nep-pay New Economics Papers
on Payment Systems and Financial Technology
Issue of 2018‒06‒18
39 papers chosen by
Bernardo Bátiz-Lazo
Bangor University

  1. Bitcoin price and its marginal cost of production: support for a fundamental value By Adam Hayes
  4. Herding Behaviour in the Cryptocurrency Market By Elie Bouri; Rangan Gupta; David Roubaud
  5. Mobile Phones and Mozambique Farmers: Less Asymmetric Information and More Trader Competition? By Wouter Zant
  6. Plateformes et évolution du système bancaire By Hervé Alexandre
  7. The digital transformation of news media and the rise of disinformation and fake news By Bertin Martens; Luis Aguiar; Estrella Gomez Herrera; Frank Muller
  8. Mobile Banking : A Closer Look at Survey Measures By Ellen A. Merry
  9. Digitalisierung der Arbeit in der ambulanten Pflege im Land Bremen: Praxis und Gestaltungsbedarfe digitaler Tourenbegleiter By Pöser, Stephanie; Bleses, Peter
  10. DigComp into action: Get inspired, make it happen. A user guide to the European Digital Competence Framework By Stefano Kluzer; Laia Pujol Priego
  11. A taxonomy of digital intensive sectors By Flavio Calvino; Chiara Criscuolo; Luca Marcolin; Mariagrazia Squicciarini
  12. Price Customization and Targeting in Platform Markets By Gomes, Renato; Pavan, Alessandro
  13. Selling Strategic Information in Digital Competitive Markets By David Bounie; Antoine Dubus; Patrick Waelbroeck
  14. Advertising as a reminder: Evidence from the Dutch State Lottery By Klein, Tobias
  15. China Merchants in Djibouti: from the maritime road to the digital silk road By Thierry Pairault
  16. Machine Learning the Cryptocurrency Market By Laura Alessandretti; Abeer ElBahrawy; Luca Maria Aiello; Andrea Baronchelli
  17. Mobile Marketing By Nufer, Gerd; Donges, Felix
  18. The roots of the Euro By Labrinidis, George
  19. Broadband and Uneven Spatial Development: The Case of Cardiff City-Region By Jones, Calvin
  20. Taxing Direct Sales of Digital Services: A Plea for Regulated and Internationally Coordinated Profit Splitting By Wolfram F. Richter
  21. The Securities Settlement System and Distributed Ledger Technology By Kenta Sekiguchi; Makoto Chiba; Mikari Kashima
  22. Future of Work in Australia: Preparing for tomorrow’s world By Rebecca Cassells; Alan S Duncan; Astghik Mavisakalyan; John Phillimore; Richard Seymour; Yashar Tarverdi
  23. Bubbles and Persuasion with Second Order Uncertainty By Sara Negrelli
  24. Diversification, integration and cryptocurrency market By Sofia Anyfantaki; Stelios Arvanitis; Nikolas Topaloglou
  25. A Regulatory Sandbox for Robo Advice By Ringe, Wolf-Georg; Ruof, Christopher
  26. Digital governance and the reconstruction of the Indian anti-poverty system By Masiero, Silvia
  27. Central Banking and Macroeconomic Ideas: Economics, Politics and History By Donato Masciandaro
  28. Spatial Pricing in Ride-Sharing Networks By Bimpikis, Kostas; Candogan, Ozan; Saban, Daniela
  29. Trust and privacy: How trust affects individuals' willingness to disclose personal information By Heldman, Christina; Enste, Dominik
  30. Central bank policies in recent years By Goodhart, Charles
  31. Spinning the Web: The Impact of ICT on Trade in Intermediates and Technology Diffusion By Réka Juhász; Claudia Steinwender
  32. Algorithmic Trading with Fitted Q Iteration and Heston Model By Son Le
  33. Social Networks and Informal Financial Inclusion in the People’s Republic of China By Chai, Shijun; Chen, Yang; Huang, Bihong; Ye, Dezhu
  34. Product Variety, Across-Market Demand Heterogeneity, and the Value of Online Retail By Thomas W. Quan; Kevin R. Williams
  35. Carpooling and the Economics of Self-Driving Cars By Ostrovsky, Michael; Schwarz, Michael
  36. Introduction By Simplice Asongu
  37. Effects of driverless vehicles: A review of simulations By Pernestål Brenden , Anna; Kristoffersson , Ida
  38. If you do it, do it right: The need for a common European supervisory architecture for CCPs By Friedrich, Jan; Resch, Christian; Thiemann, Matthias
  39. Regime switching in the presence of endogeneity By Tom Auld; Oliver Linton

  1. By: Adam Hayes
    Abstract: This study back-tests a marginal cost of production model proposed to value the digital currency bitcoin. Results from both conventional regression and vector autoregression (VAR) models show that the marginal cost of production plays an important role in explaining bitcoin prices, challenging recent allegations that bitcoins are essentially worthless. Even with markets pricing bitcoin in the thousands of dollars each, the valuation model seems robust. The data show that a price bubble that began in the Fall of 2017 resolved itself in early 2018, converging with the marginal cost model. This suggests that while bubbles may appear in the bitcoin market, prices will tend to this bound and not collapse to zero.
    Date: 2018–05
  2. By: Emanuele Borgonovo; Stefano Caselli; Alessandra Cillo; Donato Masciandaro
    Abstract: The aim of this paper is to analyse the demand of a central bank digital currency (CBDC). Using a financial portfolio approach and assuming that individual preferences and policy votes are consistent, we identify the drivers of the political consensus in favour or against such as new currency. Given three different properties of a currency – where the first two are the standard functions of medium of exchange and store of value and the third one is the less explored function of store of information – and three different existing moneys – paper currency, banking currency and cryptocurrency – if the individuals are rational but at the same time can be affected by behavioural biases – loss aversion - three different groups of individuals – respectively lovers, neutrals and haters – emerge respect to the CBDC option. Given the alternative opportunity costs of the different currencies, the CBDC issuing is more likely to occur the more the individuals likes to use a legal tender, and/or are indifferent respect to anonymity; at the same time, the probability of the CBDC introduction increases if a return can be paid on it, and/or its implementation can guarantee at least the counterparty anonymity.
