MiCA Implementation and Stablecoin Peg Stability: Event-Study Evidence from USDT and USDC

Sammanfattning

This study investigates whether the implementation of the European Union's Markets in Crypto-Assets Regulation (MiCA) corresponds with shifts in the peg stability of USDT and USDC, the two largest U.S. dollar stablecoins. As stablecoins are valued primarily for their ability to maintain a stable reference to one dollar rather than for capital gains, the analysis centers on peg deviation-the absolute difference between each stablecoin's mid price and one U.S. dollar. The empirical design applies an event-study regression framework around major MiCA milestones, with particular attention to 30 June 2024, when the stablecoin provisions for assetreferenced tokens and e-money tokens became applicable. The specification relates peg deviation to event-window indicators while controlling for lagged peg deviation, lagged Bitcoin and Ethereum returns, and EUR/USD returns. Inference is based on heteroskedasticity- and autocorrelation-consistent Newey-West standard errors, reflecting the daily frequency and persistence of the data. The results indicate that stablecoin peg stability remains broadly resilient around MiCA implementation. USDT does not exhibit a sustained abnormal post-event response in the standard event windows. USDC displays lower peg deviations in the post-event windows following 30 June 2024, and this pattern remains visible across several robustness checks. At the same time, placebo exercises show that similar USDC patterns can also appear on nonMiCA dates. The evidence is therefore interpreted as event-time association rather than a clean casual estimate. The main contribution is to extend the MiCA event-study literature to the stablecoin-specific outcome of peg stability.