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on Payment Systems and Financial Technology |
| By: | Christian de Boissieu |
| Abstract: | Face à l’essor des cryptomonnaies, les banques centrales sont en train de réagir en lançant leurs propres monnaies numériques. L’objet de ce Policy Brief est de faire le point sur la préparation des monnaies numériques de banques centrales (MNBC) par les autorités monétaires, un processus qui concerne tous les pays, émergents, en développement, et plus avancés. Il s’agit aussi d’analyser les conditions et certaines des conséquences (pour les banques, pour l’inclusion financière, pour la conduite de la politique monétaire...) d’une telle innovation financière, en distinguant systématiquement les MNBC de gros et les MNBC de détail. |
| Date: | 2023–04 |
| URL: | https://d.repec.org/n?u=RePEc:ocp:rpaeco:pb_19_23 |
| By: | Yanan Niu; Ilja Kantorovitch |
| Abstract: | This research expands the existing literature on Bitcoin (BTC) price misalignments by incorporating transaction-level data from a peer-to-peer (P2P) exchange, LocalBitcoins.com (LB). It examines how broader economic and regulatory factors influence cryptocurrency markets and highlights the role of cryptocurrencies in facilitating international capital movements. By constructing shadow exchange rates (SERs) for national currencies against the US dollar based on BTC prices, we calculate discrepancies between these SERs and their official exchange rates (OERs), referred to as BTC premiums. We analyze various factors driving the BTC premiums on LB, including those sourced from the BTC blockchain, mainstream centralized BTC exchanges, and international capital transfer channels. Unlike in centralized markets, our results indicate that the microstructure of the BTC blockchain does not correlate with BTC premiums in the P2P market. Regarding frictions from international capital transfers, we interpret remittance costs as indicators of inefficiencies in traditional capital transfer systems. For constrained currencies subject to severe capital controls and managed exchange rate regimes, increased transaction costs in conventional currency exchange channels almost entirely translate into higher BTC premiums. Additionally, our analysis suggests that BTC premiums can serve as short-term predictors of future exchange rate depreciation for unconstrained currencies. |
| Date: | 2024–10 |
| URL: | https://d.repec.org/n?u=RePEc:arx:papers:2410.22443 |
| By: | Hilpert, Hanns Günther; Tokarski, Paweł |
| Abstract: | The number of digital currencies has increased significantly in recent years. So-called central bank digital currencies (CBDCs), created by central banks, are at the forefront of this development. Combining the advantages of an electronic means of payment - namely the speed and efficiency of transactions - with the stability and confidence that central banks enjoy, CBDCs will surely have a significant influence on the development of international payment systems in the coming years. Work on this topic has accelerated significantly in many parts of the world following the imposition of sanctions against Russia by the G7. The European Union (EU) and China are also engaged in planning and shaping their own CBDCs, but there are significant differences in the motivations, pace of progress and ambitions associated with these projects. |
| Keywords: | Central Bank, money, digitalisation, digital currencies, central bank digital currencies (CBDCs), sanctions against Russia, G7, European Union (EU), China, eurozone, blockchain technologies, People's Bank of China (PBoC), e-CNY, European Central Bank (ECB) |
| Date: | 2024 |
| URL: | https://d.repec.org/n?u=RePEc:zbw:swpcom:305241 |
| By: | Hilpert, Hanns Günther; Tokarski, Paweł |
| Abstract: | In den letzten Jahren hat sich die Zahl der digitalen Währungen stark erhöht. Als besonders zukunftsweisend kann das von Zentralbanken entwickelte Digitale Zentralbankgeld (DZBG) gelten. Die Kombination der Vorteile elektronischer Zahlungsmittel - Schnelligkeit und Effizienz von Transaktionen - mit der Stabilität und dem Vertrauenskapital einer Zentralbank ist ein Ansatz, der die Entwicklung der internationalen Zahlungssysteme in den nächsten Jahren maßgeblich beeinflussen wird. Die Arbeit an diesem Thema hat sich in vielen Teilen der Welt nach der Verhängung von Sanktionen gegen Russland durch die G7 deutlich beschleunigt. Die EU und China sind ebenfalls mit der Planung und Ausgestaltung ihres eigenen DZBG befasst, aber es gibt erhebliche Unterschiede in Bezug auf die Hauptmotivation, das Fortschrittstempo und die Ambitionen, die mit diesen Projekten verknüpft werden. |