    Keywords: Central Bank Digital Currencies, Cash, Bitcoin, Cryptocurrencies
    JEL: B22 D72 E41 E42 E52 E58 G38 K42
    Date: 2018
  3. By: Emanuele Borgonovo; Stefano Caselli; Alessandra Cillo; Donato Masciandaro
    Abstract: The aim of this paper is to offer a theoretical primer in order to analyse the demand of a central bank digital currency (CBDC). Using a financial portfolio approach and assuming that individual preferences and policy votes are consistent, we identify the drivers of the political consensus in favour or against such as new currency. Given three different properties of a currency – where the first two are the standard functions of medium of exchange and store of value and the third one is the less explored function of store of information – and three different existing moneys – paper currency, banking currency and cryptocurrency – if the individuals are rational but at the same time can be affected by behavioural biases – loss aversion - three different groups of individuals – respectively lovers, neutrals and haters – emerge respect to the CBDC option. Given the alternative opportunity costs of the different currencies, the CBDC issuing is more likely to occur the more the individuals likes to use a legal tender, and/or are indifferent respect to anonymity; at the same time, the probability of the CBDC introduction increases if a return can be paid on it, and/or its implementation can guarantee at least the counterparty anonymity.
    Keywords: Central Bank Digital Currencies, Cash, Bitcoin, Cryptocurrencies
    JEL: B22 D72 E41 E42 E52 E58 G38 K42
    Date: 2017
  4. By: Elie Bouri (USEK Business School, Holy Spirit University of Kaslik, Jounieh, Lebanon); Rangan Gupta (Department of Economics, University of Pretoria, Pretoria, South Africa); David Roubaud (Montpellier Business School, Montpellier, France)
    Abstract: This study examines the presence of herding in the cryptocurrency market. The latter is the outcome of mass collaboration and imitation. Results from the static model suggest no significant herding. However, the presence of structural breaks and nonlinearities in the data series suggests applying a static model is not appropriate. Accordingly, we conduct a rolling-window analysis, and those results point to significant herding behavior, which varies over time. Using a logistic regression, we find that herding tends to occur as uncertainty increases. Our findings induce useful insights related to portfolio and risk management, trading strategies, and market efficiency.
    Keywords: Bitcoin; cryptocurrency market, herding behavior, economic policy uncertainty
    JEL: C22 G13
    Date: 2018–06
  5. By: Wouter Zant (VU Amsterdam)
    Abstract: We measure the impact of search costs on farmers’ and traders’ transaction prices in Mozambique by investigating to what extent the introduction of mobile phones has affected the margin between recorded maize producer and retail market prices, and by exploring if producers or traders benefit from possible margin changes. Estimations are based on weekly producer and retail market prices of white maize grain, from July 1997 to December 2009, for 15 major producer markets in Mozambique. We find a margin increase that varies from 4.5% to 9.6%, supporting a bias of benefits of mobile phones towards maize traders and hence not less asymmetric information and increased trader competition, but rather the reverse. Impacts on producer and market prices independently vary, but confirm the margin results. Estimation results are robust for non-random rollout of the mobile phone network and various other threats.
    Keywords: search costs; transport costs; mobile phones; agricultural markets; maize prices; Mozambique; sub-Sahara Africa
    JEL: O13 O33 Q11 Q13
    Date: 2018–06–15
  6. By: Hervé Alexandre (DRM - Dauphine Recherches en Management - Université Paris-Dauphine - CNRS - Centre National de la Recherche Scientifique)
    Abstract: The US bank Citigroup1 maintains that the bank of the future will be a platform and is actively preparing for this eventuality. The most striking example of this change of tack is CitiDirectBE, which aims to provide a number of services to Citigroup’s institutional clients, including online treasury and trade services. Citigroup is not the only banking group to view its future in this way, but not all are moving at the same pace. ING intends becoming “the Spotify of banking”, by speeding up its technological transition and emphasizing its flexibility and adaptability and its experience of digital banking. French banks too are making headway and have recently increased their advertising and investment in digital banking. The challenge is to be present “anytime anywhere” and to be able to respond individually to every customer. These examples, while symbolically interesting, underline the need to define a platform in economics before we can consider what a banking platform might be. Taking advantage of smartphone use to add a new distribution channel is only a partial approach and does not amount to creating a platform, at least not in terms of economic theory and managerial practices. Rather than talking about the “uberization” of banking, which is reductive and somewhat off topic, it is rather a question of addressing the “platformization” of banking and its possible effect on the entire value chain and in particular on the management of payment methods.It is essential first of all to define and present the idea of a platform in economics. This notion is quite recent and draws on two theoretical currents: first, the theory of networks in economics and, second, the two-sided market approach in industrial economics. The first is concerned with the process of economic intermediation between producers and users of a good or a service. It focuses on regulation as well as the problems of optimizing the externalities produced by these networks and their capacity to attract suppliers and demanders. The two-sided markets approach focuses more specifically on the structure of these markets and pricing on each side of the market.A platform therefore has a much broader meaning than that used by Citigroup or ING. Once organizations adopt a platform, it implies a profound change in the structure of their markets and governance. An organization that decides to develop one of its activities in the form of a platform would be making a basic strategic mistake if it were to view it simply as the diversification of its distribution channels. The fact that customers can contact their bank via smartphone as well as by computer or through the relationship with their bank branch does not constitute a platform positioning. Similarly, the mushrooming of fintech in recent years should not be analysed in terms of the creation of new products or distribution channels. Rather, it points to the emergence of platforms that call into question the use of money, through new means of payment, and more generally of banking and financial services for which technical expectations are moderate. Indeed, we will see that banking businesses such as investment and finance, which are more complex, involve a relationship that it is difficult to reduce simply to digital contact. The behaviour of private individuals in their relationship with a commercial bank is different to that of multinationals using the sophisticated services of an investment bank.
