  Stablecoins, digital assets pegged to a specific currency or commodity value,
are heavily involved in transactions of major cryptocurrencies. The effects of
deviations from their desired fixed values (depeggings) on the cryptocurrencies
for which they are frequently used in transactions are therefore of interest to
study. We propose a model for this phenomenon using a multivariate
mutually-exciting Hawkes process, and present a numerical example applying this
model to Tether (USDT) and Bitcoin (BTC).