| Keywords: | Digitales Zentralbankgeld, DZBG, Central Bank Digital Currency, CBDC, retail, wholesale, Haltelinie, Blockchain, Distributed Ledger, Kryptowährung, Stablecoin, Bitcoin, e-CNY, RMB, People's Bank of China, PBoC, Alibaba, Tencent, Alipay, WeChatPay, Apple Pay, Google Pay, token, Clearing, Cross-Border Inter-Bank Payments System, CIPS |
| Date: | 2024 |
| URL: | https://d.repec.org/n?u=RePEc:zbw:swpakt:305238 |
| By: | Ackah, Charles; Hanley, Aoife; Hecker, Lars; Kodom, Michael |
| Abstract: | Our analysis of over 500 Ghanaian firms sheds light, for the first time, on how certain firms managed to extract value from mobile money. Our regressions point to the usefulness of this form of cashless payments in stabilizing sales during the COVID pandemic. Perhaps the most important message from our analysis is the recognition that the benefits from mobile money extend beyond its purpose as a tool for transacting cashless payments. We reveal that firms using these additional tools supported by MoMo (e.g. for planning or saving purposes) report higher sales resilience, all things equal. Our findings appear to echo the literature on private householders (e.g. Jack and Suri, 2014). However, while the latter report a positive effect due to remittances, our finding is more likely driven by enhanced ability of businesses to streamline their planning and sales. |
| Keywords: | Mobile Money, Africa, Firm, Urbanization |
| JEL: | G23 G21 L25 O14 O18 O33 |
| Date: | 2024 |
| URL: | https://d.repec.org/n?u=RePEc:zbw:ifwkwp:305274 |
| By: | Astebro, Thomas B. (HEC Paris); Penalva, José |
| Abstract: | The crowd is usually wise but can be subject to manipulation by insiders. We use internal administrative records from a leading European crowdfunding platform to study platform governance on two-sided crowdfunding platforms. Founders and regular investors naturally have different incentives with their investments. Consistent with model predictions, founders appear to try to exploit regular investors' sensitivity to the public history of a campaign by making anonymous self-investments. This could distort regular investors' belief formation. Founders tend to avoid and regular investors typically do not find public self-investments credible. To make crowdfunding even more attractive for early-stage financing, platforms could consider increasing the transparency of large self-investments. |
| Keywords: | non-price strategies; platform governance; two-sided platforms; wisdom of the crowd; information manipulation |
| JEL: | D83 G24 G41 L26 |
| Date: | 2024–01–09 |
| URL: | https://d.repec.org/n?u=RePEc:ebg:heccah:1499 |
| By: | Otaviano Canuto |
| Abstract: | Recent initiatives and policy moves by China and other countries to extend the reach of use of the renminbi in the international monetary system, while the U.S. dollar share in global reserves has slightly shrunk in relative terms, have sparked frequent discussions about a hypothetical “de-dollarization” of the global economy. We approach here what that would mean in terms of global currency functions as means of payment and store of value. While we point out a relative decline of the U.S. dollar weight in those functions more recently, we also highlight gravitational factors that tend to uphold its position. Therefore, the “exorbitant privilege” that the U.S. dollar has provided to its issuer is likely to remain. |
| Date: | 2023–04 |
| URL: | https://d.repec.org/n?u=RePEc:ocp:rpaeco:pb_21_23 |
| By: | Helyette Geman |
| Abstract: | On Friday, March 10 -2023, the US and the world discovered that the Federal Deposit Insurance Corporation (FDIC) had seized the Silicon Valley Bank after SVB’s customers had withdrawn an extraordinary $42 billion from their deposits on March 16. This $4.2 billion an hour, or more than $1 million per second for ten straight hours, an unprecedented event made possible by the use of Apps by many startup founders to access their accounts and advise their friends to do the same -what the Chairman of the House of Financial Services Committee called ‘the first Twitter -fueled bank run’. |
| Date: | 2023–03 |
