nep-pay New Economics Papers
on Payment Systems and Financial Technology
Issue of 2022‒03‒28
23 papers chosen by
Bernardo Bátiz-Lazo
Northumbria University

  1. Ensemble and Multimodal Approach for Forecasting Cryptocurrency Price By Zeyd Boukhers; Azeddine Bouabdallah; Matthias Lohr; Jan J\"urjens
  2. Opportunities and pitfalls in digital platforms' geographic expansion: strategic implications for Kazakhstani platforms By Jiyang Dong
  3. Cross-Currency Settlement of Instant Payments in a Cross-Platform Context: a Proof of Concept By Massimiliano Renzetti; Andrea Dimartina; Riccardo Mancini; Giovanni Maria Sabelli; Francesco Di Stasio; Carlo Palmers; Faisal Alhijawi; Erol Kaya; Christophe Piccarelle; Stuart Butler; Jwallant Vasani; Giancarlo Esposito; Alberto Tiberino; Manfredi Caracausi
  4. On the volatility of cryptocurrencies By Thanasis Stengos; Theodore Panagiotidis; Georgios Papapanagiotou
  5. On the Dynamics of Solid, Liquid and Digital Gold Futures By Toshiko Matsui; Ali Al-Ali; William J. Knottenbelt
  6. Introduction to Digital Business and E-Commerce By Ghifarisadewa, Muhammad Raynara
  7. Cryptocurrencies Meet Equities: Risk Factors And Asset Pricing Relationships By Victoria Dobrynskaya; Mikhail Dubrovskiy
  8. Enabling Community-Owned Platforms: A Proposal for a Tech New Deal By Schneider, Nathan
  9. Crypto-assets better safe-havens than Gold during Covid-19: The case of European indices By Alhonita Yatie
  10. Cyber resilience per la continuita' di servizio del sistema finanziario By Boris Giannetto; Antonino Fazio
  12. Trabajo en plataformas en Chile y desafíos para el trabajo decente: situación actual y lineamientos para diseñar políticas públicas dirigidas al sector By Morris, Pablo
  13. Zipf's Law across social media By Michael P Cameron
  14. Consumer Spending in the Covid-19 Pandemic: Evidence from Card Transactions in Latvia By Ludmila Fadejeva; Boriss Siliverstovs; Karlis Vilerts; Anete Brinke
  15. Reflections on consumer information processing and digital identity in the ontological cyberspace By Ziyed Guelmami
  16. Effects of Bank Branch/ATM Consolidations on Cash Demand: Evidence from Bank Account Transaction Data in Japan By Kozo Ueda
  17. La era de las plataformas digitales y el desarrollo de los mercados de datos en un contexto de libre competencia By Da Silva, Filipe; Núñez Reyes, Georgina
  18. Searching for Approval By Sumit Agarwal; John R. Grigsby; Ali Hortaçsu; Gregor Matvos; Amit Seru
  19. Shadow banking and the four pillars of traditional financial intermediation By Emmanuel Farhi; Jean Tirole
  20. Interactive experiments in Toloka By Chapkovski, Philipp
  21. Scaling Technology Ventures in Africa: New Opportunities for Research By Weiss, Tim; Perkmann, Markus; Phillips, Nelson
  22. Zipf's Law and #econtwitter By Michael P Cameron
  23. Big data technologies: perceived benefits and costs for adopter and non-adopter enterprises By Claudio Vitari; E. Raguseo

  1. By: Zeyd Boukhers; Azeddine Bouabdallah; Matthias Lohr; Jan J\"urjens
    Abstract: Since the birth of Bitcoin in 2009, cryptocurrencies have emerged to become a global phenomenon and an important decentralized financial asset. Due to this decentralization, the value of these digital currencies against fiat currencies is highly volatile over time. Therefore, forecasting the crypto-fiat currency exchange rate is an extremely challenging task. For reliable forecasting, this paper proposes a multimodal AdaBoost-LSTM ensemble approach that employs all modalities which derive price fluctuation such as social media sentiments, search volumes, blockchain information, and trading data. To better support investment decision making, the approach forecasts also the fluctuation distribution. The conducted extensive experiments demonstrated the effectiveness of relying on multimodalities instead of only trading data. Further experiments demonstrate the outperformance of the proposed approach compared to existing tools and methods with a 19.29% improvement.
