Publications et documents de travail
01/12/21
- Journals
    Jean-Charles Rochet and Marianne Verdier
Banques, Monnaie et Paiement
Le modèle d’affaires traditionnel des banques commerciales exploite les économies d’envergure entre dépôts et crédits. Les nouvelles technologies de l’information (Fintechs) et les plateformes géantes sur Internet (Bigtechs) mettent ce modèle sérieusement en danger. Les Bigtechs menacent même la souveraineté monétaire des États en offrant potentiellement aux citoyens du monde de nouvelles devises qui échappent à leur contrôle, comme le projet Diem de Global Stablecoin élaboré par Facebook. Cette menace explique que de nombreuses juridictions envisagent sérieusement la création de monnaies digitales de banques centrales (MDBC ou CBDC en anglais), de façon à couper l’herbe sous le pied des Fintechs tentées par la création monétaire. Nous analysons ces bouleversements et leurs conséquences prévisibles et plaidons pour l’élaboration d’une véritable politique publique en matière de paiements.
01/09/21
- documents de travail
    David Bounie, Youssouf Camara and John W. Galbraith
Consumers' mobility, expenditure and online/offline substitution response to COVID-19: evidence from French transaction data
This paper investigates a number of general phenomena connected with consumer behaviour in response to a severe economic shock, using billions of French card transactions measured before and during the COVID-19 epidemic. We examine changes in consumer mobility, anticipatory behaviour in response to announced restrictions, and the contrasts between the responses of online and traditional point-of-sale (off-line) consumption expenditures to the shock. We track hourly, daily and weekly responses as well as estimating an aggregate fixed-period impact effect via a difference-in-difference estimator. The results, particularly at the sectoral level, suggest that {recourse} to the online shopping option diminished somewhat the overall impact of the shock on consumption expenditure, thereby increasing resiliency of the economy.
01/09/21
- documents de travail
    David Bounie, Antoine Dubus and Patrick Waelbroeck
Competition and Mergers with Strategic Data Intermediaries
We analyze competition between data intermediaries collecting information on consumers, which they sell to firms for price discrimination purposes. We show that competition between data intermediaries benefits consumers by increasing competition between firms, and by reducing the amount of consumer data collected. We argue that merger policy guidelines should investigate the effect of the data strategies of large intermediaries on competition and consumer surplus in related markets.
17/07/21
- documents de travail
    Aloosh Arash and Li Jiasun
Direct evidence of bitcoin wash trading
We use the internal data of a major Bitcoin exchange leaked by hackers to detect wash trading -- a type of market manipulation in which a single trader clears her own limit orders to “cook” transaction records. Our finding provides direct evidence for the widely-suspected "fake volume” allegation against cryptocurrency exchanges, which has so far only been backed by indirect inferences. Wash trades tend to follow low past transaction fee revenues to the exchange, significantly increase subsequent transaction fee revenues, and involve several known exchange insiders. The evidence is consistent with the hypothesis that the exchange itself commits wash trading to inflate apparent trading volume and boost fee revenues. We also use our direct evidence to evaluate the indirect inference techniques proposed in the literature.
01/07/21
- Journals
    David Bounie, Antoine Dubus and Patrick Waelbroeck
Selling Strategic Information in Digital Competitive Markets
This paper investigates the strategies of a data broker in selling information to one or to two competing firms that can price-discriminate consumers. The data broker can strategically choose any segment of the consumer demand (information structure) to sell to firms that implement third-degree price discrimination. We show that the equilibrium profits of the data broker are maximized when (1) information identifies the consumers with the highest willingness to pay; (2) consumers with a low willingness to pay remain unidentified; (3) the data broker sells two symmetrical information structures. The data broker therefore strategically sells partial information on consumers in order to soften competition between firms. Extending the baseline model, we prove that these results hold under first-degree price-discrimination.
