勷勤数学•专家报告

题      目：The Awakening of Dormant Whales: Endogenous De-pegging and Liquidity Traps in Stablecoin Markets

报  告  人： 邓军 教授  (邀请人：杨舟)

                                    对外经济贸易大学

时      间： 6月12日  16：00-17:00

地     点：数科院西楼二楼会议室

报告人简介:

       邓军，对外经济贸易大学中国金融学院教授，博士生导师，副院长。研究方向涉及数字货币、智能合约、衍生品、资产定价。在 Journal of Financial Economics , Journal of Financial Markets, European Journal of Operational Research, Finance and Stochastics, Stochastic Processes and their Applications,《国际金融研究》，《中国科学.数学》，《系统工程理论与实践》等国内外重要期刊发表多篇学术论文。主持国家自然科学基金面上和青年项目，北京市教改等多项课题。主持和参与获得北京市优质教材课件、 北京市教学成果二等奖、北京市金融工程优秀本科育人团队等多项奖项。合作出版《金融工程学》，《金融经济学》，《应用随机过程》等多本教材。本科就读于中国石油大学(北京)应用数学专业，硕士就读于中国人民大学概率论与数理统计专业，博士就读于加拿大阿尔伯塔大学数理金融学。

摘      要：

       Motivated by the March 2023 USDC de-pegging, this paper explains how fully reserved stablecoins can experience structural runs by shifting the analytical focus from static solvency to the dynamic execution capacity of redemption infrastructure. Using a discrete-time DSGE model featuring heterogeneous households, balance-sheet-constrained arbitrageurs, and physical settlement bottlenecks, we demonstrate that stablecoin fragility stems from an endogenous feedback loop linking redemption frictions, intermediary capital depletion, and settlement congestion rather than insufficient reserves. We highlight three key findings: first, mere expectations of future network congestion generate a liquidity-eroding "ghost tax" even during tranquil periods; second, gradual intermediary capital depletion pushes the system toward a "stability cliff," abruptly activating dormant whale balances and triggering a nonlinear collapse characterized by asymmetric hysteresis; third, limited physical execution capacity ultimately converts short-term redemption pressure into persistent secondary-market discounts by severing cross-market integration. Consequently, current regulations fixated on stock-based reserve adequacy are insufficient; ensuring true systemic resilience requires flow-based stress testing of physical settlement speeds and intermediary capacity.

          欢迎老师、同学们参加、交流！