• Commodity price effect is non-uniform and changes over time. Diverse sectoral commodity effects are robust to alternative specifications. affected by crisis third-country exchange rates. The empirical results challenge the assumption of stable effects. Using quarterly data on four commodity-exporting countries, we examine explanatory power real prices predict effective rates, paying particula...

In this paper, we explore the role of privacy-enhancing overlays in Bitcoin. To examine the effectiveness of different solutions, we first propose a formal definitional framework for virtual currencies and put forth a new notion of anonymity, taint resistance, that they can satisfy. We then approach the problem from a theoretical angle, by proposing various solutions to achieve provable taint r...

In this paper we test the purchasing power parity for the post Bretton Woods period for 18 main industrial countries. As base currencies we use alternatively the Deutsche mark, the Japanese yen, and the US dollar. We employ error correction models for single countries and on the level of pooled equations allowing eecient inference on domestic and foreign price elasticities of nominal exchange r...

A currency exchange system is introduced for a multi-currency electronic money trial, in which smartcardbased electronic moneys (two currencies) are circulated over the Internet. Considering the need to support our existing single currency electronic money protocol, the exchange method proposed herein offers fairness between untrusted parties based on the “optimistic approach”. This paper descr...

Eugene Fama (1984) analyzed the variability and the covariation of risk premiums and expected rates of depreciation. We employ three statistical techniques that do not suffer from a potential bias in Fama’s analysis, but we nevertheless confirm his findings. In contrast to his interpretation the results are not necessarily at variance with the predictions of a theoretical model of the risk prem...

In the foreign exchange market, time-varying transaction costs and interest rates may define set of attractive currencies for investors. Our study shows that when are attractive, they tend to deviate from uncovered rate parity comove with global stochastic discount factor (SDF). Inversely, non-attractive, conform more closely do not SDF. As a consequence, both investors policy makers want know ...

We introduce a central bank digital currency (CBDC) in the network of financial accounts. Simulating shift deposits by both households and non-financial corporations from banking sector to bank, we model different responses affected institutional sectors. find that introduction CBDC generates funding shortages banks, which may propagate other In addition, significant adjustments balance sheets ...

This paper introduces NEAT-based Evolutionary Computation as the basis for a fully automated trading system application. The system is designed to trade FX markets by detecting profitable currency cycles in the most widely traded currencies and forecasting future exchange rates. To do this, it relies on a fitness function that measures profitability, as well as a fitness function that measures ...

This paper presents a simultaneous model of exchange rates between the three major countries. In addition to incorporating long-run equilibria and short-run dynamics, the model is designed to capture complex interactions between currencies not normally considered in exchange rate models. These interactions are shown to be important via generalised impulse response analysis, and the model as a w...