    Abstract: Dans une période de digitalisation de l'ensemble de l'activité économique, il est intéressant de s’interroger sur le niveau de transformation que les services bancaires et financiers vont subir suite à ce phénomène. On constate en effet, depuis une dizaine d’années, une modification profonde de la manière qu'ont les gens de consommer de la musique ou de la vidéo, d'échanger des photos, de louer une voiture ou un appartement. On n’achète plus de disques ou de DVD, on consomme de la musique ou des films. L’usage prend le pas progressivement sur la propriété, quel que soit le bien considéré. Ce phénomène ne touche pas uniquement les biens ou services dont la valeur est modique. Il concerne également les biens pour lesquels la propriété a longtemps été un facteur d’affichage de réussite sociale ou de constitution de patrimoine constitué afin de réduire les aléas de la vie ou pour transmettre aux générations à venir, comme l’automobile ou les biens immobiliers. Si tous les services et les biens semblent affectés par ce phénomène, qu'en est-il de l’argent, un bien très particulier, et de l’activité de paiement si intimement liée ?La gestion de la monnaie a longtemps été considérée comme un “service financier” fondamental. La monnaie devait être un bien réel, désiré et au coût de production connu. La lente disparition de la monnaie physique n'a pu s’opérer que parallèlement à un accroissement de la confiance que les individus portent aux banques. La confiance en la matière s'est transférée en une confiance en l’institution. Il apparaît aujourd'hui clairement que la composante physique de la monnaie disparaît, du fait notamment de la généralisation du paiement électronique et des smartphones comme outil permettant l’échange économique et le paiement et de l’apparition de nouveaux acteurs non bancaires permis par une régulation évoluant rapidement.Les comportements des individus face à la digitalisation de l’argent peuvent être plus aisément compris à partir de l’approche de Kahneman (2012). Ce dernier sépare le mécanisme cognitif en deux systèmes, le premier adapté aux prises de décisions rapides et simples, le second mieux à même de traiter des problèmes complexes avec des conséquences de plus long terme. Cette approche des comportements face à l’argent est d’autant plus pertinente depuis l’émergence des smartphones dans la vie quotidienne, notamment lors de transactions économiques et financières. Cette évolution des comportements suppose de tenir compte également des différences générationnelles et géographiques des individus.Une part croissante des échanges économiques implique que ces derniers soient portés à la connaissance d'une communauté. L'échange est alors partagé avec d'autres membres de la communauté et éloigne encore plus cette utilisation de l'argent d'une utilisation plus personnelle pour laquelle la technicité mais également la discrétion sont de rigueur. On constate ici une nouvelle illustration de la dichotomie entre l'argent immédiat lié à l’usage et l'argent objet pour lequel d'autres processus cognitifs sont à l’œuvre.
    Keywords: Banque,Plateformes,digital
    Date: 2017
  7. By: Bertin Martens (European Commission – JRC - IPTS); Luis Aguiar (European Commission – JRC - IPTS); Estrella Gomez Herrera (European Commission – JRC - IPTS); Frank Muller (European Commission – JRC - IPTS)
    Abstract: This report contains an overview of the relevant economic research literature on the digital transformation of news markets and the impact on the quality of news. It compares various definitions of fake news, including false news and other types of disinformation and finds that there is no consensus on this. It presents some survey data on consumer trust and quality perceptions of various sources of online news that indicate relatively high trust in legacy printed and broadcasted news publishers and lower trust in algorithm-driven news distribution channels such as aggregators and social media. Still, two thirds of consumers access news via these channels. More analytical empirical evidence on the online consumption of genuine and fake news shows that strong newspaper brands continue to attract large audiences from across the political spectrum for direct access to newspaper websites. Real news consumption on these sites dwarfs fake news consumption. Fake news travels faster and further on social media sites. Algorithm-driven news distribution platforms have reduced market entry costs and widened the market reach for news publishers and readers. At the same time, they separate the role of content editors and curators of news distribution. The latter becomes algorithm-driven, often with a view to maximize traffic and advertising revenue. That weakens the role of trusted editors as quality intermediaries and facilitates the distribution of false and fake news content. It might lead to news market failures. News distribution platforms have recently become aware of the need to correct for these potential failures. Non-regulatory initiatives such as fact-checking, enhanced media literacy and news media codes of conduct can also contribute.
    Keywords: fake news, disinformation, media industries, online news, multi-sided markets, news aggregators, social media
    Date: 2018–05
  8. By: Ellen A. Merry
    Abstract: This note presents new estimates of mobile banking use in 2017, as well as insights on types of users and their behaviors.
