Do stablecoin hedge exchange rates like gold and bitcoin? Evidence from a QNARDL approach

Do stablecoin hedge exchange rates like gold and bitcoin? Evidence from a QNARDL approach | Research Square window.SnipcartSettings = { analytics: { enabled: false } }; (function() { var accessVector = localStorage.getItem('access_vector') || ''; window.dataLayer = window.dataLayer || []; if (accessVector) { window.dataLayer.push({ user: { profile: { profileInfo: { snid: accessVector } } } }); } })(); (function(w,d,s,l,i){w[l]=w[l]||[];w[l].push({'gtm.start':new Date().getTime(),event:'gtm.js'});var f=d.getElementsByTagName(s)[0],j=d.createElement(s),dl=l!='dataLayer'?'&l='+l:'';j.async=true;j.src='https://www.googletagmanager.com/gtm.js?id='+i+dl;f.parentNode.insertBefore(j,f);})(window,document,'script','dataLayer','GTM-K279D39R'); Browse Preprints In Review Journals COVID-19 Preprints AJE Video Bytes Research Tools Research Promotion AJE Professional Editing AJE Rubriq About Preprint Platform In Review Editorial Policies Our Team Advisory Board Help Center Sign In Submit a Preprint Cite Share Download PDF Article Do stablecoin hedge exchange rates like gold and bitcoin? Evidence from a QNARDL approach Mengyue Liu, Wang Gao, Wei Sun, Hongwei Zhang This is a preprint; it has not been peer reviewed by a journal. https://doi.org/ 10.21203/rs.3.rs-9153240/v1 This work is licensed under a CC BY 4.0 License Status: Under Review Version 1 posted 11 You are reading this latest preprint version Abstract This study employs the Quantile Nonlinear Autoregressive Distributed Lag (QNARDL) model to systematically examine the asymmetric relationships and hedging effectiveness of the stablecoin (USDT) against major fiat exchange rates under different market conditions, in comparison with gold and Bitcoin hedging assets. The results show that USDT, gold, and BTC all exhibit significant but state-dependent cointegration with major fiat currencies, with USDT demonstrating the most stable and persistent long-run linkage. Asymmetry analysis reveals that USDT responds with strong short-run asymmetry, while gold and Bitcoin display asymmetry mainly in the long run. Hedging analysis further highlights a clear functional hierarchy: USDT’s hedging power is the most conditional—showing effectiveness for all exchange rates during periods of currency appreciation and serving as a safe-haven in episodes of extreme appreciation (0.01 quantiles). It also exhibits a certain degree of lagged response, functioning as a short-term “liquidity buffer”. In contrast, gold acts as an effective hedge during normal appreciation and depreciation phases (0.1, 0.5, 0.9 quantiles) but loses significance under extreme conditions. Bitcoin shows selective long-term hedging ability—partially covering major floating currencies (AUD, CAD, EUR, GBP) but not the CNY or JPY. Overall, this study reveals that the stablecoin (USDT), as a liquidity-anchored asset, fundamentally differs from gold, a long-term value-based asset, and Bitcoin, an extra-sovereign decentralized instrument, in the context of exchange rate risk management, providing differentiated empirical evidence to support more targeted decision-making. JEL Classification: C22, F31, G15, E44, G11 Physical sciences/Mathematics and computing Physical sciences/Physics Stablecoin Exchange rate Hedge QNARDL Full Text Additional Declarations No competing interests reported. Supplementary Files data.xlsx Cite Share Download PDF Status: Under Review Version 1 posted Reviewers agreed at journal 04 Apr, 2026 Reviewers agreed at journal 04 Apr, 2026 Reviews received at journal 04 Apr, 2026 Reviewers agreed at journal 04 Apr, 2026 Reviews received at journal 02 Apr, 2026 Reviewers agreed at journal 02 Apr, 2026 Reviewers invited by journal 02 Apr, 2026 Editor assigned by journal 02 Apr, 2026 Editor invited by journal 01 Apr, 2026 Submission checks completed at journal 31 Mar, 2026 First submitted to journal 31 Mar, 2026 You are reading this latest preprint version Research Square lets you share your work early, gain feedback from the community, and start making changes to your manuscript prior to peer review in a journal. As a division of Research Square Company, we’re committed to making research communication faster, fairer, and more useful. We do this by developing innovative software and high quality services for the global research community. 