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on Payment Systems and Financial Technology |
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Issue of 2021‒12‒13
27 papers chosen by |
| By: | Lo Prete, Anna (University of Turin) |
| Abstract: | This work documents that, across countries, the use of digital payment tools and platforms is associated to higher digital literacy, at all levels of financial literacy. More informed personal finance choices, instead, are associated to higher financial literacy, at all levels of digital literacy. The results from this preliminary analysis suggest that digital and financial literacy should be considered together when assessing the implication of digitalization for individual investors, who can access digital financial products and markets in the absence of financial literacy. |
| Date: | 2021–11 |
| URL: | http://d.repec.org/n?u=RePEc:uto:dipeco:202120&r= |
| By: | Bindseil, Ulrich; Panetta, Fabio; Terol, Ignacio |
| Abstract: | Even before their deployment in major economies, one of the concerns that has been voiced about central bank digital currency (CBDC) is that it might be too successful and lead to bank disintermediation, which could intensify further in the case of a banking crisis. Some also argue that CBDC might crowd out private payment solutions beyond what would be desirable from the perspective of the comparative advantages of private and public sector money. This paper discusses success factors for CBDC and how to avoid the risk of crowding out. After examining ways to prevent excessive use as a store of value, the study emphasises the importance of the functional scope of CBDC for the payment functions of money. The paper also recalls the risks that use could be too low if functional scope, convenience or reachability are unattractive for users. Finding an adequate functional scope – neither too broad to crowd out private sector solutions, nor too narrow to be of limited use – is challenging in an industry with network effects, like payments. The role of the incentives offered to private sector service providers involved in distributing, using and processing CBDC (banks, wallet providers, merchants, payment processors, acquirers, etc.) is discussed, including fees and compensation. JEL Classification: E3, E5, G1 |
| Keywords: | central bank digital currency, cross-border payments, financial stability, means of payment, payment solution, store of value |
| Date: | 2021–12 |
| URL: | http://d.repec.org/n?u=RePEc:ecb:ecbops:2021286&r= |
| By: | Coakley, Jerry; Cumming, Douglas J.; Lazos, Aristogenis; Vismara, Silvio |
| Abstract: | The nominee approach to equity crowdfunding pools all crowd investors into one (nominee) account where typically the platform acts as the legal owner but the crowd retains beneficial ownership. The platform plays an active digital corporate governance role that simultaneously enfranchises crowd investors with voting and ownership rights but removes the administrative burden on startups of having to deal with several hundred shareholders. Through an inter-platform and intra-platform analysis of a large sample of 1,018 initial equity crowdfunding campaigns, this paper assesses both the short-term and the long-term impact of nominee versus direct ownership. It finds that nominee initial campaigns are on average more successful than direct ownership campaigns in that they are more likely to succeed, raise more funds, attract overfunding and enjoy greater long run success in terms of successful seasoned equity crowdfunded offerings, numbers of such offerings, and probability of survival. These results hold inter-platform between the two main UK equity crowdfunding platforms (Seedrs and Crowdcube) as well as intra-platform, using the post-2015 quasi-natural experiment when the nominee approach became an option for startups raising capital on Crowdcube. |
| Keywords: | Entrepreneurial finance,corporate governance,nominee account |
| JEL: | G24 M13 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:cfswop:664&r= |
| By: | Hisahiro Naito; Askar Ismailov; Albert Benson Kimaro |
| Abstract: | This study examines the effect of the use of mobile money services on borrowing and saving using data from Tanzania. We estimate the causal effect of the use of mobile money on borrowing, saving, and receiving remittances by applying a two-stage least squares estimation using the shortest distance to the border of the areas with multiple mobile networks, which is a proxy for accessibility to a mobile network, as an instrumental variable, while controlling for distance to financial institutions, population density of the residence, night light luminosity, and other important covariates. We find that when a household experiences a negative shock, mobile money non-users increase borrowing, while mobile money users do not. Further, the use of mobile money increases the probability of saving in mobile money savings accounts and receiving remittances, while it decreases the probability of saving in less liquid assets such as livestock. On the other hand, we find that the effect of the use of mobile money on receiving remittances is the same for those who experience a negative shock and those who do not. These results indicate that the use of mobile money increases the receipt of remittances regardless of negative shocks and changes the saving portfolio, allowing a household to prepare for negative shocks. Hence, a household that uses mobile money does not need to increase borrowing in the face of a negative shock. Consistent with this interpretation, we find that experiencing a negative shock does not decrease the livelihood of mobile money users, while it does reduce that of non-users. |
