Systemic Fragility in Decentralized Markets
Speaker:
Alfred Lehar, University of Calgary
Date and Time:
Thursday, May 5, 2022 - 2:15pm to 3:15pm
Location:
Online
Abstract:
We analyze a unique data set of liquidations on two DeFi lending platforms -- Compound and Aave. Using Blockchain transaction data, we document the high frequency price impact of these liquidity trades on 9 different decentralized exchanges. Consistent with large block trades in equity markets there is a temporary and permanent price impact of collateral asset sales in DeFi. Our work highlights the systemic fragility of Decentralized Finance.