Related papers: Monetary Policy, Digital Assets, and DeFi Activity
Smart contracts led to the emergence of the decentralized finance (DeFi) marketplace within blockchain ecosystems, where diverse participants engage in financial activities. In traditional finance, there are possibilities to create values,…
Decentralized Finance (DeFi) refers to financial services that are not necessarily related to crypto-currencies. By employing blockchain for security and integrity, DeFi creates new possibilities that attract retail and institution users,…
Credit exposure in Decentralized Finance (DeFi) is often implicit and token-mediated, creating a dense web of inter-protocol dependencies. Thus, a shock to one token may result in significant and uncontrolled contagion effects. As the DeFi…
In recent years, the Decentralized Finance (DeFi) market has witnessed numerous attacks on the price oracle, leading to substantial economic losses. Despite the advent of truth discovery methods opening up new avenues for oracle…
One of the exciting recent developments in decentralized finance (DeFi) has been the development of decentralized cryptocurrency exchanges that can autonomously handle conversion between different cryptocurrencies. Decentralized exchange…
The effectiveness of central bank communication is a crucial aspect of monetary policy transmission. While recent research has examined the influence of policy communication by the chairs of the Federal Reserve on various financial…
We analyse financial stability and welfare impacts associated with the introduction of a Central Bank Digital Currency (CBDC) in a macroeconomic agent-based model. The model considers firms, banks, and households interacting on labour,…
Sanctioning blockchain addresses has become a common regulatory response to malicious activities. However, enforcement on permissionless blockchains remains challenging due to complex transaction flows and sophisticated fund-obfuscation…
This paper introduces new methods to study behaviours among the 52 largest cryptocurrencies between 01-01-2019 and 30-06-2021. First, we explore evolutionary correlation behaviours and apply a recently proposed turning point algorithm to…
The cryptocurrency is attracting more and more attention because of the blockchain technology. Ethereum is gaining a significant popularity in blockchain community, mainly due to the fact that it is designed in a way that enables developers…
In blockchain, bribery is an inevitable problem since users with various goals can bribe miners by transferring cryptoassets. To alleviate the negative effects of such collusion, Ethereum blockchain implemented new transaction fee mechanism…
We study the deployment performance of machine learning based enforcement systems used in cryptocurrency anti money laundering (AML). Using forward looking and rolling evaluations on Bitcoin transaction data, we show that strong static…
In this paper, we explore some stylized facts of the Bitcoin market using the BTC-USD exchange rate time series of historical intraday data from 2013 to 2020. Bitcoin presents some very peculiar idiosyncrasies, like the absence of…
The smart contract-based markets for non-fungible tokens (NFTs) on the Ethereum blockchain have seen tremendous growth in 2021, with trading volumes peaking at 3.5b in September 2021. This dramatic surge has led to industry observers…
This paper studies the spillovers of European Central Bank (ECB) interest rate shocks into the Canadian economy and compares them with those of the U.S. Federal Reserve (Fed). We combine a VAR model and local projection regressions with…
We investigate the market microstructure of Automated Market Makers (AMMs), the most prominent type of blockchain-based decentralized exchanges. We show that the order execution mechanism yields token value loss for liquidity providers if…
This thesis applies entropy as a model independent measure to address three research questions concerning financial time series. In the first study we apply transfer entropy to drawdowns and drawups in foreign exchange rates, to study their…
In recent days, the proliferation of several existing and new cyber-attacks pose an axiomatic threat to the stability of financial services. It is hard to predict the nature of attacks that can trigger a serious financial crisis. The…
As the pioneer of blockchain technology, Bitcoin is the most popular cryptocurrency to date. Given its dramatic price spikes (and crashes) along with the never-ending news from SEC regulations to security breaches, there seems to be a lack…
Detection of power-law behavior and studies of scaling exponents uncover the characteristics of complexity in many real world phenomena. The complexity of financial markets has always presented challenging issues and provided interesting…