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  1. Monetizing privacy
    Autor*in: Garratt, Rod; Lee, Michael Junho
    Erschienen: [2021]
    Verlag:  Federal Reserve Bank of New York, New York, NY

    In a market where consumers choose between payment options and firms compete with products and prices, we show that payment data drives the formation of a market monopoly. A data-sharing policy can successfully restore and maintain a competitive... mehr

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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 207
    Fernleihe:
    keine Fernleihe

     

    In a market where consumers choose between payment options and firms compete with products and prices, we show that payment data drives the formation of a market monopoly. A data-sharing policy can successfully restore and maintain a competitive market, but often at the expense of both efficiency and consumer welfare. The introduction of a low-cost anonymous means of electronic payment, or digital cash, preserves the market structure and improves consumers' welfare by enabling them to monetize their private information. We discuss the potential role of central banks in providing digital cash.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/241151
    Schriftenreihe: Staff report / Federal Reserve Bank of New York ; no. 958 (January 2021)
    Schlagworte: customer data; privacy; market structure; digital cash; payments
    Umfang: 1 Online-Ressource (circa 27 Seiten)
  2. Who sees the trades?
    the effect of information on liquidity in inter-dealer markets
    Autor*in: Garratt, Rod; Lee, Michael Junho; Martin, Antoine; Townsend, Robert M.
    Erschienen: [2019]
    Verlag:  Federal Reserve Bank of New York, New York, NY

    Dealers, who strategically supply liquidity to traders, are subject to both liquidity and adverse selection costs. While liquidity costs can be mitigated through inter-dealer trading, individual dealers' private motives to acquire information... mehr

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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 207
    Fernleihe:
    keine Fernleihe

     

    Dealers, who strategically supply liquidity to traders, are subject to both liquidity and adverse selection costs. While liquidity costs can be mitigated through inter-dealer trading, individual dealers' private motives to acquire information compromise inter-dealer market liquidity. Post-trade information disclosure can improve market liquidity by counteracting dealers' incentives to become better informed through their market-making activities. Asymmetric disclosure, however, exacerbates the adverse selection problem in inter-dealer markets, in turn decreasing equilibrium liquidity provision. A non-monotonic relationship may arise between the partial release of post-trade information and market liquidity. This points to a practical concern: a strategic post-trade platform has incentives to maximize adverse selection and may choose to release information in a way that minimizes equilibrium liquidity provision.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/210744
    Schriftenreihe: Staff report / Federal Reserve Bank of New York ; no. 892 (July 2019)
    Umfang: 1 Online-Ressource (circa 51 Seiten), Illustrationen
  3. When it rains, it pours
    cyber risk and financial conditions
    Autor*in: Eisenbach, Thomas M.; Kovner, Anna; Lee, Michael Junho
    Erschienen: [2022]
    Verlag:  Federal Reserve Bank of New York, New York, NY

    We analyze how systemic cyber risk in the wholesale payments network relates to adverse financial conditions. We show that at the onset of the COVID-19 pandemic, payment activity increased, became more concentrated, and showed intraday liquidity... mehr

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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 207
    Fernleihe:
    keine Fernleihe

     

    We analyze how systemic cyber risk in the wholesale payments network relates to adverse financial conditions. We show that at the onset of the COVID-19 pandemic, payment activity increased, became more concentrated, and showed intraday liquidity stress. Cyber vulnerability was elevated in late February and early March 2020, with the potential impact of a cyberattack about 40 percent greater than in the remainder of 2020. Policy interventions to stabilize markets mitigated cyber vulnerability, particularly corresponding to large increases in aggregate reserves. We observe that cyber vulnerability and other financial shocks cannot be treated as uncorrelated risks and policy solutions for cyber security need to be calibrated for adverse financial conditions.

     
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    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/266106
    Schriftenreihe: Staff reports / Federal Reserve Bank of New York ; no. 1022 (June 2022)
    Schlagworte: cyber; banks; networks; payments; COVID-19
    Umfang: 1 Online-Ressource (circa 22 Seiten), Illustrationen
  4. Cyber risk and the U.S. financial system
    a pre-mortem analysis
    Autor*in: Eisenbach, Thomas M.; Kovner, Anna; Lee, Michael Junho
    Erschienen: [2021]
    Verlag:  Federal Reserve Bank of New York, New York, NY

    We model how a cyber attack may be amplified through the U.S. financial system, focusing on the wholesale payments network. We estimate that the impairment of any of the five most active U.S. banks will result in significant spillovers to other... mehr

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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 207
    Fernleihe:
    keine Fernleihe

     

