发表机构
Olin School of Business, Washington University in St Louis（华盛顿大学圣路易斯分校奥林商学院）
机构由 AI 辅助整理，请以论文原文为准。AI 中文总结
本文提出一个仅需总存款和借款数据的框架，衡量DeFi借贷的系统风险，识别出2021年中脆弱性上升及脱锚风险，并提供早期预警信号。
AI 中文摘要
去中心化金融（DeFi）借贷从2017年的零基础增长至2022年5月近400亿美元的存款资金。该平台使用加密货币作为抵押品，将投机性保证金交易与寻求收益的存款人（其存入与美元挂钩的稳定币）进行匹配。存款人获得由一篮子抵押品担保的债权，类似于新的稳定币。我们开发了一个仅需了解总存款和借款信息的框架，用以衡量贷款人和借款人面临的整体系统风险。利用主要协议的证据，这些衡量指标识别出2021年年中左右系统脆弱性上升至超出审慎水平的情况，在币价极端波动时可能导致稳定币脱锚。总体而言，该模型提供了一个易于实施的总体风险指标，捕捉了合成投资者的视角，并在行业从抵押品担保存款向法定货币过渡时提供早期预警信号。
英文摘要
Decentralized finance (DeFi) lending has grown from nonexistent in 2017 to nearly 40 billion US Dollars in deposited funds in May 2022. Using cryptocurrency as collateral, the platforms match speculative margin trading with yield-seeking depositors lending coins pegged to the dollar (stable coins). Depositors receive claims guaranteed by a basket of collateral, akin to new stable coins. We develop a framework requiring only knowledge of aggregate deposits and borrowings to measure overall system risks to lenders and borrowers. Using evidence from major protocols, the measures identify an increase in system fragility beyond prudent levels around mid 2021, with a potential loss of peg for extreme variations in coin prices. Overall, the model offers an easily implementable aggregate risk metric capturing the perspectives of synthetic investors and offers early warning signals as the industry is moving from deposits guaranteed by collateral to fiat money.
Comments15 pages, 3 figures, 1 table
