Authenticated Digital Currency Redaction with Stronger Privacy and Usability

With the promotion of digital currency,how to effectively solve the authenticity,privacy and usability of digital currency issuance has been a key problem.Redactable signature scheme(RSS)can provide the verification of the integrity and source of the generated sub-documents and solve the privacy problem in digital currency by removing blocks from the signed documents.Unfortunately,it has not realized the consolidation of signed documents,which can not solve the problem of merging two digital currencies.Now,we introduce the concept of weight based on the threshold secret sharing scheme(TSSS)and present a redactable signature scheme with merge algorithm(RSS-MA)using the quasi-commutative accumulator.Our scheme can reduce the communication overhead by utilizing the merge algorithm when transmitting multiple digital currency signatures.Furthermore,this can effectively hide the scale of users’private monetary assets and the number of transactions between users.While meeting the three properties of digital currency issuance,in order to ensure the availability of digital currency after redacting,editors shall not remove the relevant identification information block form digital currency.Finally,our security proof and the analysis of efficiency show that RSS-MA greatly improves the communication and computation efficiency when transmitting multiple signatures.

Upside and downside correlated jump risk premia of currency options and expected returns

This research explores upside and downside jumps in the dynamic processes of three rates:domestic interest rates,foreign interest rates,and exchange rates.To fill the gap between the asymmetric jump in the currency market and the current models,a correlated asymmetric jump model is proposed to capture the co-movement of the correlated jump risks for the three rates and identify the correlated jump risk premia.The likelihood ratio test results show that the new model performs best in 1-,3-,6-,and 12-month maturities.The in-and out-of-sample test results indicate that the new model can capture more risk factors with relatively small pricing errors.Finally,the risk factors captured by the new model can explain the exchange rate fluctuations for various economic events.

Sovereign default network and currency risk premia

We construct a sovereign default network by employing high-dimensional vector autoregressions obtained by analyzing connectedness in sovereign credit default swap markets.We develop four measures of centrality,namely,degree,betweenness,closeness,and eigenvector centralities,to detect whether network properties drive the currency risk premia.We observe that closeness and betweenness centralities can negatively drive currency excess returns but do not exhibit a relationship with forward spread.Thus,our developed network centralities are independent of an unconditional carry trade risk factor.Based on our findings,we develop a trading strategy by taking a long position on peripheral countries’currencies and a short position on core coun-tries’currencies.The aforementioned strategy generates a higher Sharpe ratio than the currency momentum strategy.Our proposed strategy is robust to foreign exchange regimes and the coronavirus disease 2019 pandemic.

Impact of COVID-19 effective reproductive rate on cryptocurrency

The importance of cryptocurrency to the global economy is increasing steadily,which is evidenced by a total market capitalization of over$2.18T as of December 17,2021,according to coinmarketcap.com(Coin,2021).Cryptocurrencies are too confusing for laymen and require more investigation.In this study,we analyze the impact that the effective reproductive rate,an epidemiological indicator of the spread of COVID-19,has on both the price and trading volume of eight of the largest digital currencies—Bitcoin,Ethereum,Tether,Ripple,Litecoin,Bitcoin Cash,Cardano,and Binance.We hypothesize that as the rate of spread decreases,the trading price of the digital currency increases.Using Generalized Autoregressive Conditional Heteroskedasticity models,we find that the impact of the spread of COVID-19 on the price and trading volume of cryptocurrencies varies by currency and region.These findings offer novel insight into the cryptocurrency market and the impact that the viral spread of COVID-19 has on the value of the major cryptocurrencies.

Portfolio diversification benefits of alternative currency investment in Bitcoin and foreign exchange markets

This study examines the portfolio diversification benefits of alternative currency trading in Bitcoin and foreign exchange markets.The following methods are applied for the analysis:the spillover index method of Diebold and Yilmaz(Int J Forecast 28(1):57–66,2012.https://doi.org/10.1016/j.ijfor ecast.2011.02.006),the spillover asymmetry measures of Barunik et al.(J Int Money Finance 77:39–56,2017.https://doi.org/10.1016/j.jimon fin.2017.06.003),and the frequency connectedness method of Barunik and Křehlik(J Financ Econom 16(2):271–296,2018.https://doi.org/10.1093/jjfin ec/nby001).The findings identify the presence of low-level integration and asymmetric volatility spillover as well as a dominant role of short horizon spillover among Bitcoin markets and foreign exchange pairs for six major trading currencies(US dollar,euro,Japanese yen,British pound sterling,Australian dollar,and Canadian dollar).Bitcoin is found to provide significant portfolio diversification benefits for alternative currency foreign exchange portfolios.Alternative currency Bitcoin trading in euro is found to provide the most significant portfolio diversification benefits for foreign exchange portfolios consisting of major trading currencies.The findings of the study regarding spillover dynamics and portfolio diversification capabilities of the Bitcoin market for foreign exchange markets of major trading currencies have significant implications for portfolio diversification and risk minimization.

