How Stablecoins Reshape Interactions Within a Fragmented USD-Access System: Evidence from a Time-Frequency TVP-VAR Connectedness Model

This paper examines return connectedness among four channels for obtaining U.S.-dollar exposure in Argentina: the official USD/ARS rate, the informal Blue Dollar rate, and USDT/ARS prices on Binance and Bitso. We use 669 matched-date daily returns and a time-varying parameter VAR connectedness model with Barunik–Krehlik frequency decomposition. The analysis is descriptive: generalized forecast-error variance shares measure directional dependence within the estimated system but do not identify structural causality, price discovery, or systemic risk. Baseline estimates indicate that total connectedness rises from 43.57% under exchange controls and 45.26% during the crawling-peg period to 64.53% after liberalization. The two stablecoin venues have positive net-connectedness positions in the baseline estimates, while the official rate becomes a net receiver in Periods 2 and 3. Connectedness is concentrated within five- and ten-day horizons, although the share attributed to a strict three-day band is materially lower. Period 3 transmitter signs remain stable in contiguous subsamples, single-venue and aggregate-stablecoin specifications, and a six-variable system augmented with Bitcoin and a broad U.S.-dollar factor. By contrast, Period 2 directional rankings are more sensitive to alternative period boundaries and stablecoin representations and should therefore be interpreted cautiously. Rankings are also less stable in Period 1 and under deliberate one-day shifts in stablecoin closing dates, highlighting the importance of outliers and market synchronization. The results therefore provide conditional evidence on changing return interactions across segmented dollar-access venues rather than causal evidence that one venue drives another.