    Date: 2022–02
  2. By: Jiyang Dong
    Date: 2022
  3. By: Massimiliano Renzetti (Banca d'Italia); Andrea Dimartina (Banca d'Italia); Riccardo Mancini (Banca d'Italia); Giovanni Maria Sabelli (Banca d'Italia); Francesco Di Stasio (Banca d'Italia); Carlo Palmers (SWIFT); Faisal Alhijawi (Buna Payment Platform); Erol Kaya (Buna Payment Platform); Christophe Piccarelle (DXC Technology); Stuart Butler (DXC Technology); Jwallant Vasani (Jordan Ahli Bank); Giancarlo Esposito (Intesa Sanpaolo); Alberto Tiberino (Intesa Sanpaolo); Manfredi Caracausi (Intesa Sanpaolo)
    Abstract: This paper presents the results of a joint experiment involving Banca d’Italia and the Arab Regional Payments Clearing and Settlement Organization (ARPSCO), focusing on the settlement of cross‑currency instant payments across different technical platforms. TIPS and Buna are the instant payment settlement platforms with multi-currency features operated by the two organizations respectively. Both platforms started with an initial investigative phase, in order to assess operational policies and the legal and technical implications of implementing a cross‑currency instant payment settlement service, i.e. one in which the debtor and creditor accounts are denominated in two different currencies both eligible for settlement on the platform. For the purpose of the Proof of Concept (PoC), two representatives of the abovementioned market communities, namely Intesa Sanpaolo and Jordan Ahli Bank, participated in their respective capacities of Originator PSP and ultimate Beneficiary PSP for the corresponding currencies, i.e. the euro and the Jordanian dinar. In line with building blocks 13 and 17 of the G20 global roadmap for enhancing cross-border payments (concerning the interlinking of payment systems), the natural evolution of these investigations was to explore possible options for providing the same type of cross-currency service in a cross-platform scenario, i.e. through the interoperability of different instant payment platforms. The PoC described in this paper relates to the implementation of a cross-platform scenario involving TIPS and Buna.
    Keywords: Payment Systems, Instant Payments, Market Infrastructures, Cross-Border Payments.
    JEL: E42
    Date: 2022–03
  4. By: Thanasis Stengos (Department of Economics and Finance, University of Guelph, Guelph ON Canada); Theodore Panagiotidis (University of Macedonia); Georgios Papapanagiotou (University of Macedonia)
    Abstract: We perform a large-scale analysis to evaluate the performance of traditional and Markov-switching GARCH models for the volatility of 292 cryptocurrencies. For each cryptocurrency, we estimate a total of 27 alternative GARCH specifications. We consider models that allow up to three different regimes. First, the models are compared in terms of goodness-of-fit using the Deviance Information Criterion and the Bayesian Predictive Information Criterion. Next, we evaluate the ability of the models in forecasting one-day ahead conditional volatility and Value-at-Risk. The results indicate that for a wide range of cryptocurrencies, time-varying models outperform traditional ones.
    Keywords: Bitcoin, Cryptocurrency, Volatility, GARCH, Markov-switching, Information criteria
    JEL: C12 C13 C15 C22
    Date: 2022
  5. By: Toshiko Matsui; Ali Al-Ali; William J. Knottenbelt
    Abstract: This paper examines the determinants of the volatility of futures prices and basis for three commodities: gold, oil and bitcoin -- often dubbed solid, liquid and digital gold -- by using contract-by-contract analysis which has been previously applied to crude oil futures volatility investigations. By extracting the spot and futures daily prices as well as the maturity, trading volume and open interest data for the three assets from 18th December 2017 to 30th November 2021, we find a positive and significant role for trading volume and a possible negative influence of open interest, when significant, in shaping the volatility in all three assets, supporting earlier findings in the context of oil futures. Additionally, we find maturity has a relatively positive significance for bitcoin and oil futures price volatility. Furthermore, our analysis demonstrates that maturity affects the basis of bitcoin and gold positively -- confirming the general theory that the basis converges to zero as maturity nears for bitcoin and gold -- while oil is affected in both directions.
