纽约联储-数字资产的金融稳定性含义（英）-2022.9-31正式版.doc

The Financial Stability Implications of Digital AssetsN O . 1 0 3 4S E P T E M B E R 2 0 2 2Pablo D. Azar | Garth Baughman | Francesca Carapella | Jacob Gerszten | Arazi Lubis | JP Perez-Sangimino | David E. Rappoport | Chiara Scotti | Nathan Swem | Alexandros Vardoulakis | Aurite Werman每日免费获取报告1、每日微信群内分享7+最新重磅报告；2、每日分享当日华尔街日报、金融时报；3、每周分享经济学人4、行研报告均为公开版，权利归原作者所有，起点财经仅分发做内部学习。扫一扫二维码关注公号回复：研究报告加入“起点财经”微信群。The Financial Stability Implications of Digital AssetsPablo D. Azar, Garth Baughman, Francesca Carapella, Jacob Gerszten, Arazi Lubis, JP Perez-Sangimino, David E. Rappoport, Chiara Scotti, Nathan Swem, Alexandros Vardoulakis, and Aurite WermanFederal Reserve Bank of New York Staff Reports, no. 1034September 2022JEL classification: G20, G21, G28AbstractThe value of assets in the digital ecosystem has grown rapidly amid periods of high volatility. Does the digital financial system create new potential challenges to financial stability? This paper explores this question using the Federal Reserves framework for analyzing vulnerabilities in the traditional financial system. The digital asset ecosystem has recently proven itself to be highly fragile. However, adverse digital asset market shocks have had limited spillovers to the traditional financial system. Currently, the digital asset ecosystem does not provide significant financial services outside the ecosystem, and it exhibits limited interconnections with the traditional financial system. The paper describes emerging vulnerabilities that could present risks to financial stability in the future if the digital asset ecosystem becomes more systemic, including run risks among large stablecoins, valuation pressures in crypto-assets, fragilities of DeFi platforms, growing interconnectedness, and a general lack of regulation.Key words: digital assets, stablecoins, DeFi, financial stability, financial vulnerabilities, systemic risk_Azar: Federal Reserve Bank of New York (email: pablo.azarny.frb.org). Baughman, Carapella,Gerszten, Lubis, Perez-Sangimino, Rappoport, Scotti, Swem, Vardoulakis, Werman: Federal Reserve Board (emails: garth.a.baughmanfrb.gov, francesca.carapellafrb.gov, jacob.e.gersztenfrb.gov, arazi.a.lubisfrb.gov, jp.perez-sangiminofrb.gov, david.e.rappoportfrb.gov, chiara.scottifrb.gov, nathan.f.swemfrb.gov, alexandros.vardoulakisfrb.gov, aurite.l.wermanfrb.gov). The authors thank their Federal Reserve colleagues, particularly Ken Armstrong, Joseph Cox, Michael Kiley, David Mills, Kelley OMara, and Michael Palumbo for helpful comments. They also thank Grace Chuan for excellent research assistance, and Christopher Anderson and Sara Saab, who shared their crypto-asset market analysis.This paper presents preliminary findings and is being distributed to economists and other interested readers solely to stimulate discussion and elicit comments. The views expressed in this paper are those of the author(s) and do not necessarily reflect the position of the Federal Reserve Bank of New York or the Federal Reserve System. Any errors or omissions are the responsibility of the author(s).To view the authors disclosure statements, visit https:/www.newyorkfed.org/research/staff_reports/sr1034.html.1IntroductionThe digital asset ecosystem grew rapidly until early 2022, and notwithstanding recent volatility advocates continue to expect the system to resume its rapid growth.2 As the digital asset ecosystem grows, becomes more interconnected with the traditional financial system, and mimics products and structures of traditional finance, it creates new potential challenges to financial stability. The digital asset ecosystem replicates many of the same types of market failures and vulnerabilities that arise in traditional financegenerally without regulatory safeguardswhile also introducing new risks.This paper describes risks associated with digital assets using the Federal Reserves framework for analyzing vulnerabilities in the traditional financial system, which distinguishes between vulnerabilities and shocks. Financial vulnerabilities are a collection of factors that may amplify financial shocks. Vulnerabilities tend to build up over time, and policies can be designed to lessen them, making the system more resilient and thus more likely to be able to continue to function effectively in the face of shocks. For our analysis we define the digital asset ecosystem as including coins designed to maintain a stable value, crypto-assets without such a peg, centralized lenders and exchanges, and decentralized finance (DeFi) protocols, among other things.Activities within the ecosystem involve liquidity and maturity transformation without access to