| Date: | 2021–07 |
| URL: | http://d.repec.org/n?u=RePEc:tsu:tewpjp:2021-002&r= |
| By: | Tahsin Saadi Sedik; Mr. Michael Gorbanyov; Majid Malaika |
| Abstract: | The era of quantum computing is about to begin, with profound implications for the global economy and the financial system. Rapid development of quantum computing brings both benefits and risks. Quantum computers can revolutionize industries and fields that require significant computing power, including modeling financial markets, designing new effective medicines and vaccines, and empowering artificial intelligence, as well as creating a new and secure way of communication (quantum Internet). But they would also crack many of the current encryption algorithms and threaten financial stability by compromising the security of mobile banking, e-commerce, fintech, digital currencies, and Internet information exchange. While the work on quantum-safe encryption is still in progress, financial institutions should take steps now to prepare for the cryptographic transition, by assessing future and retroactive risks from quantum computers, taking an inventory of their cryptographic algorithms (especially public keys), and building cryptographic agility to improve the overall cybersecurity resilience. |
| Keywords: | quantum computing; quantum-safe encryption; cybersecurity; fintech.; fintech; functioning quantum computer; computing technology; quantum machine; encryption standard; hardware capability; cloud service; Computer science; Migration; Financial sector; Global |
| Date: | 2021–03–12 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfwpa:2021/071&r= |
| By: | Radwanski, Juliusz |
| Abstract: | Can the value of a cryptocurrency be uniquely determined by the fundamentals, such as the rule for money growth implicit in the design of the protocol? To answer this question, we construct a recursive asset-pricing model for a single fiat cryptocurrency, similar to actual Bitcoin. We think of our model as an ideal laboratory, in which equilibria correspond to model solutions that can generate actual data. Our approach stresses the role of the value function as an object of rational choice and hence rests on solid micro-foundations. By imposing enough economically motivated restrictions on that choice, we are able to pin down unique equilibrium and hence demonstrate that the value of our cryptocurrency is immune to self-fulfilling expectations. This result depends only on the design of the cryptocurrency protocol. |
| Keywords: | Bitcoin, cryptocurrency, equilibrium, expectations, money, sunspots. |
| JEL: | E40 E50 G12 |
| Date: | 2021–11–18 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:110746&r= |
| By: | Raphael Auer; Jon Frost; Michael Junho Lee; Antoine Martin; Neha Narula |
| Abstract: | In the past year, a number of central banks have stepped up work on central bank digital currencies (CBDCs – see map). For central banks, are CBDCs just a defensive reaction to private-sector innovations in money, or are they an opportunity for the monetary system? In this post, we consider several long-standing goals of central banks in their support and provision of retail payments, why and how central banks tackle these issues, and where CBDCs fit into the array of potential solutions. |
| Keywords: | CBDC; digital innovation |
| JEL: | E5 |
| Date: | 2021–12–01 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fednls:93420&r= |
| By: | Pazhanisamy, R.; Selvarajan, E. |
| Abstract: | The overwhelming public response towards the crypto currencies like Bitcoin, Ethorium has gained serious attention among the researchers and policy makers around the various countries. The rationale behind the claim of dis-intermediary of financial system and the low transaction cost effective nature coupled with the absence of the agency problems in the financial market creates an illusion among public to take part and attempt to speculate in it. The reviews of literature on the themes of the economics of the block chain technology used in the cryptos shows that there are high degree of uncertainties of the nature and the impact it create due to the absence regulations both partial and absolute terms on the one hand, the absence of theoretical, empirical, conceptual an methodological clarity from the economic theories on the other hand calls for an enquiry into the crypto's usefulness at the gross root levels for which this present attempt is made. Using a set of realistic assumptions a conceptual framework is prepared and the future of the money market equilibrium is predicted. In the lights of the changes in the money market equilibrium with response to the changes in the crypto currencies it is found that in the long run there will be negative impact on the economy certainly which leads to the collapse the global economics if it is unnoticed to implement necessary policy adjustments at the national and global levels collectively. |
