Reverse Causality Testing

Background: The study analyzes the transmission of volatility and activity between stablecoin and cryptocurrency markets over daily, weekly, and monthly time horizons.

Question / Future Work: Testing the reverse direction of causality, specifically how cryptocurrency factors lead stablecoin factors, to identify the potential safe-haven dynamic where cryptocurrency downside volatility might lead stablecoin upside volatility.

Why It Matters: Investigating the reverse causality helps confirm or refute the hypothesis that cryptocurrencies act as a safe haven for stablecoins during stress, which is a key theoretical relationship in digital asset markets.

Evidence: Future work includes testing the reverse direction to see how cryptocurrencies lead stablecoins, with the potential to capture the safe-haven dynamic where cryptocurrency downside volatility leads stablecoin upside volatility.