nep-pay New Economics Papers
on Payment Systems and Financial Technology
Issue of 2023‒09‒18
twenty-two papers chosen by

  1. A Bayesian approach for the determinants of bitcoin returns By Thanasis Stengos; Theodore Panagiotidis; Georgios Papapanagiotou
  2. Costs and Benefits of Congestion in Two-Sided Markets: Evidence from the Dating Market By Tobias Lehmann; Camille Terrier; Rafael Lalive
  3. Mobile money innovations, income inequality and gender inclusion in sub-Saharan Africa By Simplice A. Asongu; Peter Agyemang-Mintah; Joseph Nnanna; Yolande E. Ngoungou
  4. NFTs and business model innovations By Damiano Cesa Bianchi; Marco Bellucci; Giacomo Manetti; Luca Bagnoli
  5. Behavioral drivers of intentions to use alternatives to cash: An African survey By David Peón
  6. Strategic Money and Credit Ledgers By Markus K. Brunnermeier; Jonathan Payne
  7. The role of mobile money innovations in the effect of inequality on poverty and severity of poverty in Sub-Saharan Africa By Simplice A. Asongu; Sara le Roux
  8. Reconstructing cryptocurrency processes via Markov chains By Tanya Ara\'ujo; Paulo Barbosa
  9. Understanding the DeFi Network Through the Lens of a Production-Network Model By Jonathan Chiu; Thorsten V. Koeppl; Hanna Yu; Shengxing Zhang
  10. AI-Assisted Investigation of On-Chain Parameters: Risky Cryptocurrencies and Price Factors By Abdulrezzak Zekiye; Semih Utku; Fadi Amroush; Oznur Ozkasap
  11. Determinants of Adoption of Online Commercial Activities by Moroccan Firms By Adel Ben Youssef
  12. Selling Subscriptions By Liran Einav; Benjamin Klopack; Neale Mahoney
  13. Digital Technology transforming the Nature of Commercial Contracts: An Exploration of English Law and the South African Law By Ngcetane-Vika, Thelela
  14. Technology Evolution and Tax Compliance: Evidence from Rwanda By Hakizimana, Naphtal; Santoro, Fabrizio
  15. Politicians, Trust and Financial Literacy: When Do Politicians Care? By Donato Masciandaro
  16. Does Digitalization Matter? Evidence from Egyptian and Jordanian Firms By Chahir Zaki
  17. Author Country of Origin and Attention on Open Science Platforms: Evidence from COVID-19 Preprints By Caroline Fry; Megan MacGarvie
  18. The Crypto Cycle and US Monetary Policy By Ms. Natasha X Che; Alexander Copestake; Davide Furceri; Tammaro Terracciano
  19. The four types of stablecoins: A comparative analysis By Matthias Hafner; Marco Henriques Pereira; Helmut Dietl; Juan Beccuti
  20. Does courier gender matter? Exploring mode choice behaviour for E-groceries crowd-shipping in developing economies By Oleksandr Rossolov; Anastasiia Botsman; Serhii Lyfenko; Yusak O. Susilo
  21. Which Firms Are More Digitized? A Comparative Study between Egypt and Jordan By Chahir Zaki
  22. ¿Entre más riesgoso, mejor? Existencia y efectos del risktaking channel en el mercado de créditos P2P By Mendoza Carrillo, Sergio Alejandro

  1. 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: This paper examines the effect of thirty-one variables on bitcoin returns over the period 2015-2021. We use a Bayesian LASSO model that accounts for stochastic volatility and leverage effect. We examine the impact of economic, financial and technological variables as well as uncertainty and attention indicators on bitcoin returns. Furthermore, we consider two recently proposed indicators (Central Bank Digital Currency (CBDC)) for uncertainty and attention. Our findings suggest that sentiment and technological factors have the most profound effect on bitcoin returns. Regarding economic/financial variables, stock market returns and volatility indices have the greatest impact on bitcoin returns.
    Keywords: Bitcoin, Cryptocurrency, LASSO, Bayesian, CBDC.
