currency. Hence, it can be inferred that stablecoins should be under adequate and appropriate regulation, and that global stablecoins should not be rolled out before there is a consistent and holistic framework for regulation on this issue. We advocate that because of the possibility of using a stablecoin pegged to an international or domestic currency on FX black markets, the measures surrounding crypto-assets and stablecoins implemented by the government should be upheld.