Which bank is the central bank?

• 成果类型: Article
• 署名作者: Bech, Morten L.; Chapman, James T. E.; Garratt, Rodney J.
• 署名单位: Bank of Canada; Federal Reserve System - USA; Federal Reserve Bank - New York; University of California System; University of California Santa Barbara
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2010.01.002
• 发表日期: 2010
• 页码: 352-363
• 关键词: Payment systems; networks; liquidity

摘要

Liquidity flows through a financial network cannot be accurately described using external processing constraints alone. Behavioral aspects of participants also matter. A method similar to Google's PageRank procedure is used to produce a ranking of participants in the Canadian Large Value Transfer System in terms of their daily liquidity holdings. Accounting for differences in banks' processing speeds is essential for explaining why observed distributions of liquidity differ from the initial distributions, which are determined by the credit limits selected by banks. Delay tendencies of banks are unobservable in the data and are estimated using a Markov model. Crown Copyright (C) 2010 Published by Elsevier B.V. All rights reserved.