    JEL: G12 G15 C11 D80
    Date: 2023
  2. By: Tobias Lehmann (University of Lausanne); Camille Terrier (Queen Mary University London); Rafael Lalive (University of Lausanne)
    Abstract: Congestion is a widespread phenomenon in two-sided markets, but evidence on its costs and benefits is limited. Using data from an online dating platform, we document a large excess demand, or congestion, for some women. By exploiting exogenous variation in the number of men and women using the platform, we show that congestion slows down matching time for men. Congestion benefits women who screen men’s profiles quickly, by increasing their choice set. This asymmetry implies that policies aimed at reducing congestion can harm the side of the market that benefits from congestion.
    Keywords: Congestion, two-sided markets, online platforms
    JEL: D4 D47 D62 D83
    Date: 2023–08–31
  3. By: Simplice A. Asongu (Yaoundé, Cameroon); Peter Agyemang-Mintah (Zayed University, Abu Dhabi, UAE); Joseph Nnanna (The Development Bank of Nigeria, Abuja, Nigeria); Yolande E. Ngoungou (Yaoundé, Cameroon)
    Abstract: The study assesses the role of mobile money innovations on income inequality and gender inclusion in 42 Sub-Saharan African countries for the period 1980 to 2019 using interactive quantile regressions. The following findings are established. First, income inequality unconditionally reduces the involvement of women in business and politics. Second, mobile money innovations interact with income inequality to have a positive impact on women in business and politics. Third, net effects from the role of mobile money innovations in income inequality for gender inclusion are consistently negative. Fourth, given that the positive conditional or interactive effects and negative net effects are consistent across the conditional distribution of gender inclusion, thresholds at which mobile money innovations can completely dampen the negative effect of income inequality on gender inclusion are provided. Among others, policy makers should work towards improving conditions for mobile money innovations. They should also be aware that reducing both income inequality and enhancing mobile money innovations simultaneously leads to more inclusive outcomes in terms of gender inclusion.
    Keywords: Financial inclusion; inequality; mobile phones; sub-Saharan Africa; women
    JEL: G20 O40 I10 I20 I32
    Date: 2023–01
  4. By: Damiano Cesa Bianchi (University of Florence); Marco Bellucci (University of Florence); Giacomo Manetti (University of Florence); Luca Bagnoli (University of Florence)
    Abstract: Nonfungible tokens (NFTs) use blockchain technology to certify the ownership of digital assets. This study aims to understand the opportunities and limits of NFTs in the innovation of business models (BMs) across various sectors, including auction houses, museums, ticketing companies, and online art exchanges. Specifically, we are interested in understanding the role of NFTs in enabling the decentralization and digitalization of BMs owing to new products, services or processes. By adopting a conceptual approach based on the BM framework proposed by Osterwalder and Pigneur, this study uses a qualitative methodology based on multiple case studies to discuss the unique cases of Christie's, OpenSea, Uffizi Gallery, and Ticketmaster. Our findings suggest that despite the opportunities presented by NFTs in terms of revenue streams, customer interface, digital authentication, and decentralization, many limitations remain, including regulatory uncertainty and ethical and environmental concerns.
    Keywords: Nonfungible tokens, NFTs, case study, business model, digitalization, decentralization
    JEL: G30 M10 M41
    Date: 2023
  5. By: David Peón (Universidade da Coruna)
    Abstract: Seeking to identify frictions to the possible implementation of CBDCs, I explore potential behavioral drivers for people to use cash or alternative payment methods in retail transactions. I conducted an online survey targeting adults in sub-Saharan Africa, a continent characterized by lower levels of banking penetration, intensive use of cash, and popularity of mobile money accounts to overcome financial exclusion. I obtained robust evidence that the affect heuristic is the only relevant behavioral trait against the use of cash and of credit cards. This adds to criticisms of behavioral finance for frequently neglecting emotional drivers. Cognitive traits, such as mental accounting, fungibility bias, and habit do not mediate in the overall preference but in which contexts people prefer to use one payment method or another. I find no behavioral drivers against the use of electronic payments but robust evidence that higher per capita income reduces their preference. All results are robust to alternative econometric specifications: multinomial logistic, ordered logistic, and logit regressions. My research provides a clear message for policy making: authorities might better favor ensuring that a wide variety of payment alternatives are available for people to use, including cash, and let them choose.