| Keywords: | Block Chain Economics,Crypto Currency,Money Market Equilibrium,Economics of blockchain |
| JEL: | G15 G32 E42 E51 E58 F30 L51 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:esprep:247260&r= |
| By: | Benhoumane Ahmed (LEGO - Laboratoire d'Economie et de Gestion de l'Ouest - UBS - Université de Bretagne Sud - UBO - Université de Brest - IMT - Institut Mines-Télécom [Paris] - IBSHS - Institut Brestois des Sciences de l'Homme et de la Société - UBO - Université de Brest - UBL - Université Bretagne Loire - IMT Atlantique - IMT Atlantique Bretagne-Pays de la Loire - IMT - Institut Mines-Télécom [Paris]) |
| Abstract: | Purpose—Identifying the characteristics of fundraising messages generated by French charities and exploring which of these features engage the most social media users. Methodology — A qualitative approach was conducted on 444 fundraising messages from two of the most popular social media platforms [Facebook & Twitter]. Research implications/limitations—This paper identifies how social media users evaluate content and therefore explore what makes this prosocial content more engaging than another. Practical implications—Charities managers could use the findings of this paper, to design an engaging content and thereby optimizing the efficiency of fundraising campaigns. |
| Keywords: | Social Media,Message Characteristics,Fundraising Messages,Social media content,Interactions in social media,Réseaux sociaux |
| Date: | 2020–06–12 |
| URL: | http://d.repec.org/n?u=RePEc:hal:journl:hal-03390922&r= |
| By: | amri amamou, souhir |
| Abstract: | We investigate in this paper the evolution of the dynamic relationship between Covid-19 cases and cryptocurrency markets. Furthermore, we examine their sensitivity to the second wave period. Using a DCC-garch model, our findings show different sensitivities between cryptocurrency markets to the Covid-19 pandemic. Besides, we emphasize that the sensitivity of transaction volume in the cryptocurrency markets to the number of covid-19 cases is negatively and significantly affected by the second wave of the pandemic. Then, we underline a suspicious perception of the hedging power of the cryptocurrency market in the covid-19 period. |
| Keywords: | cryptocurrency markets, Covid-19, second wave period |
| JEL: | C1 C32 G15 |
| Date: | 2021–11–27 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:110843&r= |
| By: | David William Witts (Business School, Durham University, UK); Emili Tortosa-Ausina (IVIE, Valencia and IIDL and Department of Economics, Universitat Jaume I, Castellón, Spain); Iván Arribas (IVIE, ERI-CES and Department of Economic Analysis, Universitat de València, Spain) |
| Abstract: | The rise of the Internet, social media and the unfettered access to financial markets has fostered a new era of retail investing. Investing is no longer the activity of the professional, but is available to all, and being exploited to the greatest extent by users of Wall Street Bets. This research considered the implications of retail investors within the Wall Street Bets community on financial markets. Utilising VAR, ARDL and VECM models, we find that Wall Street Bets sentiment provides some incremental investment information, illustrating short-term predictive power over returns of specific assets, and may be beneficial in forecasting short-term volatility and trading volume. |
| Keywords: | ARDL models, Reddit, Sentiment Analysis, VADER, Wall Street Bets |
| JEL: | G1 G40 G41 C58 D53 |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:jau:wpaper:2021/13&r= |
| By: | Amez, Simon (Ghent University); Denecker, Floor (Ghent University); Ponnet, Koen (Ghent University); De Marez, Lieven (Ghent University); Baert, Stijn (Ghent University) |
| Abstract: | Previous studies have demonstrated a strong negative association between smartphone use and sleep quality. However, the majority of these studies quantified smartphone use with subjective self-reported metrics. In contrast, the current study contributes to the literature by objectively logging university students' smartphone use and investigating the association thereof with sleep quality. The extensive, nuanced smartphone usage information obtained from this logging also enables us to explore the validity of several mechanisms theorised to underlie the previously reported negative association between smartphone use and sleep quality. In contrast to earlier research, we do not find a significant association between sleep quality and the duration or frequency of students' daily smartphone use. However, students with the internalised habit of launching a greater number of applications per session ('gateway habits') experience worse sleep quality. This finding is consistent with literature showing that smartphone-related stress is more strongly associated with checking habits stemming from 'fear-ofmissing-out' than with overall screen time. |