a liquidity backstop, which exposes the system to the possibility that investors will run to withdraw funds quickly in adverse situations, possibly inducing fire sales of assets to meet those redemptions.Taking leveraged positions to speculate on changes in the price of digital assets is common. Few limits exist on leverage or collateral rehypothecation. Leverage increases the risk that actors in the digital asset ecosystem will not have the ability to absorb even modest losses when hit by adverse shocks and will be forced to cut back lending, sell assets, or even shut down.Crypto valuations have risen and fallen rapidly, are in many cases volatile relative to valuations of traditional assets, and have, at times, exhibited high correlations with valuations in traditional financial assets.3 These strong correlations and rapid fluctuations in asset values create vulnerabilities when combined with leverage and liquidity transformation practices of lending platforms, DeFi protocols, and centralized exchanges.Several features of the digital asset ecosystem introduce novel vulnerabilities to its stability. Where transaction execution is automated, it reduces the response time for interventions that could prevent fire sales or other destabilizations.4 At the same time, decentralized governance of certain platforms can hinder rapid action to mitigate stress or create regulatory challenges. Automation may also exacerbate operational vulnerabilities.Public blockchains, crypto-assets, stablecoin issuers, DeFi protocols, and centralized exchanges are interconnected, with no limits on concentrated exposures. Shocks in one area can spill over quickly to2 The value of all digital assets is currently approximately $900 billion. See CoinMarketCap (2022), “Total Cryptocurrency Market Cap,” chart (accessed July 1, 2022).3 Filippo Ferroni (2022), “How Interconnected Are Cryptocurrencies and What Does This Mean for Risk Measurement?” Chicago Fed Letter 466 (Chicago: Federal Reserve Bank of Chicago, March).4 Hillary J. Allen (2022), “DeFi: Shadow Banking 2.0?” working paper (Rochester, NY: SSRN, February 18).2others. Digital assets interlinkages with the traditional financial system are limited at present but may grow, increasing the potential for spillovers to the traditional financial system.The lack of a strong and cohesive regulatory framework for digital assets amplifies these vulnerabilities. Many parts of the digital asset ecosystem are designed to avoid regulation. Digital assets do not fit neatly into existing regulatory frameworks. In addition, controlling influence is often obscured (e.g., in DeFi) or dispersed (e.g., blockchain validators).5 When digital asset companies are registered as legal entities, they are often domiciled in non-G20 countries. Establishing regulation for the digital asset space would be further complicated by novel activities and arrangements operating without legal entities, such as Decentralized Autonomous Organizations (DAOs) and smart contracts.The digital asset ecosystem has recently proven itself highly fragile. In the context of a changing macroeconomic environment, high-profile projects have failed, and key institutions have found themselves facing liquidity issues and insolvency. However, these adverse shocks have not created negative feedback loops in the traditional financial system, as the digital asset ecosystem does not provide significant financial services outside the ecosystem and its interconnections with the traditional financial system are limited. However, we identify emerging vulnerabilities that could present risks to financial stability in the presence of stronger interlinkages between digital and traditional financial institutions and in the event of future growth of the digital asset ecosystem: Run risk in stablecoins, where issuers may dispose of reserve assets quickly to meet redemptions, potentially disrupting traditional financial markets; Valuation pressures and risk appetite in crypto-asset markets; Fragilities of decentralized and centralized platforms, including leverage and maturity and liquidity transformation, and novel risks such as greater automaticity in DeFi; and Interconnectedness across these vulnerabilities and a general lack of regulation in theecosystemSection 2 provides an introduction to the components of the digital asset ecosystem. The sections following describe financial stability vulnerabilities associated with stablecoins (Section 3), crypto-assets (Section 4), DeFi (Section 5), lending platforms (Section 6), centralized exchanges (Section 7), and interconnectedness (Section 8). Section 9 discusses regulatory gaps. Section 10 concludes with our assessment