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Also discoverable on Platform About Our Team In Review Editorial Policies Advisory Board Help Center Resources Author Services Accessibility API Access RSS feed Manage Cookie Preferences © Research Square 2026 | ISSN 2693-5015 (online) Privacy Policy Terms of Service Do Not Sell My Personal Information {"props":{"pageProps":{"initialData":{"identity":"rs-9153240","acceptedTermsAndConditions":true,"allowDirectSubmit":false,"archivedVersions":[],"articleType":"Article","associatedPublications":[],"authors":[{"id":618832863,"identity":"88ed003d-ad70-47f4-b551-26ba2939f2e0","order_by":0,"name":"Mengyue Liu","email":"","orcid":"","institution":"Hebei Finance University","correspondingAuthor":false,"prefix":"","firstName":"Mengyue","middleName":"","lastName":"Liu","suffix":""},{"id":618832864,"identity":"c813c627-1f58-4eea-add4-faf2732477ee","order_by":1,"name":"Wang Gao","email":"data:image/png;base64,iVBORw0KGgoAAAANSUhEUgAAAZAAAAAyAQMAAABI0h/eAAAABlBMVEX///8AAABVwtN+AAAACXBIWXMAAA7EAAAOxAGVKw4bAAAA20lEQVRIiWNgGAWjYBADOQMGBjYgzUy8FmPStSRuIFqLvPvhYxI/d9Smb5dIPvaAocI6sYH97AG8WgzPpKVJ9p45nrtzRlq6AcOZ9MQGnrwE/Foacsxu8LYdy91wI8dMgrHtcGKDBI8Bfi39b8xu/m07lm5wI/+bBOM/IrTIS+SY3eZtq0kwuJHDJsHYQIQWA4ln6b9l2w4YbjjzzNwg4Vi6cRtPDgFb+pMPG75tq5M3OJ787MGHGmvZfvYzBGw5AKYOQ3gJDJDYwW9LA5iqI6RuFIyCUTAKRjIAAPLRSIh0PVMCAAAAAElFTkSuQmCC","orcid":"","institution":"Hebei University of Economics and Business","correspondingAuthor":true,"prefix":"","firstName":"Wang","middleName":"","lastName":"Gao","suffix":""},{"id":618832865,"identity":"68622d82-0d79-4d98-baf9-c9c38aea2ca3","order_by":2,"name":"Wei Sun","email":"","orcid":"","institution":"Hebei University of Economics and Business","correspondingAuthor":false,"prefix":"","firstName":"Wei","middleName":"","lastName":"Sun","suffix":""},{"id":618832866,"identity":"f65a9835-f58a-4364-9d50-d49508dad4d3","order_by":3,"name":"Hongwei Zhang","email":"","orcid":"","institution":"Central South University","correspondingAuthor":false,"prefix":"","firstName":"Hongwei","middleName":"","lastName":"Zhang","suffix":""}],"badges":[],"createdAt":"2026-03-18 01:23:18","currentVersionCode":1,"declarations":"","doi":"10.21203/rs.3.rs-9153240/v1","doiUrl":"https://doi.org/10.21203/rs.3.rs-9153240/v1","draftVersion":[],"editorialEvents":[],"editorialNote":"","failedWorkflow":false,"files":[{"id":106724045,"identity":"596cf251-45cb-4251-8d44-b13435eca8bb","added_by":"auto","created_at":"2026-04-12 18:24:44","extension":"pdf","order_by":1,"title":"","display":"","copyAsset":false,"role":"manuscript-pdf","size":787864,"visible":true,"origin":"","legend":"","description":"","filename":"manscript.pdf","url":"https://assets-eu.researchsquare.com/files/rs-9153240/v1_covered_a24a84fb-caf3-4038-bd2f-46e3824ab1d6.pdf"},{"id":106425122,"identity":"ffa0ca6d-99f6-4f85-8994-d943cce43c0e","added_by":"auto","created_at":"2026-04-08 12:01:05","extension":"xlsx","order_by":0,"title":"","display":"","copyAsset":false,"role":"supplement","size":478893,"visible":true,"origin":"","legend":"","description":"","filename":"data.xlsx","url":"https://assets-eu.researchsquare.com/files/rs-9153240/v1/dcc4ac6e455d3e9806f0d97f.xlsx"}],"financialInterests":"No competing interests reported.","formattedTitle":"Do stablecoin hedge exchange rates like gold and bitcoin? 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