| Keywords: | mobile DNA, smartphone use, smartphone use logging, fear-of-missing-out, gateway habits, sleep quality |
| JEL: | I10 L86 |
| Date: | 2021–10 |
| URL: | http://d.repec.org/n?u=RePEc:iza:izadps:dp14816&r= |
| By: | Mr. Ashraf Khan; Majid Malaika |
| Abstract: | Based on technical assistance to central banks by the IMF’s Monetary and Capital Markets Department and Information Technology Department, this paper examines fintech and the related area of cybersecurity from the perspective of central bank risk management. The paper draws on findings from the IMF Article IV Database, selected FSAP and country cases, and gives examples of central bank risks related to fintech and cybersecurity. The paper highlights that fintech- and cybersecurity-related risks for central banks should be addressed by operationalizing sound internal risk management by establishing and strengthening an integrated risk management approach throughout the organization, including a dedicated risk management unit, ongoing sensitizing and training of Board members and staff, clear reporting lines, assessing cyber resilience and security posture, and tying risk management into strategic planning.. Given the fast-evolving nature of such risks, central banks could make use of timely and regular inputs from external experts. |
| Keywords: | IMF Risk Management TA; risk landscape; B. IMF AIV; IMF surveillance; case example; Fintech; Central bank risk management; Cyber risk; Operational risk; Global; Middle East and Central Asia; Asia and Pacific; Western Hemisphere; Eastern Europe |
| Date: | 2021–04–23 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfwpa:2021/105&r= |
| By: | Dyna Heng; Serey Chea; Bomakara Heng |
| Abstract: | Interest rate caps, despite their intended objective of broadening financial inclusion, can have undesirable effects on financial inclusion under certain conditions. This paper examines the effect of microfinance-loan interest rate caps on financial inclusion in Cambodia. Based on a difference-in-difference analysis on bank and microfinance supervisory data, results show some unintended impact on financial inclusion. The cap led to a significant increase in non-interest fees charged on new loans following the introduction of an annual cap. Microfinance borrowers declined immediately, amid an increase in credit growth, as microfinance institutions targeted larger borrowers at the expense of smaller ones. Microfinance institutions, responded differently to the cap, considering their own operation and funding costs, and client base. Two years after the cap, institutions resumed lending to a wider group of borrowers with lower funding and operation costs brought by mobile payment development. |
| Keywords: | Financial Inclusion, Interest Rate Caps, Banking Sector; microfinance borrower; microfinance-loan interest rate caps; operation cost; supervisory data; impact of interest rate cap; Loans; Interest rate ceilings; Microfinance; Financial inclusion; Credit; Global |
| Date: | 2021–04–29 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfwpa:2021/107&r= |
| By: | Simplice A. Asongu (Yaounde, Cameroon); Valentine B. Soumtang (University of Yaoundé II, Cameroon); Ofeh M. Edoh (Yaoundé, Cameroon) |
| Abstract: | This study assesses financial determinants of informal financial sector development in 48 Sub-Saharan African countries for the period 1995-2017. Quantile regressions are used as the empirical strategy which enables the study to assess the determinants throughout the conditional distribution of informal sector development dynamics. The following financial determinants affect informal financial development and financial informalization differently in terms of magnitude and sign: bank overhead costs; net internet margin; bank concentration; return on equity; bank cost to income ratio; financial stability; loans from non-resident banks; offshore bank deposits and remittances. The determinants are presented from a plethora of perspectives, inter alia: U-Shape, S-Shape and positive or negative thresholds. The study not only provides a practical way by which to assess the incidence of financial determinants on informal financial sector development, but also provides financial instruments by which informal financial development can be curbed. |
| Keywords: | Informal finance; financial development; Africa |
| Date: | 2021–08 |
| URL: | http://d.repec.org/n?u=RePEc:exs:wpaper:21/077&r= |
| By: | Vaiva Vasiliauskaite; Fabrizio Lillo; Nino Antulov-Fantulin |