01/01/21
- ouvrages
    Thierry Bonneau
Petit bréviaire de la transition numérique, Revue de droit bancaire et financier, Repère 1
Résumé à venir
01/01/21
- ouvrages
    Thierry Bonneau
Le « Digital Finance Package », Revue de droit bancaire et financier, Etude
Résumé à venir
01/01/21
- documents de travail
    Bertrand Crettez and Marie Obidzinski
The Choice of Titling System in Land and the Blockchain
Registering land title is costly and time-consuming. This is a common picture all over the world. In France, the cost of a real estate transaction accounts approximately for 7.3 % of the property value and it takes on average 42 days to achieve it, according to the World Bank (2019). In Germany, the respective numbers are 6.6 % of the property value and 52 days. There are differences between countries due to many factors: regulations, taxes, insurance costs, and real estate agency fees. The paper focuses on transaction costs, leaving aside insurance costs and taxes. In this regard, the Blockchain is a candidate to replace or complement traditional land registration systems. The Blockchain, a particular type of distributed ledger technology (DLT), is a secure, transparent information storage and transmission technology which has numerous advantages, in terms of cost, duration and production of immutable information. The reduction of transaction costs through the diminishing role of trust intermediaries is a key proposition of the proponents of the blockchain. Yet, the Blockchain encounters numerous limits, both technical and legal, that might explain why the applications of this technology to real estates are scant. In the paper, we view the Blockchain as a cost-saver mechanism albeit one that can potentially be jeopardized by hacking. We look at the desirability of keeping traditional registration, in a context where blockchain registration is available. In our setup, there is a priori an infinite set of land titling systems, each characterized by its quality (namely, the probability for a given land that there is no forfeiture) and the unit transaction cost. We define an optimal land titling system as one that maximizes the aggregate expected value of land net of transaction costs (the expected value of a land is computed by taking into account the probability of forfeiture). Choosing a more secure land titling system increases the expected values of land but comes at a cost that can deter people to register their properties. Thus, there is a trade-off between security and the number of registered transactions. We find that under reasonable assumptions, resorting to the blockchain is optimal. Yet, it is never socially optimal to replace the traditional public registration by the Blockchain. This does not mean, however, that the traditional public registration system must not be adapted. We indeed show that the optimal quality of protection provided by traditional registration must be either sufficiently high (and higher than that of the blockchain), or low enough (and lower than that of the blockchain). To understand the thrust of this result, consider an economy where land values are often large. Introducing the Blockchain benefits owner of lands whose values are relatively low because it decreases the probability of forfeiture at a cost lower than that of the traditional land registration system. But since the owners of these lands are few and the values of the latter are low, using the Blockchain results in the mild increase in the aggregate social welfare. For the owners of lands whose values are large, it is better to use a high-quality traditional land system rather than the Blockchain. That is because, the increase in the expected value of lands with this system is higher than that obtained with the Blockchain, and still more than compensates the rise in the unit cost.
01/01/21
- documents de travail
    Bertrand Crettez and Lisa Morhaim
General Equilibrium Cryptocurrency Pricing
This paper contributes to a burgeoning literature devoted to the macroeconomics of cryptocurrency. We study the valorization of cryptocurrency in an overlapping generations model where people have the choice between cryptocurrency and central bank currency. This setup is one of the few workhorse models used to address monetary issues, where money can have a positive value in equilibrium. Specifically, we pay attention to three features of cryptocurrency: it is a risky asset (because of frauds and hacks), which one acquires by bearing transaction costs, and its supply reaches its upper limit in a finite time (e.g., Bitcoin). We consider both the standard case with linear-quadratic preferences and the more general case where preferences are not specified. We find that the effect of an increase in cryptocurrency on the currency prices notably depends on the transaction costs borne by people who buy cryptocurrency. In particular, when these costs are given by a concave function (that is, when there are economies of scale in holding cryptocurrency), it can be the case that an increase in cryptocurrency results in an increase in its price and a decrease in the central bank currency price. Moreover, we find that both the prices of central bank currency and cryptocurrency decrease with a mean-preserving increase in the risk of the latter. These results have two implications. Firstly, the fact that an increase in cryptocurrency may increase its price clashes with the fact that its supply is limited. There is then a tension between the principle that cryptocurrency is in limited supply and the fact that increasing its stock would not decrease its value. Secondly, the fact that the equilibrium price of central bank currency is linked to the risk of hacking of cryptocurrency underlines the fact that the existence of the latter can jeopardize the value of the former, even when a sound monetary policy is followed by the central bank.
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