USDT premium as an empirical signal for crisis regime identification: evidence from the stablecoin market 2019–2026

Abstract

This paper investigates whether USDT premium, defined as the deviation of the Tether price from its one-dollar peg in basis points, exhibits systematic and asymmetric behavior across different crisis regimes. Using daily data from January 2019 to January 2026 (n = 2,588), the analysis documents systematic asymmetry in premium behavior across five major crisis episodes. TradFi shocks, characterized by banking stress and USD liquidity events, generate positive cumulative abnormal premiums: COVID-19 produced a CAP of + 1,539 basis points at a twenty-day horizon while the SVB collapse produced + 498 basis points, both significant at the one-percent level. Crypto-native shocks produce the opposite pattern: the FTX collapse generated a CAP of -199 basis points and the LUNA-Terra implosion generated − 169 basis points, significant at the one-percent level. OLS regressions with Newey-West standard errors show that premium persistence (AR coefficient 0.836), BTC return (-58.9), and VIX (+ 0.067) are the principal predictors, whereas DXY shows no significant association once the autoregressive term is included. Local Projection impulse responses show that VIX shocks produce persistent positive responses over a twenty-day window, while BTC return shocks produce the mirror-image negative pattern. Rolling OLS shows that the DXY coefficient is time-varying, unstable, and economically negligible since 2021. These findings are consistent with the interpretation of USDT as an internal USD of the crypto ecosystem, partially decoupled from the external dollar cycle. USDT premium may provide a 24/7 observable market indicator that exhibits systematically different behavior across TradFi stress and crypto-native crisis episodes, without reliance on delayed macroeconomic data.