| Abstract: | We study the information dynamics between the largest Bitcoin exchange markets during the bubble in 2017-2018. By analysing high-frequency market-microstructure observables with different information theoretic measures for dynamical systems, we find temporal changes in information sharing across markets. In particular, we study the time-varying components of predictability, memory, and synchronous coupling, measured by transfer entropy, active information storage, and multi-information. By comparing these empirical findings with several models we argue that some results could relate to intra-market and inter-market regime shifts, and changes in direction of information flow between different market observables. |
| Date: | 2021–11 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2111.09057&r= |
| By: | Andrea Geraci; Mattia Nardotto; Tommaso Reggiani; Fabio Sabatini |
| Abstract: | We study the impact of broadband penetration on social capital in the UK. Our empirical strategy exploits a technological feature of the telecommunication infrastructure that generated substantial variation in the quality of Internet access across households. The speed of a domestic connection rapidly decays with the distance of a user's line from the network's node serving the area. Merging information on the topology of the network with geocoded longitudinal data about individual social capital from 1997 to 2017, we show that access to fast Internet caused a significant decline in civic and political engagement. Overall, our results suggest that broadband penetration crowded out several dimensions of social capital. |
| Keywords: | ICT; broadband infrastructure; networks; Internet; social capital; civic capital |
| JEL: | D91 L82 Z13 |
| Date: | 2021–11 |
| URL: | http://d.repec.org/n?u=RePEc:sap:wpaper:wp210&r= |
| By: | Kotaro Ishi; Mr. Takuji Komatsuzaki; Mr. Ippei Shibata; Suchanan Tambunlertchai; Jasmin Sin |
| Abstract: | This paper revisits the competitive environment of the banking system in Latin America and the Caribbean (LAC) and investigates the early impact of fintech development in the region thus far. Against the backdrop of high net interest margins (NIMs) and limited financial depth in the region, panel regressions broadly confirm results of existing literature on the association of NIMs with the changes in the financial sector structure, including market concentration, administrative costs, and foreign banks, although differences between domestic and foreign banks narrowed after the 2008-09 Global Financial Crisis. Difference-in-difference regressions and case studies on Brazil and Mexico suggest that fintech is associated with a reduction in NIMs and defensive responses by incumbent banks that benefit consumers. The case studies also shed light on regulatory approaches and prudential considerations in fostering financial innovation and banking sector competition. |
| Keywords: | banking sector competition; panel regression; net interest margins; market share; r p rotec tio n; Fintech; Commercial banks; Foreign banks; Competition; Real interest rates; Caribbean; Global |
| Date: | 2021–04–29 |
| URL: | http://d.repec.org/n?u=RePEc:imf:imfwpa:2021/114&r= |
| By: | Sébastien Marchand (CERDI - Centre d'Études et de Recherches sur le Développement International - CNRS - Centre National de la Recherche Scientifique - UCA - Université Clermont Auvergne); Damien Cubizol (CERDI - Centre d'Études et de Recherches sur le Développement International - CNRS - Centre National de la Recherche Scientifique - UCA - Université Clermont Auvergne); Elda Nasho Ah-Pine (CleRMa - Clermont Recherche Management - ESC Clermont-Ferrand - École Supérieure de Commerce (ESC) - Clermont-Ferrand - UCA - Université Clermont Auvergne); Huanxiu Guo (The Institute of Economics and Finance - Nanjing Audit University) |
| Abstract: | In 2013, the Chinese central government launched a war on air pollution. As a new and major source of information, the Internet plays an important role in diffusing environmental news emotion and shaping people's perceptions and emotions regarding the pollution. How could the government make use of the environmental news emotion as an informal regulation of pollution? The paper investigates the causal relationship between web news emotion (defined by the emotional tone of web news) and air pollution (SO2, NO2, PM2.5 and PM10) by exploiting the central government's war on air pollution. We combine daily monitoring data of air pollution at different levels (cities and counties, respectively the second and third administrative levels in China) with the GDELT database that allows us to have information on Chinese web news media (e.g. emotional tone of web news on air pollution). We find that a decrease of the emotional tone in web news (i.e. more negative emotions in the articles) can help to reduce air pollution at both city and county level. We attribute this effect to the context of China's war on air pollution in which the government makes use of the environmental news emotion as an informal regulation of pollution. |
| Keywords: | News emotion,Air pollution,Mass media,The internet,Government,China |
| Date: | 2021–11 |
| URL: | http://d.repec.org/n?u=RePEc:hal:wpaper:hal-03448375&r= |
| By: | J. Michael Collins; Jeff Larrimore; Carly Urban |
