Friends or Foes? Mobile money interaction with formal and informal finance

Access to formal financial services is a key determinant of financial inclusion and yet, informal mechanisms still dominate the financial system in developing countries. In this context, the purpose of our article is to investigate how the growing effort to harness mobile money designed for unbanked individuals may help to overcome barriers to access formal financial services. Using a unique dataset obtained from an individual-level survey conducted in Burkina Faso, we explore the interplay between mobile money innovation and pre-existing formal and informal financial instruments. Our main findings show that, overall there are no differences in the inclination of mobile money users and non-users to make deposits in formal or informal deposit instruments. However, a closer investigation reveals suggestive evidence that it may increase the probability of participants in informal mechanisms to make deposits in formal financial instruments, especially using a bank account. Moreover, considering disadvantaged groups, we find for women, irregular income and less educated individuals that mobile money may increase their probability to make deposits in a bank and/or credit union accounts. Our results are robust to using instrumental variables and propensity score matching techniques that mitigate the endogeneity problem. They also pass a number of robustness checks as well as considering an alternative dataset. Given the low access to formal financial services in developing countries, our findings taken together indicate how the increasing adoption of mobile money may act as a stepping-stone towards financial inclusion. (JEL Classification C83, D14, G21)     

Drivers of sustainable intensification in Kenyan rural and peri-urban vegetable production

Sustainable intensification promotes environmentally sound and productive agriculture. However, use of sustainable intensification practices (SIPs) is low in many sub-Sharan African countries. This study examined the adoption of SIPs in Kenyan rural and peri-urban vegetable production to understand the scale of and underlying factors in the use of SIPs. A multistage sampling technique was employed to randomly select 685 rural and peri-urban vegetable farm households. Household data was then collected and anaylsed for four practices namely improved irrigation, integrated soil fertility, organic manure and crop diversification using a pre-tested structured questionnaire. A multivariate probit model was run to model simultaneous interdependent adoption decisions. Adoption of organic manure and African indigenous vegetables (AIV) diversification was high in both rural and peri-urban areas. However, adoption of improved irrigation systems and integrated soil fertility management was low, and even significantly lower in rural areas than in peri-urban areas (p?相似文献   

Optimal trading strategies for Lévy-driven Ornstein–Uhlenbeck processes

This study derives an optimal pairs trading strategy based on a Lévy-driven Ornstein–Uhlenbeck process and applies it to high-frequency data of the S&P 500 constituents from 1998 to 2015. Our model provides optimal entry and exit signals by maximizing the expected return expressed in terms of the first-passage time of the spread process. An explicit representation of the strategy’s objective function allows for direct optimization without Monte Carlo methods. Categorizing the data sample into 10 economic sectors, we depict both the performance of each sector and the efficiency of the strategy in general. Results from empirical back-testing show strong support for the profitability of the model with returns after transaction costs ranging from 31.90% p.a. for the sector ‘Consumer Staples’ to 278.61% p.a. for the sector ‘Financials’. We find that the remarkable returns across all economic sectors are strongly driven by model parameters and sector size. Jump intensity decreases over time with strong outliers in times of high market turmoil. The value-add of our Lévy-based model is demonstrated by benchmarking it with quantitative strategies based on Brownian motion-driven processes.     

Pairs trading with a mean-reverting jump–diffusion model on high-frequency data

This paper develops a pairs trading framework based on a mean-reverting jump–diffusion model and applies it to minute-by-minute data of the S&P 500 oil companies from 1998 to 2015. The established statistical arbitrage strategy enables us to perform intraday and overnight trading. Essentially, we conduct a three-step calibration procedure to the spreads of all pair combinations in a formation period. Top pairs are selected based on their spreads’ mean-reversion speed and jump behaviour. Afterwards, we trade the top pairs in an out-of-sample trading period with individualized entry and exit thresholds. In the back-testing study, the strategy produces statistically and economically significant returns of 60.61% p.a. and an annualized Sharpe ratio of 5.30, after transaction costs. We benchmark our pairs trading strategy against variants based on traditional distance and time-series approaches and find its performance to be superior relating to risk–return characteristics. The mean-reversion speed is a main driver of successful and fast termination of the pairs trading strategy.     

BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART I: PRICING

This and the follow‐up paper deal with the valuation and hedging of bilateral counterparty risk on over‐the‐counter derivatives. Our study is done in a multiple‐curve setup reflecting the various funding constraints (or costs) involved, allowing one to investigate the question of interaction between bilateral counterparty risk and funding. The first task is to define a suitable notion of no arbitrage price in the presence of various funding costs. This is the object of this paper, where we develop an “additive, multiple curve” extension of the classical “multiplicative (discounted), one curve” risk‐neutral pricing approach. We derive the dynamic hedging interpretation of such an “additive risk‐neutral” price, starting by consistency with pricing by replication in the case of a complete market. This is illustrated by a completely solved example building over previous work by Burgard and Kjaer.     

RETHINKING DYNAMIC CAPITAL STRUCTURE MODELS WITH ROLL‐OVER DEBT

Dynamic capital structure models with roll‐over debt rely on widely accepted arguments that have never been formalized. This paper clarifies the literature and provides a rigorous formulation of the equity holders’ decision problem within a game theory framework. We spell out the linkage between default policies in a rational expectations equilibrium and optimal stopping theory. We prove that there exists a unique equilibrium in constant barrier strategies, which coincides with that derived in the literature. Furthermore, that equilibrium is the unique equilibrium when the firm loses all its value at default time. Whether the result holds when there is a recovery at default remains a conjecture.     

Dynamic regulation of quality

We develop a dynamic regulation model of quality provision where maintenance efforts and quality shocks have a durable impact. When the regulator contracts with a sequence of agents, asymmetric information can lead to overprovision of quality, reflecting a dynamic rent extraction effect. When the regulator contracts with a single agent, the efficiency of their relationship depends on the regulator’s ability to transfer rents across periods. Hiring a single agent with unlimited liability is socially preferable to hiring a sequence of agents, even when no commitment is feasible. By contrast, shorter franchises are socially preferable if the agent has limited liability.     

The Relationship Between Supervisor Personality,Supervisors’ Perceived Stress and Workplace Bullying

This study investigated the relationship between supervisor personality and subordinate reports of exposure to bullying and harassment at work. Three research questions were examined: (a) Is there a direct relationship between supervisor personality and reports of workplace bullying? (b) Is there an interaction between supervisor personality and supervisors’ perceived stress as predictors of workplace bullying? (c) Will subordinates who experience bullying at their workplace rate their supervisor’s personality more negatively (negative halo effect)? The sample consisted of 207 supervisors and employees within 70 Norwegian restaurants. Supervisors low on conscientiousness, high on neuroticism and portraying high levels of exposure to stress were the subject of significantly more reports from subordinates of exposure to workplace bullying. An interaction between agreeableness and stress was found showing that agreeableness is related to bullying under low levels of stress. In addition, subordinates who perceived their supervisor as being low on agreeableness and high on introversion reported significantly more workplace bullying, supporting a negative halo effect hypothesis.