    Date: 2023–08–20
  6. By: Markus K. Brunnermeier; Jonathan Payne
    Abstract: This paper studies strategic decision making by a private currency ledger operator, which faces competition from public money and/or other ledgers. A monopoly ledger operator can incentivize contract enforcement across the financial sector by threatening exclusion, but it can also impose markups through its pricing power. Currency competition limits rent extraction, but also makes coordinated contract enforcement more fragile. The emergent market structure bundles the provision of ledger and platform trading technologies. Regulation to ensure platform cooperation on contract enforcement and competition on markup setting is effective so long as agents can easily switch between platforms.
    JEL: E4 E42 E5 E50 E59 F39 G21 G23 L10 L13
    Date: 2023–08
  7. By: Simplice A. Asongu (Oxford, UK); Sara le Roux (Oxford, UK)
    Abstract: This study investigates the role of mobile money innovations in the incidence of income inequality on poverty and severity of poverty in 42 sub-Saharan African countries over the period 1980 to 2019. Mobile money innovations are understood as the mobile used to send money and the mobile used to pay bills online while income inequality is measured with the Gini index. Poverty is measured as the poverty headcount ratio while the severity of poverty is generated as the squared of the poverty gap index. The empirical evidence is based on interactive Quantile regressions. The following main findings are established. (i) Income inequality unconditionally reduces poverty and the severity of poverty though the significance is not throughout the conditional distributions of poverty and the severity of poverty. (ii) Mobile money innovations significantly moderate the positive incidence of income inequality on poverty and the severity of poverty in some quantiles. (iii) Positive net effects are apparent exclusively in the poverty regressions. (iv) Given the negative conditional effects, policy thresholds or minimum mobile money innovation levels needed to completely nullify the positive incidence of income inequality on poverty are provided: 27.666 (% age 15+) and 24.000 (% age 15+) of the mobile used to send money in the 50th and 75th quantiles, respectively and 16.272 (% age 15+) and 13.666 (% age 15+) of the mobile used to pay bills online in the 10th and 50th quantiles, respectively. Policy implications are discussed with respect of SDG1 on poverty reduction and SDG10 on inequality mitigation.
    Keywords: Mobile phones; financial inclusion; poverty; inequality; Africa
    JEL: G20 O40 I10 I20 I32
    Date: 2023–01
  8. By: Tanya Ara\'ujo; Paulo Barbosa
    Abstract: The growing attention on cryptocurrencies has led to increasing research on digital stock markets. Approaches and tools usually applied to characterize standard stocks have been applied to the digital ones. Among these tools is the identification of processes of market fluctuations. Being interesting stochastic processes, the usual statistical methods are appropriate tools for their reconstruction. There, besides chance, the description of a behavioural component shall be present whenever a deterministic pattern is ever found. Markov approaches are at the leading edge of this endeavour. In this paper, Markov chains of orders one to eight are considered as a way to forecast the dynamics of three major cryptocurrencies. It is accomplished using an empirical basis of intra-day returns. Besides forecasting, we investigate the existence of eventual long-memory components in each of those stochastic processes. Results show that predictions obtained from using the empirical probabilities are better than random choices.
    Date: 2023–08
  9. By: Jonathan Chiu (Bank of Canada); Thorsten V. Koeppl (Queen's University); Hanna Yu (Bank of Canada); Shengxing Zhang (Peking University HSBC Business School)
    Abstract: Decentralized Finance (DeFi) is composed of a variety of heterogeneous sectors that are interconnected through an input-output network of its tokens. We use a panel data set to empricially document the evolution of the DeFi network across its different sectors. We then employ a standard, theoretical production-network model to measure the value added and service outputs of different DeFi sectors which is fundamentally different from the commonly used metric of Total Value Locked (TVL). Our calibrated model is then used to study DeFi token prices and to predict the equilibrium effects of increasing network interconnectedness.