| URL: | https://d.repec.org/n?u=RePEc:ocp:rpaeco:pb_16-23 |
| By: | Clément Marinos (LEGO - Laboratoire d'Economie et de Gestion de l'Ouest - UBS - Université de Bretagne Sud - UBO - Université de Brest - IMT - Institut Mines-Télécom [Paris] - IBSHS - Institut Brestois des Sciences de l'Homme et de la Société - UBO - Université de Brest - UBL - Université Bretagne Loire - IMT Atlantique - IMT Atlantique - IMT - Institut Mines-Télécom [Paris], MARSOUIN - Môle Armoricain de Recherche sur la SOciété de l'information et des usages d'INternet - UR - Université de Rennes - UBS - Université de Bretagne Sud - ENSAI - Ecole Nationale de la Statistique et de l'Analyse de l'Information [Bruz] - UBO - Université de Brest - IMT - Institut Mines-Télécom [Paris] - UR2 - Université de Rennes 2 - UBL - Université Bretagne Loire - IMT Atlantique - IMT Atlantique - IMT - Institut Mines-Télécom [Paris]) |
| Abstract: | In this article, we aim to highlight the importance of digital platforms, particularly the social network Facebook, in online relationships among digital nomads. To achieve this, we employ social capital theory, conducting both quantitative and qualitative analyses of user groups and posts. The results reveal a strong geographical dimension in the search for social capital, as well as a relative balance between bridging and bonding capital. We also underscore a limited presence of local actors on the social network, despite the richness of interactions among nomads, preferring virtual relationships among peers. |
| Abstract: | Dans cet article, nous cherchons à mettre en évidence l'importance des plateformes numériques et plus particulièrement du réseau social Facebook dans les relations en ligne entre nomades numériques. Pour y parvenir, nous convoquons la théorie du capital social en analysant quantitativement et qualitativement les groupes et les posts des usagers. Les résultats montrent la forte dimension géographique dans la recherche de capital social ainsi qu'un relatif équilibre entre capital qui relie (bridging) et capital qui renforce (bonding). Nous mettons par ailleurs en évidence une faible présence des acteurs locaux sur le réseau social malgré la richesse des échanges entre nomades qui ont tendance à privilégier les relations virtuelles entre pairs. |
| Keywords: | digital nomads, social capital, territory, digital social networks, Facebook, online communities, nomades numériques, capital social, territoire, réseaux sociaux numériques, communautés en ligne, capital social territoire réseaux sociaux numériques Facebook communautés en ligne digital nomads social capital territory digital social networks Facebook online communities, communautés en ligne digital nomads |
| Date: | 2024 |
| URL: | https://d.repec.org/n?u=RePEc:hal:journl:hal-04738405 |
| By: | Higgs, James; Flowerday, Stephen |
| Abstract: | The video game market is forecasted to be valued at $321.6 billion by 2027. Today, younger generations increasingly prefer spending their leisurely time playing online video games. Beyond providing a leisurely – and often competitive – activity to the bulk of its user base, online video games provide cybercriminals with an environment that is free from the reigns of legal enforcement. More specifically, with the growing popularity and uptake of the microtransaction business model, money launderers are provided with novel channels to move their illicitly gained funds. A continuously expanding body of evidence underscores that money laundering is occurring through online video games. Foremost, cybercriminals are attracted to the anonymity and global reach offered by online video games with few to no controls currently in place to disrupt laundering processes. Furthermore, regulations are struggling to keep pace with the latest money laundering strategies employed by cybercriminals. This paper explores and discusses money laundering in the context of online video games. Core vulnerabilities enabling money laundering to occur through online video games are identified. Security controls to reduce the scale of laundering are proposed. |
| Date: | 2024–11–07 |
| URL: | https://d.repec.org/n?u=RePEc:osf:socarx:fyv6c |
| By: | Brian Z. Zhu; Dingyue Liu; Xin Wan; Gordon Liao; Ciamac C. Moallemi; Brad Bachu |