| Abstract: | Banking the unbanked is a common policy goal, but should this include access to bank accounts for minors? This study estimates how teenagers' access to bank accounts affects their financial development. Using variation in state laws, we show policies that permit access to independently-owned accounts increase account ownership at age 16 through age 19, although by age 24 those young adults are banked at similar rates to teens who grew up in states that do not allow minors to own accounts independently. Teens who had access to independently-owned accounts use fewer high-cost alternative financial services (like payday loans) through age 20—but are then more likely to use AFS, particularly check-cashing services, from age 21 through 24. Using credit records, we show that access to non-custodial accounts has no effects on credit scores in the short-run, but lower credit scores and more loan delinquencies at ages 21 through 24. While these state laws promote financial inclusion for teenagers, the young people who take on accounts may experience negative consequences in the longer run. |
| Keywords: | Unbanked; Financial Inclusion; Bank Regulation; Financial Capability |
| JEL: | D14 D18 G18 G21 G28 |
| Date: | 2021–11–19 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedgfe:2021-75&r= |
| By: | Dušan Mladenović; Kamil Koštiál; Nikolina Ljepava; Ondřej Částek; Yash Chawla |
| Abstract: | Emojis have become extremely popular in online marketing. Marketers use emojis to humanize their voice and elicit an emotional response from their target audiences. However, little is known about how emojis are perceived and what kind of reactions they evoke in consumers. The aim of this study is to examine whether exposure to emojis leads to an increased purchase intention, and whether its use leads to higher revenue generation and campaign effectiveness. The results show that the use of emojis had a negative effect on purchase intention; however, it was positive when mediated by positive affect. Emojis increased the effectiveness of marketing campaigns for hedonic products and had a strong impact on the return on advertising spend. However, for utilitarian products, the effect was marginal. The findings have theoretical and practical implications, particularly for the type of products emojis are most effective in promoting, gender differences, and real-life consumer behavior. |
| Keywords: | Emojis; Online marketing; Social media; Campaign effectiveness; Revenue generation; Return on advertising; Return on investment; Hedonic product; Utilitarian product; |
| JEL: | D40 D81 D83 D87 |
| Date: | 2021–11–30 |
| URL: | http://d.repec.org/n?u=RePEc:ahh:wpaper:worms2113&r= |
| By: | Mia Hoffmann; Laura Nurski |
| Abstract: | Artificial intelligence (AI) is considered a key driver of future economic development, expected to increase labour productivity and economic growth worldwide. To realise these gains, AI technologies need to be adopted by companies and integrated into their operations. However, it is unclear what the current level of AI adoption by European firms actually is. Estimates vary widely because of uneven data collection and lack of a standard definition and taxonomy... |
| Date: | 2021–11 |
| URL: | http://d.repec.org/n?u=RePEc:bre:polcon:46075&r= |
| By: | Krishnamurthy, Arvind (Stanford Graduate School of Business and NBER); Li, Wenhao (Stanford Graduate School of Business and NBER) |
| Abstract: | Bank-created money, shadow-bank money, and Treasury bonds all satisfy investor’s demand for a liquid transaction medium and safe store of value. We measure the quantity of these three forms of liquidity and their corresponding liquidity premium over a sample from 1926 to 2016. We empirically examine the links between these different assets, estimating the extent to which they are substitutes, and the amount of liquidity per-unit-of-asset delivered by each asset. We construct a new broad monetary aggregate based on our analysis and show that it helps resolves the money-demand instability and missing-money puzzles of the monetary economics literature. Our empirical results inform models of the monetary transmission mechanism running through shifts in asset supplies, such as quantitative easing policies. Our results on the substitutability of bank and shadow-bank money also inform analyses of the coexistence of the shadow-banking and regulated banking system. |
| JEL: | E41 E44 E63 G12 |
| Date: | 2021–08 |
| URL: | http://d.repec.org/n?u=RePEc:ecl:stabus:3991&r= |
| By: | Matic, Jovanka; Packham, Natalie; Härdle, Wolfgang |
