Financial stability and private digital money: peg resilience of Euro-denominated stablecoins during the MiCA transition

Stablecoins have emerged as a form of private digital money, yet evidence on their peg stability remains concentrated on U.S. dollar-denominated assets. This paper examines euro-denominated stablecoins during the European Union's Markets in Crypto-Assets (MiCA) transition, studying how regulation, market conditions, and stabilization design shape peg dynamics. Using daily data for fiat-backed EURC and crypto-collateralized EURA from April 2023 to January 2026, we find that a MiCA-related regulatory information shock was associated with significant peg instability, corresponding to an average discount of approximately 58 basis points, despite continued mean reversion. Peg deviations are associated primarily with stablecoin-specific volatility rather than broad crypto-market shocks, particularly during extreme episodes. Comparing stabilization architectures, we find a trade-off between the narrower deviation distribution of fiat-backed designs and the faster adjustment capacity of crypto-collateralized designs. The findings show that stablecoin resilience depends not only on regulatory compliance and reserve credibility, but also on coin-specific market dynamics and stabilization architecture, with implications for financial stability in increasingly interconnected digital asset and payment markets.