Central bank digital currency,loan supply,and bank failure risk:a microeconomic approach

Central bank digital currencies(CBDCs),which are legal tenders in digital form,are expected to reduce currency issuance and circulation costs and broaden the scope of monetary policy.In addition,these currencies may also reduce consumers’need for conventional demand deposits,which,in turn,increases banks’loan provision costs because deposits require higher rates of return.We use a microeconomic banking model to investigate the effects of introducing an economy-wide,account-type CBDC on a bank’s loan supply and its failure risk.Given that a CBDC is expected to lower the cost of liquidity circulation and become a strong substitute for demand deposits,both the loan supply and the bank failure risk increase.These increases are countered by subsequent increases in the rates of return on term deposits and loans,which,in turn,reduce the loan supply and thus bank failure risk.These offsetting forces lead to no significant change in banking,as long as the rate of return on loans is below a certain threshold.However,once the rate is above the threshold,bank failure risk increases,thereby undermining banking stability.The problem is more pronounced when the degree of pass-through of funding costs to the loan rate is high and the profitability of a successful project is low.Our results imply that central banks wishing to introduce an economy-wide,account-type CBDC should first monitor yields on bank loans and consider policy measures that induce banks to maintain adequate liquidity reserve levels.

Linearity extensions of the market model:a case of the top 10 cryptocurrency prices during the pre‑COVID‑19 and COVID‑19 periods

This research investigates the appropriateness of the linear specification of the market model for modeling and forecasting the cryptocurrency prices during the pre-COVID-19 and COVID-19 periods.Two extensions are offered to compare the performance of the linear specification of the market model(LMM),which allows for the measurement of the cryptocurrency price beta risk.The first is the generalized additive model,which permits flexibility in the rigid shape of the linearity of the LMM.The second is the time-varying linearity specification of the LMM(Tv-LMM),which is based on the state space model form via the Kalman filter,allowing for the measurement of the time-varying beta risk of the cryptocurrency price.The analysis is performed using daily data from both time periods on the top 10 cryptocurrencies by adjusted market capitalization,using the Crypto Currency Index 30(CCI30)as a market proxy and 1-day and 7-day forward predictions.Such a comparison of cryptocurrency prices has yet to be undertaken in the literature.The empirical findings favor the Tv-LMM,which outperforms the others in terms of modeling and forecasting performance.This result suggests that the relationship between each cryptocurrency price and the CCI30 index should be locally instead of globally linear,especially during the COVID-19 period.

The Digital Currency of China’s Central Bank:Digital Currency Electronic Payment(DCEP)

DCEP is the Chinese version of Central Bank Digital Currency(CBDC).It is the only legal digital currency in China and meets four conditions:(a)it is issued by the central bank;(b)it is digitized;(c)it is account and wallet based;(d)it is oriented towards the general public.As a retail central bank digital currency,it has three main technical features:a“tiered limit arrangement”(small-scale payments can be made anonymously while large-scale payments cannot),a“two-tier operating system”(as with the central bank-commercial bank traditional model),and a“dual offline payment system”(supporting both parties of the transaction).Compared with CBDCs in other countries,China’s DCEP has smaller economic impacts,more obscure strategic goals,and more scarce technical details.But its progress in testing is ahead of central banks of other countries.This article is based on public information and is intended to explain what DCEP is and why and how it was developed.It also offers suggestions for future research.

CURRENCY RECOGNITION BY USING COORDINATE LOGIC (C-L) FILTER

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Pricing European Call Currency Option Based on Fuzzy Estimators

In this paper we present an application of fuzzy estimators method to price European call currency option. We make use of fuzzy estimators for the volatility of exchange rate which based on statistical data to obtain the fuzzy pattern of G-K model. A numerical example is presented to get the -level closed intervals of the European call currency option fuzzy price.

