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Galbiati, Marco; Soramaki, Kimmo - Bank of England - 2008

This paper lays out and simulates a multi-agent, multi-period model of an RTGS payment system. At the beginning of the …

Persistent link: https://www.econbiz.de/10005086587

Intraday two-part tariff in payment systems

Ota, Tomohiro - Bank of England - 2011

This paper studies the optimal intraday pricing in payment systems and its impact on banks’ payment behaviour and intraday liquidity management. A model is developed to compare the performance of two different mechanisms to reduce payment delay: a throughput guideline and a tariff that varies...

Persistent link: https://www.econbiz.de/10009358600

Liquidity-saving mechanisms and bank behaviour

Galbiati, Marco; Soramaki, Kimmo - Bank of England - 2010

of two ‘streams’: the RTGS stream, and an LSM stream. Looking at equilibrium choices we find that, when liquidity is … expensive, the two-stream system is more efficient than the vanilla RTGS system without an LSM. This is because the LSM achieves … the full benefits of an LSM. In all cases, these results are valid for this particular model of an RTGS payment system and …

Persistent link: https://www.econbiz.de/10010704395

Liquidity costs and tiering in large-value payment systems

Adams, Mark; Galbiati, Marco; Giansante, Simone - Bank of England - 2010

This paper develops and simulates a model of the emergence of networks in an interbank, RTGS payment system. A number …

Persistent link: https://www.econbiz.de/10010704398

Variations in liquidity provision in real-time payment systems

Denbee, Edward; Garratt, Rodney; Zimmerman, Peter - Bank of England - 2014

We describe methods for measuring liquidity provision that can be applied to real-time gross settlement payment systems. Using data from CHAPS, the UK large-value payment system, we find that smaller banks tend to provide more liquidity than larger banks, relative to their payment flows. We use...

Persistent link: https://www.econbiz.de/10010938687

System-wide liquidity risk in the United Kingdom’s large-value payment system: an empirical analysis

Perlin, Marcelo; Schanz, Jochen - Bank of England - 2011

When settling their own liabilities and those of their clients, settlement banks rely on incoming payments to fund a part of their outgoing payments. We investigate their behaviour in CHAPS, the United Kingdom’s large-value payment system. Our estimates suggest that in normal times, banks...

Persistent link: https://www.econbiz.de/10010704386

The impact of payment splitting on liquidity requirements in RTGS

Denbee, Edward; Norman, Ben - Bank of England - 2010

This paper examines the impact that payment splitting could have upon the liquidity requirements and efficiency of a large-value payment system, such as the United Kingdom’s CHAPS. Using the Bank of Finland Payment and Settlement Simulator and real UK payments data we find that payment...

Persistent link: https://www.econbiz.de/10008683386