Bitcoin is traded in a number of exchanges, and there is a large and time-varying price dispersion among them. We identify the sources of price dispersion using a standard time-varying vector auto-regression model with stochastic volatility. Using weekly data over the past 3 years, we find that...

Uniswap is a decentralized exchange (DEX) and was first launched on November 2, 2018 on the Ethereum mainnet [1] and is part of an Ecosystem of products in Decentralized Finance (DeFi). It replaces a traditional order book type of trading common on centralized exchanges (CEX) with a...

Bitcoin, exchangeable for legal tender, and blockchain, the novel form of digital ledger technology it is based on, are often confused and conflated. We make the case that, in some respects, this conflation is justified. The price action in Bitcoin is consistent with a prototyping phase of a new...

This study tests for the state-dependent response of monetary policy to increases in overall financial stress and financial sector-specific stress across a panel of advanced and emerging economy central banks. We use a factor-augmented dynamic panel threshold regression model with (estimated)...

Given the high fluctuations of the general price level, the importance of investment, and accessing sufficient financial resources, we examine the effects of monetary policy on the nominal (Inflation) and real (Investment) sectors of a developing economy, like Iran, through the channel of the...

Trading under limited pre-trade transparency becomes increasingly popular on financial markets. We provide first evidence on traders' use of (completely) hidden orders which might be placed even inside of the (displayed) bid-ask spread. Employing TotalView-ITCH data on order messages at NASDAQ,...

LOT liquidity model, which is a kind of Tobit model with two unknown censoring points, is commonly used in the literature of microstructure of financial markets to estimate transaction costs and market liquidity from the observed return series. As far as the estimation is concerned, method based...

We clarify that the widely used estimation method for the LOT liquidity model in the market microstructure literature is improper in the sense of econometric inference. Based on an extensive simulation study and a real data analysis, we show that this method not only overestimates the true...

We introduce permanently-shifting income shares into a standard growth model with two types of agents. Capital owners represent the top quintile of U.S. households while workers represent the remainder. Our tractable model allows us to exactly replicate the observed U.S. time paths of the top...