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Estimating the structure of the payment network in the LVTS : an application of estimating communities in network data
Chapman, James; Zhang, Yinan - 2010
the data. -- Payment, clearing, and settlement systems ; financial stability …In the Canadian large value payment system an important goal is to understand how liquidity is transferred through the … relationships between participants in the payment system is a crucial step in achieving the goal. The set of nodes in any given …
Persistent link: https://www.econbiz.de/10003981323
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Digital payments in firm networks : theory of adoption and quantum algorithm
Priazhkina, Sofia; Palmer, Samuel; Martín-Ramiro, Pablo; … - 2024 - Last updated: May 15, 2024
We build a network formation game of firms with trade flows to study the adoption and usage of a new digital currency as an alternative to correspondent banking. We document endogenous heterogeneity and inefficiency in adoption outcomes and explain why higher usage may correspond to lower...
Persistent link: https://www.econbiz.de/10014562909
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Filling in the blanks : network structure and interbank contagion
Anand, Kartik; Craig, Ben R.; Von Peter, Goetz - 2014
The network pattern of financial linkages is important in many areas of banking and finance. Yet bilateral linkages are often unobserved, and maximum entropy serves as the leading method for estimating counterparty exposures. This paper proposes an efficient alternative that combines...
Persistent link: https://www.econbiz.de/10010363584
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Retrieving implied financial networks from bank balance - sheet and market data
Fique, José - 2017
In complex and interconnected banking systems, counterparty risk does not depend only on the risk of the immediate counterparty but also on the risk of others in the network of exposures. However, frequently, market participants do not observe the actual network of exposures. I propose an...
Persistent link: https://www.econbiz.de/10011686640
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Improving overnight loan identification in payments systems
Rempel, Mark - 2014
Information on the allocation and pricing of over-the-counter (OTC) markets is scarce. Furfine (1999) pioneered an algorithm that provides transaction-level data on the OTC interbank lending market. The veracity of the data identified, however, is not well established. Using permutation methods,...
Persistent link: https://www.econbiz.de/10010363591
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Why fixed costs matter for proof-of-work based cryptocurrencies
Garratt, Rod; Oordt, Maarten R. C. van - 2020 - Last updated: June 18, 2020
We assess how the cost structure of cryptocurrency mining affects the response of miners to exchange rate fluctuations and the immutability of cryptocurrency ledgers that rely on proof-of-work. We show that the amount of mining power supplied to currencies that rely on application-specific...
Persistent link: https://www.econbiz.de/10012243378
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When lower risk increases profit : competition and control of a central counterparty
Fontaine, Jean-Sébastien; Pérez Saiz, Héctor; Slive, … - 2012
We model the behavior of dealers in Over-the-Counter (OTC) derivatives markets where a small number of dealers trade with a continuum of heterogeneous clients (hedgers). Imperfect competition and (endogenous) default induce a familiar trade-off between competition and risk. Increasing the number...
Persistent link: https://www.econbiz.de/10009668404
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Interest on cash, fundamental value process and bubble formation on experimental asset markets
Giusti, Giovanni; Jiang, Janet Hua; Xu, Yiping - 2014
of the fundamental value and the sign of the expected dividend payment. This explanation is consistent with all existing …
Persistent link: https://www.econbiz.de/10010350019
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Are counterparty arrangements in reinsurance a threat to financial stability?
Davison, Matt; Leadbetter, Darrell; Lu, Bin; Voll, Jane - 2016
Interconnectedness among insurers and reinsurers at a global level is not well understood and may pose a significant risk to the sector, with implications for the macroeconomy. Models of the complex interactions among reinsurers and with other participants in the financial system and the real...
Persistent link: https://www.econbiz.de/10011521658
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The financial origins of non-fundamental risk
Acharya, Sushant; Dogra, Keshav; Singh, Sanjay R. - 2022 - Last updated: January 14, 2022
We formalize the idea that the financial sector can be a source of non-fundamental risk. Households' desire to hedge against price volatility can generate price volatility in equilibrium, even absent fundamental risk. Fearing that asset prices may fall, risk-averse households demand safe assets...
Persistent link: https://www.econbiz.de/10012798791