    Date: 2018–03–27
  9. By: Pöser, Stephanie; Bleses, Peter
    Abstract: Die ambulante Pflege steht vor großen Herausforderungen, die sich als Folgen insbesondere der sozio-demo-grafischen Veränderungen, der Ökonomisierung in der Pflege und der zugleich wachsenden Qualitätsansprüche an die Pflege ergeben. Die drohenden Engpässe in Folge des wachsenden Fachkräftemangels in der ambulanten pflegerischen Versorgung sind schon heute nur durch großen Organisationsaufwand und Arbeitsverdichtung aufzufangen. Einspringende Pflegekräfte, die ausfallende Kollegen und Kolleginnen ersetzen, sind dann oft von Informationsmangel über Pflegeleistungen und Patienten und Patientinnen betroffen, was ein großes Unsicherheitspotenzial bedingt und Auswirkungen auf die Arbeits- und Pflegequalität haben kann. Viele Pflegedienste suchen deshalb nach Möglichkeiten der Effizienzsteigerung, der verbesserten Touren-(Re-)Organisation und Bereitstellung von Informationen auf den Touren. Diesen Bedarf sollen sogenannte "digitale Tourenbegleiter" erfüllen. Das sind Smartphones oder Tablets, die mit spezieller Software für die Pflegeorganisation ausgestattet sind. Wir nennen sie kurz MDA (Mobile Digital Assistants). Sie werden zu einem zentralen Arbeitsmittel der Pflegekräfte, mit dem sie tagtäglich im laufenden Arbeitsprozess umzugehen haben. Die Geräte bieten neue Möglichkeiten der stetigen Datenübertragung und verändern die Kommunikations- und Koordinationsprozesse zwischen Pflegekräften und der Pflegezentrale erheblich. Damit erobert die Digitalisierung von Arbeit einen Bereich personaler sozialer Dienstleistungen, der bislang noch weitgehend "analog" und vor allem subjektorientiert geprägt war. Die von einer wachsenden Zahl von sozialen Pflegediensten eingesetzten Geräte bieten einen unterschiedlich großen Funktionsumfang, der differierende Anforderungen an die verschieden qualifizierten Pflegekräfte wie auch an die Führungskräfte (Pflegedienstleitung, Tourenplanung, Qualitätsmanagement) in den Pflegezentralen bedingt. Bislang gibt es kaum empirische Untersuchungen zur Verbreitung, Nutzung und den sich stellenden Anforderungen sowie die Auswirkungen dieser Digitalisierung in der Pflegearbeit. Hilft sie den Pflegekräften und Pflegediensten angesichts der bereits sehr hohen Belastungen? Oder steigen die Belastungen durch die neuen Herausforderungen (zunächst) sogar noch an? Die Ergebnisse der vorliegenden Studie für das Land Bremen zeigen vor allem, dass nicht nur die meisten Führungskräfte, sondern - nach manchmal anfänglichen Bedenken - auch die Pflegekräfte überwiegend gut mit den Geräten und der Software zurechtkommen. Es liegen allerdings noch Potenziale in der Organisation und der Nutzung dieser digitalen Technik, die erstens die Technikakzeptanz und den Nutzen dieser digitalen Technik in der Pflege steigern sowie zweitens einige mit ihr verbundene Risiken senken könnten. Dabei handelt es sich einerseits um Potenziale, die zeitnah zu heben sind. Sie bestehen vor allem darin, bei der Einführung und in der weiteren Praxis bei allen Beteiligten für mehr Handlungssicherheit zu sorgen (z. B. in Fragen des Arbeitsrechts und der Kontrollmöglichkeiten von Pflegekräften durch Arbeitgeber). Andererseits gibt es Potenziale, die erst langfristig gehoben werden können, weil z. B. technische Schnittstellen und Datenschutzfragen zu klären sind. Potenziale liegen vor allem in der Vernetzung der ambulanten Pflege mit externen Partnern (Krankenhäuser, Apotheken, Arztpraxen usw.).
    Date: 2018
  10. By: Stefano Kluzer; Laia Pujol Priego (Thinkoutsight)
    Abstract: This Guide supports stakeholders in the implementation of the European Digital Competence Framework (DigComp) through sharing of 38 existing inspiring practices of DigComp implementations. These are illustrated by 50 content items consisting of Case studies and Tools. The list of examples provided in the Guide’s annex is not exhaustive and aims to illustrate the wide range of DigComp implementation practices.
    Keywords: digital competence, skills, digital skills, New Skills Agenda, employment
    Date: 2018–05
  11. By: Flavio Calvino (OECD); Chiara Criscuolo (OECD); Luca Marcolin (OECD); Mariagrazia Squicciarini (OECD)
    Abstract: This study proposes a taxonomy of sectors according to the extent to which they have gone digital. The taxonomy accounts for some of the key facets of the digital transformation, and recognises that sectors differ in their development and adoption of the most advanced “digital” technologies, in the human capital needed to embed them in production and in the extent to which digital tools are used to deal with clients and suppliers. The indicators used to classify 36 ISIC revision 4 sectors over the period 2001-15 are: share of ICT tangible and intangible (i.e. software) investment; share of purchases of intermediate ICT goods and services; stock of robots per hundreds of employees; share of ICT specialists in total employment; and the share of turnover from online sales. The study further proposes an overall summary indicator of the digital transformation in sectors which encompasses all the considered dimensions.
    Date: 2018–06–15
  12. By: Gomes, Renato; Pavan, Alessandro
    Abstract: Recent technologies enable matching intermediaries to engage in unprecedented levels of targeting, whereby matches finely depend on the agents' characteristics, but also favor customized (i.e., match-specific) pricing. Yet, novel regulations on the transfer of personal data, as well as a renewed trend towards market decentralization, are expected to hinder price customization and favor uniform pricing (whereby the price of a match charged to agents on a given side of a market is invariant in the agents' observable characteristics). To assess the impact of these developments, we build a matching model in which agents' preferences are both vertically and horizontally differentiated. Mirroring current practices, we show how, absent regulations, platforms maximize profits through price customization, link the latter to structural elasticities, and assess the targeting effects of market power. Perhaps surprisingly, we show that uniform pricing may either increase or decrease targeting levels and consumer welfare, depending on testable properties of demand. The analysis has implications for online shopping, ad-exchanges, and media platforms.
    Keywords: asymmetric information; incentives; Many-to-many matching; platforms; price discrimination
    JEL: D82
    Date: 2018–05
  13. By: David Bounie (Télécom ParisTech); Antoine Dubus (Télécom ParisTech); Patrick Waelbroeck (Ecole Nationale Supérieure des Télécommunications de Bretagne)
    Abstract: This paper investigates the strategies of a data broker in selling information to one or to two competing firms that can price-discriminate consumers. The data broker can strategically choose any segment of the consumer demand (information structure) to sell to firms that implement third-degree price-discrimination. We show that the equilibrium profits of the data broker are maximized when (1) information identifies the consumers with the highest willingness to pay; (2) consumers with a low willingness to pay remain unidentified; (3) the data broker sells two symmetrical information structures. The data broker therefore strategically sells partial information on consumers in order to soften competition between firms. Extending the baseline model, we prove that these results hold under first-degree price-discrimination.
