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Central Bank Digital Currency: Welfare and Policy Implications
Journal of Political Economy, 2022A model of banking and means of payment is constructed to analyze the effects of the introduction of central bank digital currency (CBDC). That CBDC is interest bearing is not an advantage, as replacement of physical currency with CBDC does not expand ...
Stephen D. Williamson
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Portfolio diversification with virtual currency: Evidence from bitcoin
International Review of Financial Analysis, 2019The paper investigates the proprieties of Bitcoin in the financial markets. Specifically, we explore the conditional cross effects and volatility spillover between Bitcoin and financial indicators using different multivariate GARCH specifications.
K. Guesmi +3 more
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Central bank digital currency and flight to safety
, 2021A model is developed with a novel approach to analyzing banking panics in general equilibrium. Banks may fail, and bank insolvency potentially drives banking panics in which there is payment disruption, in the absence of sequential service constraints ...
Stephen D. Williamson
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Currency futures and currency crises [PDF]
, 2004 Since financial derivatives are key instruments for risk taking as well as risk reduction, it is only straightforward to examine their role in currency crises. This paper addresses this issue by investigating the impact of currency futures trading on the underlying exchange rates.
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2018
Recent decades have witnessed the proliferation of monetary instruments that differ, in many respects, from the official currency issued by the central bank and by the regulated banking system, such as local currencies, corporate barter, and mutual credit systems.
Amato, Massimo, Fantacci, Luca
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Recent decades have witnessed the proliferation of monetary instruments that differ, in many respects, from the official currency issued by the central bank and by the regulated banking system, such as local currencies, corporate barter, and mutual credit systems.
Amato, Massimo, Fantacci, Luca
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Volatility spillover in crypto-currency markets: Some evidences from GARCH and wavelet analysis
Physica A: Statistical Mechanics and its Applications, 2019We study the dynamics of volatility spillover across four major cryptocurrency returns namely Bitcoin, Ethereum, Ripple and Litecoin from 15 − 08 − 2015 to 18 − 01 − 2018 .
Anoop S. Kumar, S. Anandarao
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Finance Research Letters, 2018
This study assesses the efficiency of Bitcoin market compared to gold, stock and foreign exchange markets. By applying a MF-DFA approach, the study found that the long-memory feature and multifractality of the Bitcoin market was stronger and Bitcoin was ...
K. Al-Yahyaee +2 more
semanticscholar +1 more source
This study assesses the efficiency of Bitcoin market compared to gold, stock and foreign exchange markets. By applying a MF-DFA approach, the study found that the long-memory feature and multifractality of the Bitcoin market was stronger and Bitcoin was ...
K. Al-Yahyaee +2 more
semanticscholar +1 more source
Trade Network Centrality and Currency Risk Premia
Journal of Finance, 2019I uncover an economic source of exposure to global risk that drives international asset prices. Countries that are more central in the global trade network have lower interest rates and currency risk premia. To explain these findings, I present a general
Robert J. Richmond
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Currency Depreciation and Emerging Market Corporate Distress
Management Sciences, 2020How do emerging market corporates fare during periods of currency depreciation? We find that non-financial firms that exploit favorable global financing conditions to issue US dollar bonds and build cash balances are also those whose share price is most ...
Valentina Bruno, H. Shin
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The Optimal Currency Basket with Input Currency and Output Currency [PDF]
SSRN Electronic Journal, 2008 This paper explores the determination of the optimal currency basket in a small open economy general equilibrium model with sticky prices. In contrast to traditional literature, we focus on an economy with vertical trade, where one currency is used as the invoicing currency of imported intermediate goods and is called the \input currency", while the ...
Kang Shi, Juanyi Xu
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