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How does stablecoin design affect market behavior during turbulent periods? Stablecoins attempt to maintain a “stable” peg to the US dollar, but do so with widely varying structural designs. The spectacular collapse of the TerraUSD (UST) stablecoin and the linked Terra (LUNA) token in May 2022 precipitated a series of reactions across major stablecoins, with some experiencing a fall in value and others gaining value. Using a Baba, Engle, Kraft and Kroner (1990) (BEKK) model, we examine the reaction to this exogenous shock and find significant contagion effects from the UST collapse, likely partially due to herding behavior among traders. We test the varying reactions among stablecoins and find that stablecoin design differences affect the direction, magnitude, and duration of the response to shocks. We discuss the implications for stablecoin developers, exchanges, traders, and regulators.

Perpetual futures, first proposed by Shiller (1993), have only seen wide use in cryptocurrency markets. We examine the contract design and market microstructure differences for the behavior of Bitcoin quarterly and perpetual futures prices and assess the implications for market participants and policymakers. We find perpetual futures exhibit multiple “u‐shaped” curves, seasonal effects, and opening effects despite lacking opening and closing hours. There is suggestive evidence of spillover effects between perpetual and quarterly futures contracts. We find quarterly futures offer cash‐and‐carry arbitrage opportunities, but similar to Hattori and Ishida (2021) these opportunities primarily exist during market dislocations.