    Date: 2022–02
  6. By: Ghifarisadewa, Muhammad Raynara
    Abstract: Introduction to Digital Business and E-Commerce // Muhammad Raynara Ghifarisadewa // 2201832585
    Date: 2021–10–02
  7. By: Victoria Dobrynskaya (National Research University Higher School of Economics); Mikhail Dubrovskiy (National Research University Higher School of Economics)
    Abstract: We consider a variety of cryptocurrency and equity risk factors as potential forces that drive cryptocurrency returns and carry risk premiums. In a cross-section of 2,000 biggest cryptocurrencies, only downside market risk, cryptocurrency size and policy uncertainty factors are systematically priced with significant premiums. Momentum premium has vanished in the recent years. Equity market risk, particularly equity downside market risk, appears to be more important than cryptocurrency market risk, suggesting greater linkages between cryptocurrency and equity markets than we used to think. Global and US equity factors are the most relevant for the cryptocurrency market
    Keywords: cryptocurrency, asset pricing; risk factors, factor models, alternative investments
    JEL: D14 G12 G15
    Date: 2022
  8. By: Schneider, Nathan (University of Colorado Boulder)
    Abstract: At a time when regulators are seeking new responses to the dilemmas of world-spanning digital platforms, forms of community ownership such as cooperatives and trusts offer attractive benefits for workers and other users. Yet if economic democracy is to provide a counterweight to investor ownership in the online economy, it will require an appropriate policy framework. This paper argues that such a framework can come from radically generalizing and expanding on pre-digital successes in local and industry-specific policies from various countries and contexts—including policies for incorporation, financing, and coordination. Policy should use community ownership not just to solve specific problems but as a universal means of organizing innovation. It should also seek to repair past injustices to communities marginalized through under-investment. Community ownership could thereby become at least as available to the online economy as investor ownership has been.
    Date: 2021–10–01
  9. By: Alhonita Yatie (BSE)
    Abstract: As the first crisis faced by Crypto-assets, Covid-19 updated the debate about their safehaven properties. Our paper tries to analyze the safe-haven properties of Crypto-assets and Gold for European assets. We find that Gold has not been more efficient than Cryptoassets (Tether, Cardano and Dogecoin) as safe-haven during the market crash due to Covid-19 in March 2020. We also found that during the study period Bitcoin, Ethereum, Litecoin and Ripple were just diversifiers for the European indices. Finally, Tether, Cardano and Dogecoin showed hedging properties like Gold before and after the market crash.
    Date: 2022–02
  10. By: Boris Giannetto (Banca d'Italia); Antonino Fazio (Banca d'Italia)
    Abstract: Cyber events in critical infrastructures of the financial sector can lead to interruptions in the provision of essential services, such as making payments, with possible systemic effects. The diffusion of digital technologies expands the surface exposed to cyber events. The survey shows the need to continually adapt the actions aimed at strengthening cyber resilience, in order to cope with an evolving and increasingly complex context.
    Keywords: cyber resilience, analisi sistemiche di scenario, continuità di servizio, sistema finanziario, cybersecurity.
    JEL: F50 G38 K24 L50 O33
    Date: 2022–03
  11. By: Léa Cauchard (MRM - Montpellier Research in Management - UPVD - Université de Perpignan Via Domitia - UM2 - Université Montpellier 2 - Sciences et Techniques - UPVM - Université Paul-Valéry - Montpellier 3 - Groupe Sup de Co Montpellier (GSCM) - Montpellier Business School - UM1 - Université Montpellier 1, UM - Université de Montpellier); Sara Laurent
    Abstract: Nowadays user journeys are mainly dominated by digital technology. User digital journeys are perceived as the guarantee of a win-win exchange between companies and users. However, user digital journeys can be both a source of co-creation and co-destruction of value depending on the user's relationship to digital. To overcome these inequalities, organizations must propose digital inclusion strategies to create user journeys in which all users can easily participate. We will discuss the value for organizations of using nudge to build more inclusive user (and digital) journeys. Indeed, some nudge mechanisms could improve the user's perception of control in favor of his autonomy and recognition. This discussion leads us to ask the role of nudge mechanisms on the user's perception of digital inclusion and his participation in the process of co-creation of value during a digital journey.