    We model how a cyber attack may be amplified through the U.S. financial system, focusing on the wholesale payments network. We estimate that the impairment of any of the five most active U.S. banks will result in significant spillovers to other banks, with 38 percent of the network affected on average. The impact varies and can be larger on particular days and in geographies with concentrated banking markets. When banks respond to uncertainty by liquidity hoarding, the potential impact in forgone payment activity is dramatic, reaching more than 2.5 times daily GDP. In a reverse stress test, interruptions originating from banks with less than $10 billion in assets are sufficient to impair a significant amount of the system. Additional risk emerges from third-party providers, which connect otherwise unrelated banks.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/241102
    Auflage/Ausgabe: Revised May 2021
    Schriftenreihe: Staff report / Federal Reserve Bank of New York ; no. 909 (May 2021)
    Schlagworte: cyber; banks; networks; payments
    Umfang: 1 Online-Ressource (circa 50 Seiten), Illustrationen
  5. A dynamic theory of collateral quality and long-term interventions
    Autor*in: Lee, Michael Junho; Neuhann, Daniel
    Erschienen: [2019]
    Verlag:  Federal Reserve Bank of New York, New York, NY

    We study a dynamic model of collateralized lending under adverse selection in which the quality of collateral assets is endogenously determined by hidden effort. Complementarities in incentives lead to non-ergodic dynamics: Asset quality and output... mehr

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    DS 207
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    keine Fernleihe

     

    We study a dynamic model of collateralized lending under adverse selection in which the quality of collateral assets is endogenously determined by hidden effort. Complementarities in incentives lead to non-ergodic dynamics: Asset quality and output grow when asset quality is high, but stagnate or deteriorate otherwise. Inefficiencies remain, even in the most efficient competitive equilibrium-investment and output are vulnerable to spells of lending market illiquidity, and these spells may persist because of suboptimal effort. Nevertheless, benevolent regulators without commitment can destroy welfare by prioritizing liquidity over incentives. Optimal interventions with commitment call for large, long-term subsidies in excess of what is required to restore liquidity.

     
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    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/210746
    Schriftenreihe: Staff report / Federal Reserve Bank of New York ; no. 894 (August 2019)
    Umfang: 1 Online-Ressource (circa 58 Seiten), Illustrationen
  6. Insider networks
    Autor*in: Erol, Selman; Lee, Michael Junho
    Erschienen: [2018]
    Verlag:  Federal Reserve Bank of New York, New York, NY

    This paper develops a model to study the formation and regulation of information transmission networks. We analyze a cat and mouse game between a regulator, who sets and enforces a regulatory environment, and agents, who form networks to disseminate... mehr

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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 207 (862)
    Fernleihe:
    keine Fernleihe

     

    This paper develops a model to study the formation and regulation of information transmission networks. We analyze a cat and mouse game between a regulator, who sets and enforces a regulatory environment, and agents, who form networks to disseminate and share insider information. For any given regulatory environment, agents adapt by forming networks that are sufficiently complex to circumvent prosecution by regulators. We show that regulatory ambiguity arises as an equilibrium phenomenon - regulators deliberately set broad regulatory boundaries in order to avoid explicit gaming by agents. As a response, we show that agents form a core-periphery network, with core members acting as conduits of information on behalf of their stakeholders, effectively intermediating all transmissions of information within the network.

     
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    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/210714
    Schriftenreihe: Staff report / Federal Reserve Bank of New York ; no. 862 (August 2018)
    Umfang: 1 Online-Ressource (circa 32 Seiten), Illustrationen
  7. Uncertain booms and fragility
    Autor*in: Lee, Michael Junho
    Erschienen: [2018]
    Verlag:  Federal Reserve Bank of New York, New York, NY

    I develop a framework of the buildup and outbreak of financial crises in an asymmetric information setting. In equilibrium, two distinct economic states arise endogenously: "normal times", periods of modest investment, and "booms", periods of... mehr

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    Resolving-System (kostenfrei)

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 207 (861)
    Fernleihe:
    keine Fernleihe

     

    I develop a framework of the buildup and outbreak of financial crises in an asymmetric information setting. In equilibrium, two distinct economic states arise endogenously: "normal times", periods of modest investment, and "booms", periods of expansionary investment. Normal times occur when the intermediary sector realizes moderate investment opportunities. Booms occur when the intermediary sector realizes many investment opportunities, but also occur when it realizes very few opportunities. As a result, investors face greater uncertainty in booms. During a boom, subsequent arrival of negative information about an intermediary asset results in large downward shifts in investors' confidence about the underlying quality of long-term assets. A crisis of confidence ensues. Investors collectively force costly early liquidation of the intermediated assets and move capital to safe assets, in a flight-to-quality episode.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/210713
    Schriftenreihe: Staff report / Federal Reserve Bank of New York ; no. 861 (July 2018)
    Umfang: 1 Online-Ressource (circa 51 Seiten), Illustrationen