This paper lays out and simulates a multi-agent, multi-period model of an RTGS payment system. At the beginning of the day, banks choose how much costly liquidity to allocate to the settlement process. Then, they use it to execute an exogenous, random stream of payment orders. If a bank's...

This paper investigates the effect of liquidity-saving mechanisms (LSMs) in interbank payment systems. We model a stylised two-stream payment system where banks choose (a) how much liquidity to post and (b) which payments to route into each of two ‘streams’: the RTGS stream, and an LSM...

This paper presents a multi-period agent-based model for the study of macro-financial effects related to the introduction of a retail Central Bank Digital Currency (CBDC). Calibrating it with aggregate statistics of the German retail payment market, we exemplify how the model can be used to...

We lay out and simulate a multi-agent, multi-period model of an RTGS payment system. At the beginning of the day, banks choose how much costly liquidity to allocate to the settlement process. Then, they use it to execute an exogenous, random stream of payment orders. If a bank's liquidity stock...

In several financial markets, counterparty risk is reallocated away from traders via ‘novation’, a step of the clearing process. By novation, a third party steps into a bilateral contract, guaranteeing performance of both legs of the trade. Central counterparties (CCPs) are entities whose...