    Abstract: Les parcours proposés aux utilisateurs sont aujourd'hui majoritairement dominés par le numérique. Cette omniprésence numérique est perçue comme la garantie d'un échange gagnant-gagnant entre l'entreprise et ses clients. Néanmoins les parcours clients intégrant des usages numériques peuvent être à la fois source de co-création et de co-destruction de valeur tant le rapport qu'entretient l'utilisateur au numérique est ambivalent. Pour combattre ces disparités, les organisations doivent proposer des parcours clients plus inclusifs. Autrement dit, des parcours permettant à tous les utilisateurs, qu'importe leur « profil numérique », de participer efficacement. Nous discuterons ici l'intérêt d'utiliser le nudge pour construire des parcours clients plus inclusifs (renforcer la perception de contrôle de l'utilisateur en faveur de son autonomie et de sa reconnaissance). Cette recherche amène donc à interroger le rôle des mécanismes de nudge sur la perception d'inclusion numérique de l'utilisateur et sa participation au processus de co-création de valeur durant un parcours imposant l'usage du numérique.
    Keywords: recognition,user journey,Digital inclusion,autonomy,parcours utilisateur,reconnaissance,autonomie,nudge,Inclusion numérique
    Date: 2021–09–02
  12. By: Morris, Pablo
    Abstract: En este documento se presentan los resultados de un estudio realizado con el fin de caracterizar la situación actual de los trabajadores de plataformas digitales en Chile, en particular de los repartidores y conductores. Con este fin se analizan los datos cuantitativos disponibles, el estado de avance del debate legislativo sobre una ley que proteja a quienes se desempeñan en el sector, y los datos cualitativos recopilados mediante una consulta realizada a trabajadores y especialistas que han participado activamente en el debate público reciente. A partir de esa información se proponen los principales lineamientos que se deben tener en cuenta a los efectos de diseñar políticas públicas que contribuyan a que el trabajo en plataformas se realice en condiciones de trabajo decente. Si esos lineamientos no se aplican, el marco legal que se cree resultará insuficiente para garantizar la inclusión, la protección y la cohesión social.
    Date: 2021–12–29
  13. By: Michael P Cameron (University of Waikato)
    Abstract: Zipf's Law describes an empirical regularity that appears across many human and physical domains, and states that ranked data exhibits a power law distribution. Although there are various extant studies illustrating power law relationships using social media data, we significantly extend these previous studies by looking at eight popular online social media networks: (1) Twitter; (2) YouTube; (3) Instagram; (4) Twitch; (5) DLive; (6) TikTok; (7) Daily Motion; and (8) Facebook. Specifically, we test whether the distribution of connections (followers, subscribers, or likes) follows a power law distribution for the top 5000 members of each social network. We find strong evidence that a power law relationship exists for every one of the social networks that we study, although this relationship breaks down for users at the top of the connections distribution. Despite the finding of a power law relationship for all of these social networks, the degree of inequality in social media connections differs substantially across the different networks, with the highest degree of inequality in DLive, and the lowest degree in TikTok and YouTube.
    Keywords: Social media;Zipf's Law;Power Law;Pareto distribution
    JEL: D85 L86
    Date: 2022–03–11
  14. By: Ludmila Fadejeva (Bank of Latvia); Boriss Siliverstovs (Bank of Latvia); Karlis Vilerts (Bank of Latvia); Anete Brinke (Bank of Latvia)
    Abstract: We use a novel card transaction data from the Latvijas Banka to study the consumption response to the Covid-19 pandemic in Latvia throughout three separate waves of the pandemic. We find that card transaction activity fell similarly in all three waves. There is also some suggestive evidence that during the second and third waves of the pandemic, the consumption response was largely caused by the containment measures instead of the behavioural adjustment of consumers. The consumption response varied greatly across different sectors with the Airlines and Entertainment sectors faring the worst. However, the situation was not homogeneous during the three waves of the pandemic, given the changing composition of the containment measures. We show that merchants with a higher share of online transactions in the prepandemic period fared better than others during the second and the third waves of the pandemic. Similarly, we also find evidence that investment in online platforms during the initial phases of the pandemic seems to have resulted in better resilience in the following waves. Finally, we show that the nowcasting model with card transaction data outperforms all benchmark models when it comes to retail nowcasting and yields a notable improvement in forecasting metrics.