    Keywords: Blockchain, Crypto, Decentralized Finance, Production Network
    JEL: G2 L14
    Date: 2023–07
  10. By: Abdulrezzak Zekiye; Semih Utku; Fadi Amroush; Oznur Ozkasap
    Abstract: Cryptocurrencies have become a popular and widely researched topic of interest in recent years for investors and scholars. In order to make informed investment decisions, it is essential to comprehend the factors that impact cryptocurrency prices and to identify risky cryptocurrencies. This paper focuses on analyzing historical data and using artificial intelligence algorithms on on-chain parameters to identify the factors affecting a cryptocurrency's price and to find risky cryptocurrencies. We conducted an analysis of historical cryptocurrencies' on-chain data and measured the correlation between the price and other parameters. In addition, we used clustering and classification in order to get a better understanding of a cryptocurrency and classify it as risky or not. The analysis revealed that a significant proportion of cryptocurrencies (39%) disappeared from the market, while only a small fraction (10%) survived for more than 1000 days. Our analysis revealed a significant negative correlation between cryptocurrency price and maximum and total supply, as well as a weak positive correlation between price and 24-hour trading volume. Moreover, we clustered cryptocurrencies into five distinct groups using their on-chain parameters, which provides investors with a more comprehensive understanding of a cryptocurrency when compared to those clustered with it. Finally, by implementing multiple classifiers to predict whether a cryptocurrency is risky or not, we obtained the best f1-score of 76% using K-Nearest Neighbor.
    Date: 2023–08
  11. By: Adel Ben Youssef (University Côte d’Azur)
    Abstract: E-commerce is a global trend that is having an impact on consumers and businesses. While this trend is increasing, its adoption by Moroccan firms is low and research on this context and topic is limited. This paper tries to redress this by analyzing the determinants of adoption of ecommerce by firms in Morocco. We employ a probit model to identify the main factors affecting adoption of e-commerce by Moroccan firms. The results provide five main findings. First, due to their greater openness to innovation and the change, newer firms are more likely to adopt e-commerce. Second, firms with larger numbers of higher educated workers are more likely to adopt e-commerce. Third, the level of new employees’ digital skills has no effect on the probability of adopting e-commerce. Fourth, listing on digital platforms increases the probability of e-commerce adoption. Fifth, innovation activity has a positive effect on adoption of e-commerce by Moroccan firms. These findings suggest the need for more investment to enable adoption of new organizational practices, reskilling of workforces, and use of new technologies to facilitate effective adoption of e-commerce by firms.
    Date: 2023–04–20
  12. By: Liran Einav; Benjamin Klopack; Neale Mahoney
    Abstract: Retailers are increasingly selling goods and services via subscriptions instead of spot markets. In this paper, we study one benefit to the retailer of selling subscriptions: the possibility that – presumably because of inattention or inertia – consumers continue to pay for subscriptions after the flow benefit falls below its price. We use comprehensive data from a large payment card network and focus on credit and debit cards that get replaced (e.g., due to expiration). Replaced cards require an active subscription renewal decision, and we document that months during which cards are replaced are associated with much higher rates of cancellation for the ten subscriptions we study. We write down and estimate a stylized model of subscription renewals that allows us to recover the baseline degree of inattention. We find that estimated inattention is higher for consumers that took cash advances, a proxy for low financial sophistication. Relative to a counterfactual in which consumers are fully attentive, inattention raises seller revenues by between 14% and more than 200%. We use the estimated model to explore the quantitative impact of possible regulatory remedies.