| Abstract: | We empirically study liquidity and market depth on decentralized exchanges (DEXs), identifying factors at the blockchain, token pair, and pool levels that predict future effective spreads for fixed trade sizes on Uniswap v3 pools. Introducing the v2 counterfactual spread metric, a novel criterion that assesses the degree of liquidity concentration in pools using the ``concentrated liquidity'' mechanism, we decompose the effect of each factor on market depth into two channels: total value locked (TVL) and concentration. We further explore how external liquidity from competing DEXs and fillers with private inventory on DEX aggregators influence market depth. We find, for moderately-sized swaps, that (i) gas prices, returns, and volatility affect spreads primarily through concentration, (ii) internalization of swaps by private liquidity sources affects spreads primarily through TVL, and (iii) fee revenue, markout, and DEX competition affect spreads through both channels. |
| Date: | 2024–10 |
| URL: | https://d.repec.org/n?u=RePEc:arx:papers:2410.19107 |
| By: | Luis Aguiar |
| Abstract: | Consumers considering the purchase of experience goods can rely on both critics and crowd-based evaluations to guide their decisions. Due to divergent incentives, however, critics and crowd assessments may incorporate different information. In the context of the movie industry, I investigate whether crowd reviewers provide gender-neutral product evaluations relative to professional critics. I classify movies as male or female based on the gender composition of their cast and estimate how the gender gap in movie rating scores differs across critics and crowds. Results show that while critics tend to assess both male and female movies similarly, the gender gap in ratings increases substantially under crowd-based ratings and at the expense of female movies. Notably, female movies receive a higher proportion of extreme low ratings, predominantly from male crowd reviewers. Using a rating design change implemented by the review-aggregating platform Rotten Tomatoes, results indicate that this overall increase in gender inequality is driven by a selected group of online reviewers rather than by a general bias against movies with more prominent female presence. These findings have important implications for the gate-keeping role of review-aggregating platforms in reducing bias against female representation in product ratings. |
| Keywords: | digital platforms, product ratings, critics, crowds, gender bias, movie industry |
| JEL: | D83 L15 L82 O33 |
| Date: | 2024 |
| URL: | https://d.repec.org/n?u=RePEc:ces:ceswps:_11422 |
| By: | Renzhi, Nuobu (Capital University of Economics and Business); Beirne, John (Asian Development Bank) |
| Abstract: | This paper empirically investigates how the level of peer-to-peer (P2P) lending affects monetary policy transmission in the People’s Republic of China (PRC). Using state-dependent local projection methods, we find that the macroeconomic effects of unanticipated changes in monetary policy are dampened during the boom phase of the P2P lending market. The impulse responses of industrial production and inflation are significantly negative in the non-boom state. In contrast, the responses of industrial production and inflation are muted in the boom state. Set against the context of stricter regulation on P2P lending since 2017, our results indicate that the significant scaling back of P2P lending activity and its gradual decline in the PRC could enhance the effectiveness of monetary policy transmission. Our paper also suggests that further work is needed to study the interaction between financial innovation and monetary policy |
| Keywords: | peer-to-peer lending; monetary policy transmission; fintech |
| JEL: | E44 E52 F33 F42 |
| Date: | 2024–11–05 |
| URL: | https://d.repec.org/n?u=RePEc:ris:adbewp:0749 |
| By: | Victor Le Coz; Michael Benzaquen; Damien Challet |
| Abstract: | We propose a minimal model of the secured interbank network able to shed light on recent money markets puzzles. We find that excess liquidity emerges due to the interactions between the reserves and liquidity ratio constraints; the appearance of evergreen repurchase agreements and collateral re-use emerges as a simple answer to banks' counterparty risk and liquidity ratio regulation. In line with prevailing theories, re-use increases with collateral scarcity. In our agent-based model, banks create money endogenously to meet the funding requests of economic agents. The latter generate payment shocks to the banking system by reallocating their deposits. Banks absorbs these shocks thanks to repurchase agreements, while respecting reserves, liquidity, and leverage constraints. The resulting network is denser and more robust to stress scenarios than an unsecured one; in addition, the stable bank trading relationships network exhibits a core-periphery structure. Finally, we show how this model can be used as a tool for stress testing and monetary policy design. |