of the financial stability implications of digital assets. A case study of the TerraUSD collapse in May 2022 and its repercussions in digital and traditional markets is described in Box 1.2A Quick Review of the Digital Asset EcosystemDigital assets operate as part of a complex and interconnected digital ecosystem, as shown in Figure 1. The foundation of the ecosystem is the blockchain, a type of distributed ledger where transactions are recorded and participants transact with other participants and decentralized applications. Bitcoin and Ethereum are the two largest blockchain networks. Bitcoin was the first blockchain, designed as the ledger for a payment system but lacking full programmability. Ethereum introduced the concept of a programmable blockchain with smart contracts, which are essential to DeFi (discussed later).5 Sirio Aramonte, Wenqian Huang and Andreas Schrimpf (2021), “DeFi risks and the decentralisation illusion”, Bank for International Settlements Quarterly Review (27), December.3Crypto-assets are created and transferred on a blockchain, and most blockchains have a "native" crypto­ asset. Bitcoin and Ether, the native assets of the Bitcoin and Ethereum blockchains, respectively, are the crypto-assets with the highest market capitalization. These top native crypto-assets have garnered attention and large market capitalizations and have experienced extreme volatility. Ether and Bitcoin (or "wrapped" synthetic Bitcoin) are commonly used as collateral in digital financial transactions.Figure 1: The Digital Asset EcosystemApplicationCentralizedWalletsExchangesLayerWebsites and AppsOn- and off-rampApps and websitesbetween fiat and cryptoSmart ContractDecentralizedOther DeFiLending ProtocolsApplicationsLayerexchangese.g., Derivatives, AssetallocationAssetNativeStablecoinsOther digital-assetsLayercryptocurrenciese.g., Governance"tokens" or "coins"e.g., BTC, Ethtokens, NFTsSettlementBlockchainsLayere.g., Bitcoin, Ethere1111, Solana, TerraNote: Adapted from the IOSCO Decentralized Finance Working Group Report and Toolkit, March 2022 and FabianSchiir, "Decentralized Finance: On Blockchain- and Smart Contract-Based Financial Markets," Federal Reserve Bank of St. Louis Review, Second Quarter 2021, pp. 153-74.Stablecoins (SCs) intend to provide a stable-value reference asset within the digital asset ecosystem to facilitate trading, lending, or borrowing of crypto-assets while allowing users to avoid moving in and out of fiat. SCs are essential to transacting across crypto-assets in DeFi. Importantly, SCs of this type-which are common in the digital ecosystem-are not used to facilitate wholesale or retail payments across the real economy. SCs are not widely used as a means of payment at present.DeFi facilitates the automation of financial activities such as lending, savings, payments, and trading through smart contract code, purportedly eliminating the need for financial intermediaries and centralized institutions. The most prevalent use-cases in DeFi are trading and lending. In the trading space, popular decentralized exchanges such as Curve and Uniswap offer users the opportunity to exchange one asset for another without the involvement of a third party, quoting traders an algorithmically determined asset price. In the lending space, depositors receive yield on digital assets, and pseudonymous borrowers take overcollateralized digital asset loans from protocols like Aave and Compound. Applications provide convenient interfaces for accessing assets and smart contracts.Centralized crypto exchanges serve as the primary means of converting fiat currency to crypto-assets and otherwise provide a range of services akin to those provided by traditional financial intermediaries.4Most crypto-asset trading volume involves centralized exchanges, which hold central limit order books off the blockchain. Digital wallets allow users to hold and interact with their digital assets.3StablecoinsSCs are digital assets that aim to maintain a stable value relative to a reference assettypically the U.S. dollar. Currently there exist different SC designs, as we describe in the next subsection. The least stable designs have already experienced destabilizing runs, like the collapse of TerraUSD in May 2022 (see Box 1). But even the less fragile designs of larger SCs appear subject to runs.If a sizable share of holders rushed to sell or redeem a large SC like Tether (USDT) or US Dollar Coin (USDC), it could not only create instability in the digital asset ecosystem, but also disrupt certain markets in the traditional financial system, as SC issuers would have to dispose of their reserve assets quickly to meet redemptions. These disrupti