    JEL: L50 L86
    Date: 2023–08
  13. By: Ngcetane-Vika, Thelela (Wits University, Johannesburg, South Africa)
    Abstract: Digital transformation has become an interesting area of research to legal scholars who seek to study how it has impacted regulatory frameworks and in this case, laws that govern commercial contracts. Undoubtedly, digitalisation has drastically changed how business is done and by extension commercial contracts. Digital transformation has far reaching implications on commercial contracts. Thus, Legislative frameworks are needed to regulate online business which culminates into standardisation of commercial contracts, on areas like Block Chain and Artificial intelligence. The aim of this paper, therefore, is to assess how the English law and South African laws are responding, in relation to digital transformation and commercial contracts. Digital transformation (DT) can be traced back to the year 2000 when its use became prevalent as the rapid increase of the use of digital technologies has become important in societies, governments and businesses. Undoubtedly, DT has revolutionised how business and societies function. This particular investigation hinged upon qualitative research tradition, whereby a non-intrusive case study approach was followed. Pursuantly, the empirical basis for this essay included mostly primary and secondary sources such as literature review on articles, books, case laws and relevant Statutes. This paper is structured to include an analysis of key concepts as part of the theoretical framework, especially commercial contracts and digital technology. Futhermore, to assess how the South African laws are responding to digital transformation in relation commercial contracts. At the end, to conduct a comparative analysis of English law versus South African law in relation to digital transformation and commercial contracts. The paper hopes to contribute to the body of knowledge on digitalisation and commercial law.
    Date: 2023–08–21
  14. By: Hakizimana, Naphtal; Santoro, Fabrizio
    Abstract: Information technology (IT) has great potential to help increase taxpayer compliance and revenue collection. Despite the increasing use of IT solutions by African tax administrations, evidence on its effectiveness remains limited. In Rwanda, the Revenue Authority introduced a more advanced version of its electronic billing machines (EBM) to enhance its ability to track business transactions remotely and to improve taxpayers’ experience of using the machines. Using a wealth of administrative data collected by the Revenue Authority, this paper evaluates the impact of the adoption of EBM2 on the ways in which firms file their tax returns. In particular, we are able to compare first-time users of EBM2, who are mostly new taxpayers, with ‘shifters’, who moved from the old EBM1 to EBM2. We looked first at value added tax (VAT). Overall, the adoption of EBM2 resulted in significant increases in reported business turnover, non-taxable sales, taxable sales, VAT inputs and VAT due. There was also a reduction in the proportion of completed VAT returns that implied zero VAT liabilities. Unsurprisingly, there was no significant overall change in the VAT returns from ‘shifters’. They had probably internalised the benefits of electronic billing machines when using the earlier EBM1 version. The effects of the adoption of EBM2 on income tax returns are less positive. Overall, no increase in income tax liability is reported. These results suggest that taxpayers do not believe that the Revenue Authority will attempt to reconcile their (separate) VAT and income tax returns. Taxpayers probably provide more reliable VAT returns because they believe, on the basis of the installation of electronic billing machines, with upgrades, that the Revenue Authority is focusing more on VAT. The main policy implication is that the Revenue Authority should make more effort to reconcile firms’ separate VAT and income tax returns, so that the positive effects of the new electronic billing machines on VAT compliance will spillover into income tax compliance.
    Keywords: Finance, Technology,
    Date: 2023
  15. By: Donato Masciandaro
    Abstract: Politicians can be more or less active in pursuing financial-literacy policies. This paper explores the role of financial-literacy policy in modifying the financial-trust endowment of a given population taking the political cost-benefit analysis into account. As, in any period, each incumbent government can design and implement its own financial-literacy policy and as financial-literacy deficits are more likely in a period of financial innovation, we assume that constituencies more or less in favour of such policies are present in a given country. If this is the case, we can show that, in a democracy with political competition, the level of activism in implementing financial-literacy policies is positively associated with financial-instability risks, literacy benefits, and illiteracy costs. Moreover, preferences and constraints motivate the politician in charge. More specifically, a more longer time horizons, lower psychological attitudes towards the status quo, and a higher probability of re-election can increase financial-literacy efforts.
