Table 3 BEKK dynamic conditional correlation matrices
From: Intelligent design: stablecoins (in)stability and collateral during market turbulence
BTC | BUSD | DAI | LUNA | UST | USDT | USDC | |
|---|---|---|---|---|---|---|---|
Panel A: pre-collapse period (20 April 2022–9 May 2022) | |||||||
BTC | 1 | 0.0881 | − 0.0024 | 0.5448 | − 0.0146 | − 0.0053 | 0.0024 |
BUSD | 0.0881 | 1 | 0.0026 | 0.0406 | − 0.0074 | 0.0041 | 0.0040 |
DAI | − 0.0024 | 0.0026 | 1 | − 0.0024 | 0.0038 | 0.0115 | − 0.0016 |
LUNA | 0.5448 | 0.0406 | − 0.0024 | 1 | 0.0997 | 0.0012 | − 0.0048 |
UST | − 0.0146 | − 0.0074 | 0.0038 | 0.0997 | 1 | − 0.0040 | − 0.0039 |
USDT | − 0.0053 | 0.0041 | 0.0115 | 0.0012 | − 0.0040 | 1 | 0.0172 |
USDC | 0.0024 | 0.0040 | − 0.0016 | − 0.0048 | − 0.0039 | 0.0172 | 1 |
Panel B: collapse period (10 May 2022–29 May 2022) | |||||||
BTC | 1 | 0.0148 | − 0.0078 | 0.0059 | − 0.0041 | 0.0024 | 0.0056 |
BUSD | 0.0148 | 1 | 0.0008 | − 0.0027 | 0.0013 | − 0.0035 | − 0.0118 |
DAI | − 0.0078 | 0.0008 | 1 | 0.0059 | 0.0271 | 0.0239 | 0.0027 |
LUNA | 0.0059 | − 0.0027 | 0.0059 | 1 | − 0.0055 | 0.0119 | − 0.0055 |
UST | − 0.0041 | 0.0013 | 0.0271 | − 0.0055 | 1 | − 0.0041 | 0.0017 |
USDT | 0.0024 | − 0.0035 | 0.0239 | 0.0119 | − 0.0041 | 1 | − 0.0140 |
USDC | 0.0056 | − 0.0118 | 0.0027 | − 0.0055 | 0.0017 | − 0.0140 | 1 |