    Keywords: Data broker,Information Structure,Price-discrimination
    Date: 2018–05–17
  14. By: Klein, Tobias
    Abstract: We use high frequency data on TV and radio advertising together with data on online sales for lottery tickets to measure the short run effects of advertising. We find them to be strong and to last for up to about 4 hours. They are the bigger the less time there is until the draw. We develop the argument that this finding is consistent with the idea that advertisements remind consumers to buy a ticket and that consumers value this. Then, we point out that in terms of timing the interests of the firm and the consumers are aligned: consumers wish to be reminded in a way that makes them most likely to consider buying a lottery ticket. We present direct evidence that this does not only affect the timing of purchases, but leads to market expansion. Then, we develop a tractable dynamic structural model of consumer behavior, estimate the parameters of this model and simulate the effects of a number of counterfactual dynamic advertising strategies. We find that relative to the actual schedule it would be valued by the consumers and profitable for the firm to spread advertising less over time and move it to the last days before the draw.
    Keywords: adoption model; dynamic demand; limited attention; reminder advertising
    JEL: D12 D83 M37
    Date: 2018–05
  15. By: Thierry Pairault (CECMC-CCJ - Centre d'études sur la Chine moderne et contemporaine - EHESS - École des hautes études en sciences sociales - CNRS - Centre National de la Recherche Scientifique)
    Date: 2018–05–27
  16. By: Laura Alessandretti; Abeer ElBahrawy; Luca Maria Aiello; Andrea Baronchelli
    Abstract: Machine learning and AI-assisted trading have attracted growing interest for the past few years. Here, we use this approach to test the hypothesis that the inefficiency of the cryptocurrency market can be exploited to generate abnormal profits. We analyse daily data for $1,681$ cryptocurrencies for the period between Nov. 2015 and Apr. 2018. We show that simple trading strategies assisted by state-of-the-art machine learning algorithms outperform standard benchmarks. Our results show that non-trivial, but ultimately simple, algorithmic mechanisms can help anticipate the short-term evolution of the cryptocurrency market.
    Date: 2018–05
  17. By: Nufer, Gerd; Donges, Felix
    Abstract: Die rasante Verbreitung mobiler Endgeräte und die damit einhergehenden Verbesserungen der Technik haben in den letzten Jahren dazu geführt, dass Unternehmen ihre Werbebudgets verstärkt in mobiles Marketing investieren. Verglichen mit klassischer Werbung zeichnet sich mobiles Marketing durch eine personalisierte und ortsspezifische Ansprache des Empfängers aus. In Anbetracht einer durch viele Konsumenten wahrgenommenen Informationsüberflutung können dadurch echte Mehrwerte erzielt werden. Aufbauend auf der aktuellen Literatur soll diese Arbeit einen Überblick über den Stand der Forschung des mobilen Marketings geben. Dabei werden die unterschiedlichen Formen und Ausprägungen des mobilen Marketings und deren Auswirkungen auf das Verhalten des Empfängers beleuchtet. Darüber hinaus wird anhand aktueller Beispiele aus der Unternehmenswelt gezeigt, wie mobiles Marketing derzeit in der Praxis gelebt wird. Aus den theoretischen und praktischen Erkenntnissen werden schließlich Handlungsempfehlungen abgeleitet, die Herstellern, Händlern und Dienstleistern dabei helfen sollen, eine erfolgreiche mobile Marketingstrategie zu planen und zu implementieren.
    Keywords: Marketing,Management
    Date: 2018
  18. By: Labrinidis, George
    Abstract: Indisputably, the euro has played a pivotal role in the development of Europe. Yet, the euro has also been very controversial, raising many discussions related to the nature, role and form of the “common currency”. This paper aims at contributing to this ongoing debate from a Marxist perspective, presenting the theoretical framework of quasi-world money and examining the evolution of the euro as such, from the 1950s when the idea appeared for the first time. In particular, the paper focuses on the processes that led to the emergence of the euro as quasi-world money. These processes comprised a series of political solutions to the contradiction between the necessity of all major European countries to impose their money on the European market on the one hand, and their incompetence in doing so, on the other. The analysis focuses on the post-war European monetary system up until the launch of the European Monetary Union. Its object is a historical monetary compromise that passed through many phases and managed to survive until the present day. The paper analyses the particular mechanisms through which the euro became a reality and points to the class interests that were satisfied in each phase. This discussion offers useful insights for the current debate that unfolds amidst a deep capitalist crisis internationally and a particular monetary crisis in the European Union.
    Keywords: Euro, quasi-world money, European monetary system
    JEL: B14 E42 F33
    Date: 2018–04–23
  19. By: Jones, Calvin
    Abstract: The internet and e-connectivity more generally are increasingly held to be an important element of business success. Evidence however suggests that the productive impacts of such technologies are contingent on factors that include firm size and sector, and human capital. It follows that if companies with these characteristics are unevenly distributed across space, the increasing importance of broadband in economic activity might impact unevenly on economic outcomes across space. We examine the Cardiff City-Region in South Wales, where the distribution of businesses and skills suggests that without policy intervention the roll out of broadband might further increase economic disparities between the relatively prosperous coastal belt and the poorer post-industrial hinterland.
