Research

Research Interests

My research interests lie in Financial stability, Systemic risk & contagion, Macro-financial linkages, Digital asset markets & regulatory design, Monetary policy transmission, Digital asset markets & regulatory design, Impact evaluation and development finance.

Papers (submitted)

• • "From Turmoil to Stability: Bitcoin’s Volatility Regimes after Liberation Day." (with Prof. Dr. Julien Chevallier)

Publications

1. Diop, P. O. (2024). An Econometric and Time Series Analysis of the USTC Depeg’s Impact on the LUNA Classic Price Crash During Spring 2022’s Crypto Market Turmoil. Commodities, 3(4), 431-459.

→ Examines systemic contagion dynamics and market fragility following an algorithmic stablecoin collapse — with implications for macroprudential oversight of digital asset markets.

2. Diop, P. O., Chevallier, J., & Sanhaji, B. (2024). Collapse of Silicon Valley Bank and USDC Depegging: A Machine Learning Experiment. FinTech, 3(4), 569-590.
→ Assesses cross-market contagion between traditional banking stress and digital asset markets using Machine Learning — relevant to financial stability surveillance.

3. Diop, P. O., & Chevallier, J. (2026). Binance USD Delisting and Stablecoins Repercussions: A Local Projections Approach. Econometrics, 14(1), 6.

→ Quantifies the systemic impact of a regulatory delisting shock on stablecoin markets using Local Projections — contributing to evidence-based regulatory design.