| Date: | 2024–10 |
| URL: | https://d.repec.org/n?u=RePEc:arx:papers:2410.18145 |
| By: | Caterina Giannetti; Maria Saveria Mavillonio |
| Abstract: | Using a unique dataset of equity offerings from crowdfunding platforms, we explore the synergy between human insights and algorithmic analysis in evaluating campaign success through business plan assessments. Human evaluators (students) used a predefined grid to assess each proposal in a Business Plan competition. We then developed a classifier with advanced textual representations and compared prediction errors between human evaluators, a machine learning model, and their combination. Our goal is to identify the drivers of discrepancies in their evaluations. While AI models outperform humans in overall accuracy, human evaluations offer valuable insights, especially in areas requiring subtle judgment. Combining human and AI predictions leads to improved performance, highlighting the complementary strengths of human intuition and AI's computational power. |
| Keywords: | Crowdfunding, Natural Language Processing, Human Evaluation |
| JEL: | C45 C53 G2 |
| Date: | 2024–11–01 |
| URL: | https://d.repec.org/n?u=RePEc:pie:dsedps:2024/315 |
| By: | Alex Li |
| Abstract: | Predicting volatility in financial markets, including stocks, index ETFs, foreign exchange, and cryptocurrencies, remains a challenging task due to the inherent complexity and non-linear dynamics of these time series. In this study, I apply TimeMixer, a state-of-the-art time series forecasting model, to predict the volatility of global financial assets. TimeMixer utilizes a multiscale-mixing approach that effectively captures both short-term and long-term temporal patterns by analyzing data across different scales. My empirical results reveal that while TimeMixer performs exceptionally well in short-term volatility forecasting, its accuracy diminishes for longer-term predictions, particularly in highly volatile markets. These findings highlight TimeMixer's strength in capturing short-term volatility, making it highly suitable for practical applications in financial risk management, where precise short-term forecasts are critical. However, the model's limitations in long-term forecasting point to potential areas for further refinement. |
| Date: | 2024–09 |
| URL: | https://d.repec.org/n?u=RePEc:arx:papers:2410.09062 |
| By: | Lorette DANILO (PhD Student, Univ Rennes, CNRS, CREM – UMR6211, F-35000 Rennes France); Fayssal JAMHAMED (Quantitative Portfolio Manager, Federal Finance Gestion); Franck MARTIN (Professor, Univ Rennes, CNRS, CREM – UMR6211, F-35000 Rennes France) |
| Abstract: | Cryptoassets market is notoriously volatile and risky. In this context, marketneutral type strategies, such as pair-trading, may be relevant. In this article, we focus on the implementation of pair-trading strategies with a wide range of cryptoassets (209) over a period halved from 2021-08-01 to 2024-01-31. To carry out this study, we combine econometric and machine learning techniques to stand out from the existing literature. By using cointegration tests and error correction models, we identify a final sample of 229 pairs suitable for pair-trading strategies. Using a genetic algorithm and pair clustering, we test four strategies employing standard and optimized thresholds. The results highlight the existence of profitable cointegrating relationships and therefore short-term market inefficiencies in the cryptoassets market. Indeed, the best strategy identified in terms of risk-return couple, although it remains risky with a median maxdrawdown of 29%, delivers an average annual Sharpe ratio per pair of 1.53 over the backtesting period. |
| Keywords: | Cryptoassets; Pair-trading; Cointegration; Error-correction models; Genetic algorithm; Bollinger bands; Short-term market inefficiencies |
| JEL: | C22 C61 G11 G12 G14 |
| Date: | 2024–11 |
| URL: | https://d.repec.org/n?u=RePEc:tut:cremwp:2024-11 |