    Keywords: City-regions; broadband; economic development; automation
    JEL: O1 O10 O33
    Date: 2018–02–08
  20. By: Wolfram F. Richter
    Abstract: The employment of capital is rival in nature. Small countries do not benefit from taxing its employment. By contrast, the use of digital services is non-rival and small countries do benefit from taxing expenditures on such services. In fact, some countries have already decided to tax digital activities. If such practice spreads, the development of digital services is negatively affected. It is argued that countries exporting digital services have reason to respond by promoting an international tax regime in which the right of taxing the profit earned on the direct sales of digital services is split between the countries involved.
    Keywords: taxing digital services, import tax, tax exemption, profit splitting, Shapley value
    JEL: H25 M48
    Date: 2018
  21. By: Kenta Sekiguchi (Bank of Japan); Makoto Chiba (Bank of Japan); Mikari Kashima (Bank of Japan)
    Abstract: Distributed ledger technology (DLT) is attracting wide attention because of the benefits it provides such as fault tolerance and cost reductions. When introducing DLT in securities transactions, its relationship with the Act on Book-Entry Transfer of Corporate Bonds and Shares, which regulates the transfer of paperless securities, should be examined to ensure the stability of securities settlement. The Bank of Japan's Institute for Monetary and Economic Studies commissioned a series of workshops on the use of DLT in securities settlement and released a report on the findings in 2017 (available in Japanese only). The report presents possible interpretations of current law, which stipulates a multi-layered settlement structure, considering the fault tolerance characteristics of DLT, which enables network participants to share information. Furthermore, the report considers the future shape of the securities settlement system with DLT if legal reforms are taken into account.
    Keywords: distributed ledger technology; securities settlement; book-entry transfer securities; Act on Book-Entry Transfer of Corporate Bonds and Shares; multi-layered structure
    JEL: K22
    Date: 2018–06–05
  22. By: Rebecca Cassells (Bankwest Curtin Economics Centre (BCEC), Curtin University); Alan S Duncan (Bankwest Curtin Economics Centre (BCEC), Curtin University); Astghik Mavisakalyan (Bankwest Curtin Economics Centre (BCEC), Curtin University); John Phillimore (John Curtin Institute for Public Policy (JCIPP), Curtin University); Richard Seymour (Bankwest Curtin Economics Centre, Curtin Business School); Yashar Tarverdi (Bankwest Curtin Economics Centre, Curtin Business School)
    Abstract: This sixth report in BCEC’s Focus on the States series will examine the way in which the organisation of work is changing – from workforces to workplaces – and the implications of these changes for Australia. The organisation of work is changing. With alternative forms of employment, freelancing and the gig economy on the rise, the traditional notion of holding down a steady job or two for an entire career is receding fast. And as new technologies and automation take over some of the tasks previously performed by human labour, and industries move offshore, the service sector continues to forge ahead as the major player in the future of work. But are we placing too much emphasis on technology and not enough on the quality of jobs that we should strive to create in the workplaces of the future? Is now the time for workers to return to education and begin re-skilling? What kinds of careers can our children expect and where should they focus their education?
    Keywords: Future of work, labour market participation, employment, education and skills, freelancing, gig economy, automation, returns to education, returns to skills, job retraining
    Date: 2018–04
  23. By: Sara Negrelli
    Abstract: Recent empirical studies suggest that, during times of unexpected innovation, agents heterogeneously update their beliefs about an asset fundamental value, and they are uncertain about other agents’ beliefs on it. In this paper I show that, when there is uncertainty about the market sentiment, defined as other investors’ beliefs over an asset fundamental value, market manipulation can act through a previously unconsidered channel, by misleading agents’ learning on the market sentiment. This novel type of market manipulation becomes a severe concern with the recent diffusion of big data on agents’ beliefs, as it could strengthen existing financial bubbles, or even give rise to new ones.spect to anonymity; at the same time, the probability of the CBDC introduction increases if a return can be paid on it, and/or its implementation can guarantee at least the counterparty anonymity.
    Keywords: Bubbles, Heterogenous Priors, Higher-Order Beliefs, Market Manipulation, Bayesian Persuasion
    JEL: C73 D82 D83 D84 G14 G24
    Date: 2018
  24. By: Sofia Anyfantaki (Athens University of Economics and Business & Bank of Greece); Stelios Arvanitis (Athens University of Economics and Business); Nikolas Topaloglou (Athens University of Economics and Business)
    Abstract: We investigate the degree to which cryptocurrencies provide diversification benefits to an investor. We use a stochastic spanning methodology to construct optimal portfolios with and without cryptocurrencies, evaluating their comparative performance both in- and out-of-sample. Empirical analysis seems to indicate that the expanded investment universe with cryptocurrencies dominates the traditional one with stocks, bonds and cash, yielding potential diversification benefits and providing better investment opportunities for some risk averse investors. We further explain our results by documenting that cryptocurrency markets are segmented from the equity and bond markets.
    Keywords: cryptocurrencies; portfolio choice; second order stochastic dominance; stochastic spanning; diversification; market integration; market segmentation
    JEL: C12 C14 D81 G11
    Date: 2018–04
  25. By: Ringe, Wolf-Georg; Ruof, Christopher
    Abstract: Robo advice, the automated provision of financial advice without human intervention, holds the promise of cheap, convenient and fast investment services for consumers – freed from human error or bias. However, retail investors have limited capacity to assess the soundness of the advice, and are prone to make hasty, unverified investment decisions. Moreover, financial advice based on rough and broad classifications may fail to take into account the individual preferences and needs of the investor. On a more general scale, robo advice may be a source of new systemic risk. At this stage, the existing EU regulatory framework is of little help. Instead, this paper proposes a regulatory "sandbox" – an experimentation space – as a step towards a regulatory environment where such new business models can thrive. A sandbox would allow market participants to test robo advice services in the real market, with real consumers, but under close scrutiny of the supervisor. The benefit of such an approach is that it fuels the development of new business practices and reduces the "time to market" cycle of financial innovation while simultaneously safeguarding consumer protection. At the same time, a sandbox allows for mutual learning in a field concerning a little-known phenomenon, both for firms and for the regulator. This would help reducing the prevalent regulatory uncertainty for all market participants. In the particular EU legal framework with various layers of legal instruments, the implementation of such a sandbox is not straightforward. In this paper, we propose a "guided sandbox", operated by the EU Member States, but with endorsement, support, and monitoring by EU institutions. This innovative approach would be somewhat unchartered territory for the EU, and thereby also contribute to the future development of EU financial market governance.
