Intraday Liquidity in Gross Payment Systems
ثبت نشده
چکیده
The purpose of this paper is to make a comparative analysis of modern gross payment systems, emphasizing on the implications of the availability of intraday liquidity and the different mechanisms used to provide this liquidity. The possibility of default and the risk of the intraday credit are first introduced to determine the implications of its existence on banks’ behaviour and on the probability of a systemic crisis. Finally, the paper presents a comparison of the effects on social welfare for different sets of parameters that characterize social risk aversion, opportunity set of banks and the functioning of each settlement model. Journal of Economic Literature classification: G21, E51
منابع مشابه
Intraday Liquidity Demand of Banks in Real-Time Gross Settlement System
In this study a simulation analysis is applied to address the change in banks liquidity demand due to a shift in settlement method brought about by adopting Real Time Gross Settlement System. At the first stage of this research, we use a data generator model along with some information on the time distribution of coded cheques over a working day in order to produce intraday flow of payment...
متن کاملEstimating the intraday liquidity risk of financial institutions: a Monte Carlo simulation approach
The recent financial crisis has shown that liquidity risk is far more important and intricate than regulators had previously acknowledged. The shift from bankbased to market-based financial systems and from deferred net settlement systems to liquidity-demanding real-time gross settlement of payments explains some of the shortcomings of traditional liquidity risk management. Although liquidity r...
متن کاملIntraday liquidity management in gross settlement system as a coordination game
Real time gross settlement systems (RTGS-systems) operated by central banks are the predominant form of large value payment systems. They allow execution of fund transfers between central bank accounts of commercial banks and other financial institutions as a continuous process by settling payments individually, with their full value and with immediate finality. Because individual payments are ...
متن کاملRisk and Concentration in Payment and Securities Settlement Systems
Large value payment and securities settlement systems are important components of an economy's nancial system. Many such systems are operated by central banks and are liquidity intensive. Central banks often provide inexpensive liquidity to facilitate settlement. This leads to a number of policy questions about the provision of such liquidity. To answer these questions, central banks need to un...
متن کاملThe Timing and Funding of CHAPS Sterling Payments
he use of real-time gross settlement (RTGS) systems for the settlement of large-value payments offers considerable advantages, the principal one being the elimination of the credit risk that can arise between participants in deferred net settlement systems. However, in comparison with deferred net settlement systems, RTGS systems require relatively large amounts of liquidity to support payment ...
متن کامل