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AddressBank of CanadaCurrency DepartmentOttawa, ON K1A 0G9, Canada
E-Mailastenzel [at] bankofcanada [dot] ca
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Publications

Pricing for the Stars
joint with Christoph Carnehl & Peter Schmidt
Management Science, vol. 70 - issue 3, 2024; 1755-1772
DOI: https://doi.org/10.1287/mnsc.2023.4771

The (limited) Power of Blockchain Networks for Information Provision
joint with Benedikt Franke and Qi Gao Fritz
Management Science, vol. 70 - issue 2, 2024; 971-990
DOI: https://doi.org/10.1287/mnsc.2023.4718

Opacity, Liquidity and Disclosure Requirements
joint with Wolf B. Wagner
Journal of Business Finance and Accounting, vol. 49 - issue 5-6, 2022; 658-689
DOI: https://doi.org/10.1111/jbfa.12574

Model-Based Evaluation of Cooling-Off Policies
joint with Christian Michel
Games and Economic Behavior, vol. 129, 2021, 270-293
DOI: https://doi.org/10.1016/j.geb.2021.05.012
Supplementary Material: [Web Appendix] [Mathematica]

Security Design with Interim Public Information
Journal of Mathematical Economics, vol. 76, 2018, 113-130
DOI: https://doi.org/10.1016/j.jmateco.2018.02.005


Conference Proceedings

Pricing for the Stars - Dynamic Pricing in the Presence of Rating Systems (Extended Abstract)
joint with Christoph Carnehl & Peter Schmidt
EC'20: Proceedings of the 21st Conference on Economics and Computation, July 2020, 273-274
DOI: https://doi.org/10.1145/3391403.3399522


Policy Reports

CBDC Ecosystem Models: Analysis Framework and Initial Recommendations
joint with Youming Liu, Francisco Rivadeneyra, Edona Reshidi and Alex Shcherbakov
Bank of Canada Staff Discussion Paper 2024 - 13
DOI: https://doi.org/10.34989/sdp-2024-13 

The Impact of Central Bank Digital Currency on Payments at the Point of Sale
joint with Walter Engert and Alex Shcherbakov
Bank of Canada Staff Analytical Note 2024 - 27
DOI: https://doi.org/10.34989/san-2024-27


Working Papers

Value for Money and Selection: How Pricing Affects Airbnb Ratings  [PDF]
joint with Christoph Carnehl, Maximilian Schäfer and Kevin Tran

We study Airbnb hosts' strategic pricing incentives when prices affect ratings. Two channels determine the price-rating interaction: higher prices reduce the value for money, worsening ratings, but increase the taste-based valuation of travelers, improving ratings. The price further determines the frequency of rating updates through its effect on demand. Our empirical results show a dominant value-for-money effect and that hosts lower their prices to surpass rating thresholds. We provide evidence that hosts benefit from low entry prices: offering a median entry discount of seven percent improves medium-run monthly revenues by three percent. 

Dynamic Consumer Cash Inventory Model
joint with Kim P. Huynh and Alex Shcherbakov

We develop and estimate a structural model of dynamic cash inventory management which accounts for payment choice when making transactions at the point of sale. We estimate the model using multiple waves of detailed consumer survey and diary data from the Canadian Methods-of-Payments Survey. We show that accounting for individual-level consumer heterogeneity is crucial both for matching observed behavior and reactions to changes in the access to cash infrastructure. While the impact of infrastructure changes in the period between 2009 and 2017 is limited, more cumbersome access to cash triggers a bi-modal consumer response. Consumers either substantially reduce their cash use at the point of sale to economize on more costly withdrawals, or compensate for the additional cost by withdrawing and holding larger amounts. As the latter strategy is too costly for younger and less affluent consumers, they disproportionately substitute away from cash despite a preference for its continued use. In light of ongoing programs to consolidate the number of bank branches in Canada, our findings have important implications for the accessibility of cash.

CBDC in the Market for Payments at the Point of Sale [PDF]
joint with Walter Engert and Alex Shcherbakov; Bank of Canada Staff Working Paper 2024 - 52

We investigate the introduction of a central bank digital currency (CBDC) into the market for payments. Focusing on the point of sale, we develop and estimate a structural model of consumer adoption, merchant acceptance and usage decisions. We counterfactually simulate the introduction of a CBDC. We consider a CBDC with debit-like characteristics and a CBDC encompassing the best of cash and debit and characterize outcomes for a range of potential adoption frictions. We show that, in the absence of adoption frictions, CBDC has the potential for material consumer adoption and merchant acceptance along with moderate usage at the point of sale. However, modest adoption frictions substantially reduce outcomes along all three dimensions. Incumbent responses required to restore pre-CBDC market shares are moderate to small and further reduce the market penetration of CBDC. Overall, this implies that an introduction of CBDC into the market for payments is by no means guaranteed to be successful.


Strategic Pricing and Ratings [PDF]
joint with Christoph Carnehl, Anton Sobolev and Konrad Stahl

A seller serving two generations of short lived heterogeneous consumers sells a product under uncertain demand. We characterize the seller's optimal pricing, taking into account that the current period's price affects the information transmission to the next period consumers via consumer ratings. While the seller always prefers to generate more information, it is not necessarily in the consumers' interest. We characterize situations in which consumer surplus and welfare are decreasing in additional information. We provide conditions under which aggregate consumer surplus and welfare are lower with than without a rating system.  

Work in Progress

Non-Monotone Network Effects in the Payments Industry
joint with Alex Shcherbakov

Will Canada become Cashless?
joint with Walter Engert, Kim P. Huynh and Alex Shcherbakov


Dormant Papers

Loan Sales and Screening with Two-Dimensional Borrower Types [PDF]

We consider a model of lending with subsequent loan sale opportunities. Market participants observe a public signal about the creditworthiness of each borrower. Lenders additionally have the opportunity to privately screen potential borrowers at a cost. The model rationalizes empirically documented discontinuities in lending and default rates around a FICO credit rating score of 620, while providing a foundation for the endogenous emergence of a cutoff rule-of-thumb. We show that loan sale opportunities have a positive impact on borrowers' access to credit contingent on screening revealing positive information whenever the public information about a borrower's type is relatively bad. At the same time, average borrower quality for intermediate borrower types decreases as gains from trade via loan sales increase the relative profitability of loans to unscreened borrowers compared to loans to screened borrowers which imply significant risk retention. Loan sale opportunities can lead to adverse effects on borrower welfare while strictly increasing lender profitability.

A simple framework to analyze data requirements for policy evaluation [PDF]
joint with Christian Michel

This note formalizes a framework to analyze whether for given data a theoretical economic model can lead to unambiguous predictions regarding economic outcomes of interest. Instead of structurally estimating demand and supply, we focus on whether the set of model parameters consistent with observed data uniquely determines the considered outcome. The framework can be applied to a large variety of economic models, and is of particular relevance for policy introductions when consumers potentially exhibit non-standard preferences. We discuss several applications to competition and consumer policy.