    Date: 2018
  26. By: Masiero, Silvia
    Abstract: On a global scale, programmes of social protection for the poor are becoming increasingly computerised, and architectures of biometric recognition are being widely used in this respect. I research how these architectures, adopted in anti-poverty systems, structure ways to ‘see the state’ for citizens living in poverty. To do so I study India’s Public Distribution System (PDS) in Kerala, which is augmenting its main food security scheme with the computerised recognition of its users. In the government’s narrative, biometric technology is depicted as an optimal solution to the illicit diversion of PDS goods on the market. Nevertheless, according to the multiple narratives collected across the state, beneficiaries dispute this view in different ways because of the mixed effects of the new technology on their entitlements under the PDS. The government’s capability to reconstruct its image through digital innovation is thus found to be constrained by citizens’ perceptions derived from their encounters with the new technology of governance.
    Keywords: Asia; India; food security; public distribution system; biometric technologies; social policy
    JEL: N0
    Date: 2016–11–16
  27. By: Donato Masciandaro
    Abstract: The lecture notes describe different views in analysing the relationships between the central banking activities – i.e. monetary and banking policies – and the business cycle, using a modified workhorse AS AD model, in order to include in the simplest way uncertainty, expectations and the role of banking and finance, as well as the incentives of the policymakers. The bottom line is to show pedagogically that one size - i.e. a unique economic mainstream – doesn’t fit all – i.e. cannot explain different national and historical business cycles. Therefore it is necessary to know more than one macroeconomic views, and history, politics and empirics matters in disentangling the pros and cons of each of them.
    Date: 2018
  28. By: Bimpikis, Kostas (Stanford University); Candogan, Ozan (University of Chicago); Saban, Daniela (Stanford University)
    Abstract: We explore spatial price discrimination in the context of a ride-sharing platform that serves a network of locations. Riders are heterogeneous in terms of their destination preferences and their willingness to pay for receiving service. Drivers decide whether, when, and where to provide service so as to maximize their expected earnings, given the platform's prices. Our findings highlight the impact of the demand pattern on the platform's prices, profits, and the induced consumer surplus. In particular, we establish that profits and consumer surplus are maximized when the demand pattern is "balanced" across the network*s locations. In addition, we show that they both increase monotonically with the balancedness of the demand pattern (as formalized by its structural properties). Furthermore, if the demand pattern is not balanced, the platform can benefit substantially from pricing rides differently depending on the location they originate from. Finally, we consider a number of alternative pricing and compensation schemes that are commonly used in practice and explore their performance for the platform.
    Date: 2018–01
  29. By: Heldman, Christina; Enste, Dominik
    Abstract: Even though people regularly express concern about sharing personal information online and fear a loss of privacy, their behavior seldom matches their opinions - A phenomenon called Privacy Paradox and researched for over 20 years. Several influencing factors have been identified. A central one of these is trust, which strongly impacts the relationship between general concerns and actual behavior. This study investigates the impact of trust on the decision to disclose sensitive information online and examines the antecedents of that trust, focusing on the disposition to trust using a computerized laboratory experiment. Results indicate that dispositional trust determines the level of trust placed in the recipient of private data, especially when the person is unfamiliar with this recipient. This knowledge can be useful for business and politics in the design of marketing strategies and consumer protection policies. The study furthermore provides valuable insights on the relatedness between trust measures, which are discussed.
    JEL: C90 D91 O33
    Date: 2018
  30. By: Goodhart, Charles
    JEL: F3 G3
    Date: 2018
  31. By: Réka Juhász; Claudia Steinwender
    Abstract: This paper studies how information and communication technology (ICT) improvements affect trade along the value chain and international technology diffusion. We examine the impact of a revolutionary technology, the roll-out of the global telegraph network, on the 19th century cotton textile industry. First, we show that connection to the telegraph disproportionately increased trade in intermediate goods relative to final goods. We document that this was due to differences in codifiability; that is, the extent to which product specifications could be communicated at a distance using only words (and thus by sending telegrams) as opposed to inspecting a sample of the product. Second, adoption of the telegraph also facilitated international technology diffusion through the complementary mechanisms of importing machinery and acquiring knowledge of the production process and local demand through importing intermediates. These results shed light on how ICT facilitates the formation of global value chains and the diffusion of frontier technology.
    JEL: F14 N7 O14 O33
    Date: 2018–05
  32. By: Son Le
    Abstract: We present the use of the fitted Q iteration in algorithmic trading. We show that the fitted Q iteration helps alleviate the dimension problem that the basic Q-learning algorithm faces in application to trading. Furthermore, we introduce a procedure including model fitting and data simulation to enrich training data as the lack of data is often a problem in realistic application. We experiment our method on both simulated environment that permits arbitrage opportunity and real-world environment by using prices of 450 stocks. In the former environment, the method performs well, implying that our method works in theory. To perform well in the real-world environment, the agents trained might require more training (iteration) and more meaningful variables with predictive value.
    Date: 2018–05
  33. By: Chai, Shijun (Asian Development Bank Institute); Chen, Yang (Asian Development Bank Institute); Huang, Bihong (Asian Development Bank Institute); Ye, Dezhu (Asian Development Bank Institute)
    Abstract: Using the 2011 China Household Finance Survey (CHFS) database, we explore the heterogeneous impacts of social networks on informal financial inclusion for urban and rural households in the People’s Republic of China. We find that social networks significantly increase the probability of households’ participation in the informal financial market, augment the size of informal financial transactions, and raise the ratio of informal lending to total household assets. We also identify the mechanisms through which social networks affect households’ participation in the informal financial market. By reducing the information cost, perceived risk, and precautionary saving, social networks play a larger role for urban households than for rural households. Notably, the effects of social networks on informal finance are strengthened by the development of the formal financial market.
