FSRC - Financial System Research Center

• On the Essentiality of E-Money

  Staff Working Paper 2015-43 Jonathan Chiu, Tsz-Nga Wong

  Recent years have witnessed the advances of e-money systems such as Bitcoin, PayPal and various forms of stored-value cards. This paper adopts a mechanism design approach to identify some essential features of different payment systems that implement and improve the constrained optimal resource allocation.

  Content Type(s): Staff research, Staff working papers Topic(s): Bank notes, Digital currencies and fintech, Payment clearing and settlement systems JEL Code(s): E, E4, E42, E5, E58, L, L5, L51

• Monetary Policy and Financial Stability: Cross-Country Evidence

  Staff Working Paper 2015-41 Christian Friedrich, Kristina Hess, Rose Cunningham

  Central banks may face challenges in achieving their price stability goals when financial stability risks are present. There is, however, considerable heterogeneity among central banks with respect to how they manage these potential trade-offs.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial stability, International topics, Monetary policy framework JEL Code(s): E, E4, E5, G, G0, G01

• Option Valuation with Observable Volatility and Jump Dynamics

  Staff Working Paper 2015-39 Peter Christoffersen, Bruno Feunou, Yoontae Jeon

  Under very general conditions, the total quadratic variation of a jump-diffusion process can be decomposed into diffusive volatility and squared jump variation. We use this result to develop a new option valuation model in which the underlying asset price exhibits volatility and jump intensity dynamics.

  Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing JEL Code(s): G, G1, G12