A Dynamic Cross Contagion Model of Currency Crisis between Two Countries

The contagion aspect of the currency crisis is an important research issue today.In this paper, we set up a dynamic differential model of currency crisis cross contagions between two countries by expanding generalized logistics model, and analyze all kinds of possible equilibrium conditions. It is probably a new idea of studying currency crisis contagion mechanism.

Currency Areas: Public Debt, Inflation and Unemployment

Can public debt, inflation and unemployment tell us something about optimal or not optimal currency areas? In this paper, I compare the behavior of these variables in two countries, Mexico and the United States of America (USA), along with the member countries of the Euro Zone (European Monetary Union, or EMU). The main purpose is to know the divergence between public debt, average inflation ﹣0% in the graphs—in the main cities or regions of the first two, and compare them with the countries of the EMU. The period of 2001-2012 is chosen to be the years in which the Euro has been circulating among member countries of the Monetary Union (EMU). We find significant differences that allow us to determine the faults that the criteria of divergence on these variables had on the founding treaty of the European Monetary Union.

Fast Fourier Transform Approximation of Foreign Currency Option Pricing Based on Exponential Lévy Model

To study the approximation of foreign currency option prices when the underlying assets＇ price dynamics are described by exponential Lévy processes, the convolution representations for option pricing formulas were given, and then the fast Fourier transform （FFT） algorithm was used to get the approximate values of option prices. Finally, a numerical example was given to demonstrate the calculate steps to the option price by FFT.

An analysis of the acquisition of a monetary function by cryptocurrency using a multi-agent simulation model

Many types of cryptocurrencies,which predominantly utilize blockchain technology,have emerged worldwide.Several issuers plan to circulate their original cryptocurrencies for monetary use.This study investigates whether issuers can stimulate cryptocurrencies to attain a monetary function.We use a multi-agent model,referred to as the Yasutomi model,which simulates the emergence of money.We analyze two scenarios that may result from the actions taken by the issuer.These scenarios focus on increases in the number of stores that accept cryptocurrency payments and situations whereby the cryptocurrency issuer designs the cryptocurrency to be attractive to people and conducts an airdrop.We find that a cryptocurrency can attain a monetary function in two cases.One such case occurs when 20%of all agents accept the cryptocurrency for payment and 50%of the agents are aware of this fact.The second case occurs when the issuer continuously airdrops a cryptocurrency to a specific person while maintaining the total volume of the cryptocurrency within a range that prevents it from losing its attractiveness.

Egypt’s Currency Devaluation & Impact on the Most Vulnerable

The aim of the current research paper is to review what the Government of Egypt (GOE) has done to alleviate hardship conditions facing vulnerable low-income citizens, including its civil servants, during the implementation of the recent International Monetary Fund Economic Reform program. The main research questions are: What policies and initiatives has the GOE pursued post its currency devaluation in order to alleviate hardships on the most vulnerable? And to what extent are we now a more “socially equitable” nation? The paper provides a background about the 2016 currency devaluation decision, presents a conceptual framework explaining the relation between different economic ideologies and the impact on the vulnerable groups in society, elaborates on why we should seek social justice in Egypt, and then finally examines and assesses some of the government’s efforts in trying to alleviate hardships, including the Takaful and Karama Program, the Amman certificate, and the impact on the pay scale of government employees. Some of the recommendations made by the paper include: the need to apply true conditionality in the claimed “Conditional Cash Transfer Programs”, to re-consider government employees’ compensation, and to re-allocate national resources to what matters in a more transparent manner.

The Research on the Money Supply of Central Bank Digital Currency

Currently,the only central bank digital currencies(CBDC)in the world is Venezuela^currency^Petro.Nowadays,the IMF,BIS,and major countries have conducted a lot of research on CBDC.It's an urgent issue for the central bank to issue CBDC,determine and formulate the circulation of CBDC and the issuance speed,and supervise it.Therefore,establishing ARMA and VARs by sorting out literature,the paper uses the characteristics of CBDC—cash,and similarities with third-party payment in terms of payment to determine the circulation of CDBC by third-party payment users and currency in circulation.The model calculates and predicts the speed of circulation of digital currency.The issuance of CBDC will accelerate the circulation of money.In this regard,we will explore the impact of money supply on monetary policy and make relevant recommendations.