    Keywords: card transactions, consumer spending, Covid-19, retail trade nowcasting
    JEL: E21 E27 C32 C53
    Date: 2022–02–15
  15. By: Ziyed Guelmami (ICD International Business School Paris)
    Abstract: This essay draws on Heidegger's theory of space to introduce an ontological discussion of cyberspace. Challenging the objective, subjective and relational perspectives of space and place, the Heideggerian precognitive approach contends that "lived spaces" are constituted by an individual's purpose, objectives and aspirations. An existential analysis is carried out to show how a different kind of spatialization is achieved by human beings in cyberspace ("cyber-spatiality") and how it affects the way they disclose themselves online. Heidegger's groundbreaking perspective proves itself useful to provide a deeper understanding of the consumers' relation to online spaces and of the way they experientially process information online.
    Keywords: Information processing,Digital identity,Self-disclosure,Heidegger,Cyberspace
    Date: 2022–01–31
  16. By: Kozo Ueda
    Abstract: This study considers the retrogression event of convenience for bank users as a natural experiment and analyzes the effect of this event on cash demand. Using bank account transaction data, we find that branch/ATM consolidations reduce not only the amount of cash withdrawals by past users but also the total expenditure and inflows that include non cash transactions by the same amount. This implies that the retrogression in convenience possibly caused users to shift to other banks for their daily payments. We also document facts about cash withdrawals from ATMs using bank account transaction data. JEL Classification Number : D14, E41 Keywords: money demand, ATM, natural experiment
    Date: 2022–03
  17. By: Da Silva, Filipe; Núñez Reyes, Georgina
    Abstract: La economía datificada ha planteado retos que van más allá del alcance de las políticas de competencia y marcos regulatorios tradicionales. En el centro del debate se ubica el impacto que generan los modelos de negocio basados en plataformas y las mismas plataformas digitales. En este contexto, muchas empresas, especialmente las pequeñas, deben hacer frente a la competencia desleal de las empresas nativas digitales. Por otro lado, la digitalización de la economía, el modelo de negocio de plataformas y la explotación intensiva de datos también crean oportunidades para las empresas y los gobiernos. La creación de mercados de datos y la eliminación de barreras al libre flujo de datos pueden impulsar las innovaciones y la productividad en la manufactura. Por lo tanto, comprender el papel de los datos y asignarles precios es crucial, desde el punto de vista tributario, para cerrar las brechas y garantizar una competencia en igualdad de condiciones. Asimismo, de la asignación de precios a las bases de datos se beneficiarán principalmente las empresas emergentes y las disruptivas.
    Date: 2021–12–09
  18. By: Sumit Agarwal (National University of Singapore); John R. Grigsby (Princeton University); Ali Hortaçsu (University of Chicago); Gregor Matvos (Northwestern University); Amit Seru (Stanford University)
    Abstract: We study the interaction of search and application approval in credit markets. We combine a unique dataset, which details search behavior for a large sample of mortgage borrowers, with loan application and rejection decisions. Our data reveal substantial dispersion in mortgage rates and search intensity, conditional on observables. However, in contrast to predictions of standard search models, we find a novel non-monotonic relationship between search and realized prices: borrowers, who search a lot, obtain more expensive mortgages than borrowers' with less frequent search. The evidence suggests that this occurs because lenders screen borrowers' creditworthiness, rejecting unworthy borrowers, which differentiates consumer credit markets from other search markets. Based on these insights, we build a model that combines search and screening in presence of asymmetric information. Risky borrowers internalize the probability that their application is rejected, and behave as if they had higher search costs. The model rationalizes the relationship between search, interest rates, defaults, and application rejections, and highlights the tight link between credit standards and pricing. We estimate the parameters of the model and study several counterfactuals. The model suggests that "overpayment" may be a poor proxy for consumer unsophistication since it partly represents rational search in presence of rejections. Moreover, the development of improved screening technologies from AI and big data (i.e., fintech lending) could endogenously lead to more severe adverse selection in credit markets. Finally, place based policies, such as the Community Reinvestment Act, may affect equilibrium prices through endogenous search responses rather than increased credit risk.