| Abstract: | The cryptocurrency (CC) market is volatile, non-stationary and non-continuous. This poses unique challenges for pricing and hedging CC options. We study the hedge behaviour and effectiveness for a wide range of models. First, we calibrate market data to SVI-implied volatility surfaces, which in turn are used to price options. To cover a wide range of market dynamics, we generate price paths using two types of Monte Carlo simulations. In the first approach, price paths follow an SVCJ model (stochastic volatility with correlated jumps). The second approach simulates paths from a GARCH-filtered kernel density estimation. In these two markets, options are hedged with models from the class of affine jump diffusions and infinite activity Lévy processes. Including a wide range of market models allows to understand the trade-off in the hedge performance between complete, but overly parsimonious models, and more complex, but incomplete models. Dynamic Delta, Delta-Gamma, Delta-Vega and minimum variance hedge strategies are applied. The calibration results reveal a strong indication for stochastic volatility, low jump intensity and evidence of infinite activity. With the exception of short-dated options, a consistently good performance is achieved with Delta-Vega hedging in stochastic volatility models. Judging on the calibration and hedging results, the study provides evidence that stochastic volatility is the driving force in CC markets. |
| Date: | 2021 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:irtgdp:2021021&r= |
| By: | Christopher T. Stanton; Catherine Thomas |
| Abstract: | This paper estimates the magnitude and distribution of surplus from the knowledge worker gig economy using data from an online labor market. Labor demand elasticities determine workers’ wages, and buyers’ past market experience shapes both their job posting frequency and hiring rates. We find that workers on the supply side capture around 40% of the surplus from filled jobs. Under counterfactual policies that resemble traditional employment regulation, buyers post fewer online jobs and fill posted jobs less often, reducing expected surplus for all market participants. We find negligible substitution on the demand side between online and offline jobs by assessing how changes in local offline minimum wages affect online hiring. The results suggest that neither online or offline knowledge workers will benefit from applying traditional employment regulation to the online gig economy. |
| JEL: | F66 J23 J8 L24 L51 M5 |
| Date: | 2021–11 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:29477&r= |
| By: | Sidharth Mallik |
| Abstract: | This research proposes a model for the intraday variation between the ETHBTC spot and the quotient of ETHUSDT and BTCUSDT traded on Binance. Under conditions of no-arbitrage, perfect accuracy and no microstructure effects, the variation must be equal to its theoretically computed value of 0. We conduct our research on 4 years of data. We find that the variation is not constantly 0. The variation shows a fluctuating behaviour on either side of 0. Furthermore, the deviations tend to be larger in the first year than the rest of the years. We test the sample for the nature of diffusion where we find evidence of mean-reversion. We model the variation using an Ornstein-Uhlenbeck process. A maximum likelihood estimation procedure is used. From the accuracy of the sampling distribution of the parameters obtained, we conclude that the variation may be accurately modelled as an Ornstein-Uhlenbeck process. From the parameters obtained, the long-term mean is shown to have a negative sign and differs from the theoretical value of 0 at 1e-05 precision. We take note of the results in light of efficiency of the markets to price publicly known information. |
| Date: | 2021–11 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2111.11609&r= |
| By: | Xiao-Yang Liu; Hongyang Yang; Jiechao Gao; Christina Dan Wang |
| Abstract: | Deep reinforcement learning (DRL) has been envisioned to have a competitive edge in quantitative finance. However, there is a steep development curve for quantitative traders to obtain an agent that automatically positions to win in the market, namely \textit{to decide where to trade, at what price} and \textit{what quantity}, due to the error-prone programming and arduous debugging. In this paper, we present the first open-source framework \textit{FinRL} as a full pipeline to help quantitative traders overcome the steep learning curve. FinRL is featured with simplicity, applicability and extensibility under the key principles, \textit{full-stack framework, customization, reproducibility} and \textit{hands-on tutoring}. Embodied as a three-layer architecture with modular structures, FinRL implements fine-tuned state-of-the-art DRL algorithms and common reward functions, while alleviating the debugging workloads. Thus, we help users pipeline the strategy design at a high turnover rate. At multiple levels of time granularity, FinRL simulates various markets as training environments using historical data and live trading APIs. Being highly extensible, FinRL reserves a set of user-import interfaces and incorporates trading constraints such as market friction, market liquidity and investor's risk-aversion. Moreover, serving as practitioners' stepping stones, typical trading tasks are provided as step-by-step tutorials, e.g., stock trading, portfolio allocation, cryptocurrency trading, etc. |
| Date: | 2021–11 |
| URL: | http://d.repec.org/n?u=RePEc:arx:papers:2111.09395&r= |