    Keywords: social networks; informal financial inclusion; perceived risk; precautionary saving; formal financial market
    JEL: D10 G20
    Date: 2018–01–29
  34. By: Thomas W. Quan (University of Georgia); Kevin R. Williams (Cowles Foundation, Yale University)
    Abstract: Online retail gives consumers access to an astonishing variety of products. However, the additional value created by this variety depends on the extent to which local retailers already satisfy local demand. To quantify the gains and account for local demand, we use detailed data from an online retailer and propose methodology to address a common issue in such data- sparsity of local sales due to sampling and a signi?cant number of local zeros. Our estimates indicate products face substantial demand heterogeneity across markets; as a result, we ?nd gains from online variety that are 45% lower than previous studies.
    Keywords: Product Variety, Demand Estimation, Long Tail, Online Retail
    JEL: C13 L67 L81
    Date: 2017–06
  35. By: Ostrovsky, Michael (Stanford University); Schwarz, Michael (Microsoft)
    Abstract: We study the interplay between autonomous transportation, carpooling, and road pricing. We discuss how improvements in these technologies, and interactions among them, will affect transportation markets. Our main results show how to achieve socially efficient outcomes in such markets, taking into account the costs of driving, road capacity, and commuter preferences. An important component of the efficient outcome is the socially optimal matching of carpooling riders. Our approach shows how to set road prices and how to share the costs of driving and tolls among carpooling riders in a way that implements the efficient outcome.
    Date: 2018–02
  36. By: Simplice Asongu (Yaoundé/Cameroun)
    Abstract: Sustainable development within the investigated context includes the ability of African countries to meet the present economic, social and environmental needs without compromising the ability of future generations to meet their own needs. A challenging contemporary policy syndrome is the lack of funding for adequate capacities and structures essential for the realisation of the post-2015 development agenda. This introductory chapter provides highlights on all chapters covered by the book in the direction of addressing the underlying policy syndrome.
    Keywords: finance; sustainable development; Africa
    JEL: B20 F35 F50 O10
    Date: 2018–01
  37. By: Pernestål Brenden , Anna (CTS - Centre for Transport Studies Stockholm (KTH and VTI)); Kristoffersson , Ida (VTI)
    Abstract: The development of driverless vehicles is fast, and the technology has the potential to significantly affect the transport system, society and environment. However, there are still many open questions regarding what this development will look like and there are several counteracting forces. This paper addresses the effects of driverless vehicles by performing a literature review of twenty papers that use simulation to model effects of driverless vehicles. By combing and analysing the results from these simulation studies, an overall picture of the effects of driverless vehicles is presented. The paper shows that focus in existing literature has been on effects of driverless taxi applications in urban areas. Some parameters, such as trip cost and waiting time, show small variations between the reviewed papers. Other parameters, such as vehicle kilometres travelled (VKT), show larger variations and depend heavily on the assumptions concerning value of time and level of sharing. In general, increases in VKT are predicted for most applications. Ride sharing has the potential to reduce VKT, and thereby energy consumption and congestion, but the analysis indicates that a sufficient level of ride sharing to reduce VKT will not be achieved without incentives or regulations. Furthermore, the VKT of driverless vehicles is unevenly distributed from a time and space perspective, with larger increases in VKT during peak hours than in off-peak, and in the suburbs compared to city centres. The reviewed papers provide a first prediction of factors such as waiting time, VKT and trip cost, in particular for urban areas and for schemes where there is one service provider present. To get a deeper understanding of the effects of driverless vehicles, aspects such as local spatial considerations, e.g. at pick-up stations, and more complex schemes with competition between service providers should be studied. Furthermore, there is a need for sensitivity analyses regarding travel demand.
    Keywords: Driverless vehicle; Automated vehicle; Autonomous taxi; Traffic simulation; Societal effects
    JEL: R40 R41
    Date: 2018–06–11
  38. By: Friedrich, Jan; Resch, Christian; Thiemann, Matthias
    Abstract: In the context of Brexit, changes to the regulatory architecture of CCPs that empower the European securities markets regulator are under way to prevent the threat of a regulatory race to the bottom. However, this empowerment currently leaves the national supervision of common European rules within the EU intact. This policy letter argues that supervisory arbitrage is as much a threat within the EU as outside of it, wherefore a common supervision of CCP rules in the EU is called for. The paper traces the origins of the current set-up and criticizes the current regulatory proposal by the EU Commission as too cumbersome while discussing possible ways forward to achieve European supervision. In contrast to the current proposal of the Commission, we call for a unified supervision within ESMA, combined with a European fiscal backstop.
    Keywords: Central Counterparties,European Supervisory Architecture,Capital Markets Union,regulatory arbitrage,EMIR,supervisory arbitrage
    Date: 2018
  39. By: Tom Auld; Oliver Linton
    Abstract: We study the behaviour of the Betfair betting market and the sterling/dollar exchange rate (futures price) during 24 June 2016, the night of the EU referendum. We investigate how the two markets responded to the announcement of the voting results. We employ a Bayesian updating methodology to update prior opinion about the likelihood of the final outcome of the vote. We then relate the voting model to the real time evolution of the market determined prices as results are announced. We find that although both markets appear to be inefficient in absorbing the new information contained in vote outcomes, the betting market is apparently less inefficient than the FX market. The different rates of convergence to fundamental value between the two markets leads to highly profitable arbitrage opportunities.
    Keywords: EU Referendum, prediction markets, machine learning, efficient markets hypothesis, pairs trading, cointegration, Bayesian methods, exchange rates.
    Date: 2018

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