    Keywords: credit markets, household finance
    JEL: G21 G50 G51 G53 L00
    Date: 2020–06
  19. By: Emmanuel Farhi (Harvard University [Cambridge], NBER - National Bureau of Economic Research [New York] - NBER - The National Bureau of Economic Research); Jean Tirole (TSE - Toulouse School of Economics - UT1 - Université Toulouse 1 Capitole - Université Fédérale Toulouse Midi-Pyrénées - EHESS - École des hautes études en sciences sociales - CNRS - Centre National de la Recherche Scientifique - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement, IAST - Institute for Advanced Study in Toulouse)
    Abstract: Traditional banking is built on four pillars: SME lending, insured deposit taking, access to lender of last resort, and prudential supervision. This paper unveils the logic of the quadrilogy by showing that it emerges naturally as an equilibrium outcome in a game between banks and the government. A key insight is that regulation and public insurance services (LOLR, deposit insurance) are complementary. The model also shows how prudential regulation must adjust to the emergence of shadow banking, and rationalizes structural remedies to counter bogus liquidity hoarding and financial contagion: ring-fencing between regulated and shadow banking and the sharing of liquidity in centralized platforms.
    Keywords: Narrow banks,CCPs,Ring-fencing,Migration,Supervision,Deposit insurance,Lender of last resort,Retail and shadow banks
    Date: 2021–11
  20. By: Chapkovski, Philipp
    Abstract: The popularity of online behavioral experiments grew steadily even before the COVID-19 pandemic. With the start of lockdowns, online studies were often the only available option for the behavioral economists, sociologists and political scientists. The usage of most well-known platforms such as mTurk was so intensive that it harmed the quality of data. But even before the pandemics-induced quality crisis, online studies were limited in scope, since real-time interactions between participants were hard to achieve due to the large proportion of drop-outs and issues with creating stable groups. Using the crowdsourcing platform Toloka, we successfully ran several multi-round interactive experiments. Toloka’s large online audience, relatively low exposure of participants to sociological surveys and behavioral studies, and a convenient application programming interface makes it a perfect tool to run behavioral studies that require real-time interactions of participants.
    Keywords: Crowdsourcing, mTurk, online research, survey research
    JEL: B41 C81 C88 C90 C92
    Date: 2022–02–03
  21. By: Weiss, Tim; Perkmann, Markus; Phillips, Nelson
    Abstract: Research on new venture creation in Africa is growing rapidly. This increasing interest reflects both the potential for entrepreneurship to contribute to the economic and social development of Africa, as well as the potential for this research to provide new insights that challenge and extend theories developed primarily from studies of North American and European new ventures. In this editorial essay, we argue for an expansion of this important research stream to include a focus on how technology ventures scale in Africa. We identify seven topics that offer interesting opportunities for research on scaling in Africa: (1) the effect of venture location on scaling; (2) the effect of founding team diversity on scaling; (3) the effect of entrepreneurial strategies on scaling; (4) the effect of nascent ecosystems on scaling; (5) the effect of the institutional environment on scaling; (6) the effect of nascent financial markets on scaling; and (7) the societal effects of scaling. We discuss each of these topics, their potential to contribute to the existing literature, and provide examples of African technology firms that have scaled to illustrate each topic. We conclude with a discussion of how African social, political, and regulatory change, combined with rapidly developing entrepreneurial ecosystems, are creating a context where the successful scaling of technology ventures is becoming increasingly common, and research is therefore increasingly valuable.
    Date: 2021–10–24
  22. By: Michael P Cameron (University of Waikato)
    Abstract: This letter investigates the distribution of Twitter followers for the top 521 economists and for the top 5000 Twitter users, testing whether each distribution follows a power law. We find strong evidence for a power law, both for economists and for Twitter more generally. However, the inequality in the distribution of followers is greater among economists, which has potentially negative implications for the quality of economic debate on Twitter.
    Keywords: Social media;Zipf's Law;Power Law;Pareto distribution
    JEL: D85 L86
    Date: 2022–03–12
  23. By: Claudio Vitari (CERGAM - Centre d'Études et de Recherche en Gestion d'Aix-Marseille - UTLN - Université de Toulon - AMU - Aix Marseille Université); E. Raguseo
    Date: 2021

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