    Keywords: financial literacy, financial trust, fintech, financial crisis, loss aversion, political competition
    JEL: D72 G28 G53 H10 K00
    Date: 2023
  16. By: Chahir Zaki (Cairo University)
    Abstract: Generally, digitalized firms are more productive, more likely to export, and more likely to rely skilled labor. This paper thus analyzes the effect of digitalization on firms’ performance (measured by exports and sales) and labor characteristics (measured by female workers, unpaid workers, parttime workers and workers with permanent contract). To do so, I rely on a newly collected dataset that focuses on firms’ digitalization. I use variables related to digitalization (whether the firm has a website or not, uses smartphones or not, online selling and buying, the Internet, is listed on an application and self-built sales website that enables online payments). The main findings show that the results are more robust for labor characteristics than for performance variables. Indeed, while, in Egypt, digitalization is associated to more women, less unpaid workers and more workers with permanent contract, the result is less robust for sales and exports. Yet, for sales, the use of the Internet is significant in both Egypt and Jordan. Listing the firm on an application is positively associated to sales in Egypt but not in Jordan. In terms of exports, self-built websites for payments in Egypt and using Internet in Jordan are significant.
    Date: 2023–04–20
  17. By: Caroline Fry; Megan MacGarvie
    Abstract: Online platforms such as preprint servers have become an important way to disseminate new scientific knowledge prior to peer review. However, little is known about how attention to preprints may vary across authors from different countries of origin, particularly relative to evaluation in expert-controlled systems such as scientific journals. This study explores how readers allocated attention across preprints in the initial months of the COVID-19 pandemic, a time when there was an increase in demand for new research and a corresponding increase in the use of preprint platforms around the world. We find that, after controlling carefully for article quality and topic as well as the prominence of the preprint’s ultimate publication outlet, preprints with authors from Chinese institutions receive less attention, and preprints with authors from U.S. institutions receive more attention, than preprints with authors from the rest of the world. In an exploration of potential mechanisms driving the observed effects, we find evidence that when evaluation is more constrained, in terms of lack of knowledge or expertise and increase in time pressure, audiences tend to make greater use of preprint authors’ country of origin as a proxy for quality or relevance. The results suggest that geographic biases may persist or even be exacerbated on platforms designed to promote unfettered access to early research findings.
    JEL: O31 O33 O36
    Date: 2023–08
  18. By: Ms. Natasha X Che; Alexander Copestake; Davide Furceri; Tammaro Terracciano
    Abstract: We examine fluctuations in crypto markets and their relationships to global equity markets and US monetary policy. We identify a single price component—which we label the “crypto factor”—that explains 80% of variation in crypto prices, and show that its increasing correlation with equity markets coincided with the entry of institutional investors into crypto markets. We also document that, as for equities, US Fed tightening reduces the crypto factor through the risk-taking channel—in contrast to claims that crypto assets provide a hedge against market risk. Finally, we show that a stylized heterogeneous-agent model with time-varying aggregate risk aversion can explain our empirical findings, and highlights possible spillovers from crypto to equity markets if the participation of institutional investors ever became large.
    Keywords: US Monetary Policy; Cryptoassets; Stock Markets.
    Date: 2023–08–04
  19. By: Matthias Hafner; Marco Henriques Pereira; Helmut Dietl; Juan Beccuti
    Abstract: Stablecoins have gained significant popularity recently, with their market cap rising to over $180 billion. However, recent events have raised concerns about their stability. In this paper, we classify stablecoins into four types based on the source and management of collateral and investigate the stability of each type under different conditions. We highlight each type's potential instabilities and underlying tradeoffs using agent-based simulations. The results emphasize the importance of carefully evaluating the origin of a stablecoin's collateral and its collateral management mechanism to ensure stability and minimize risks. Enhanced understanding of stablecoins should be informative to regulators, policymakers, and investors alike.
    Date: 2023–08
  20. By: Oleksandr Rossolov; Anastasiia Botsman; Serhii Lyfenko; Yusak O. Susilo
    Abstract: This paper examines the mode choice behaviour of people who may act as occasional couriers to provide crowd-shipping (CS) deliveries. Given its recent increase in popularity, online grocery services have become the main market for crowd-shipping deliveries' provider. The study included a behavioural survey, PTV Visum simulations and discrete choice behaviour modelling based on random utility maximization theory. Mode choice behaviour was examined by considering the gender heterogeneity of the occasional couriers in a multimodal urban transport network. The behavioural dataset was collected in the city of Kharkiv, Ukraine, at the beginning of 2021. The results indicated that women were willing to provide CS service with 8% less remuneration than men. Women were also more likely to make 10% longer detours by car and metro than men, while male couriers were willing to implement 25% longer detours when travelling by bike or walking. Considering the integration of CS detours into the couriers' routine trip chains, women couriers were more likely to attach the CS trip to the work-shopping trip chain whilst men would use the home-home evening time trip chain. The estimated marginal probability effect indicated a higher detour time sensitivity with respect to expected profit and the relative detour costs of the couriers.
    Date: 2023–08
  21. By: Chahir Zaki (Cairo University)
    Abstract: Digitalization refers to the transition from an industrial age characterized by traditional technologies to a new era in which commerce, innovation, and other dimensions are driven by digital technologies. The objective of this paper is twofold: first to examine the characteristics of the firms who adopt digital technologies by focusing on two emerging markets, which are Egyp and Jordan. Second, this paper analyzes the potential explanations behind the under-performance of these two countries compared to other emerging economies. The main findings show that firms having an owner whose education level is university and above and who is a woman are more likely to be digitized, especially in Egypt. Moreover, firms that spend on R& D and operating in the services sector adopt and use different digital platforms. Small and medium firms are generally facing several impediments and are not as digitized as large ones. Numerous bottlenecks hinder digitalization in these countries namely the legal and human infrastructure as well as the general quality of institutions including service restrictions.
    Date: 2023–04–20
  22. By: Mendoza Carrillo, Sergio Alejandro (Universidad de los Andes)
    Abstract: El presente trabajo analiza el efecto de las decisiones de política monetaria (medida a través de la tasa de interés efectiva de fondos federales - EFFR -) sobre el default en el mercado de créditos peer-to-peer (P2P) en un periodo de tiempo caracterizado por una política monetaria expansiva con tasas nominales cercanas a cero (2010 - 2018). Partiendo de un modelo de selección tipo Heckman, e incorporando una etapa adicional, se modela la probabilidad individual de que cada deudor caiga en default teniendo en cuenta la decisión del otorgamiento del crédito. Los resultados sugieren que en el mercado de créditos P2P, una reducción en la tasa de política monetaria de un punto porcentual afecta el mercado de crédito de manera significativa a partir del quinto mes de la política. Este efecto se mantiene por cinco meses y desaparece al décimo mes después de dictada la política. En el pico (noveno mes) el efecto en el default es cercano al 3, 1%. Además, se encuentra que el efecto es creciente entre más riesgoso sea la categoría de riesgo del crédito. Esta investigación contribuye a la literatura del risk-taking channel (i) aportando evidencia acerca de la existencia, magnitud, dirección y duración de este canal de transmisión de política monetaria en el mercado de créditos P2P e (ii) incorporando un análisis escalonado del efecto por nivel de riesgo. Además, contribuye a la literatura que analiza la transmisión de política monetaria de formas no convencionales y a la literatura relacionada con modelos de riesgo crediticio, sofisticando el análisis con la implementación de modelos de múltiples etapas, corrigiendo potenciales problemas de endogeneidad.
    Keywords: Créditos P2P; default; risk-taking channel; política monetaria; riesgo crediticio; inversión
    JEL: C34 C36 E51 E52 G23 G41
    Date: 2023–08–07

General information on the NEP project can be found at For comments please write to the director of NEP, Marco Novarese at <>. Put “NEP” in the subject, otherwise your mail may be rejected.
NEP’s infrastructure is sponsored by the School of Economics and Finance of Massey University in New Zealand.