Liquidity-saving mechanisms

• 成果类型: Article
• 署名作者: Martin, Antoine; McAndrews, James
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - New York
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2007.12.011
• 发表日期: 2008
• 页码: 554-567
• 关键词: liquidity-saving mechanisms; real-time gross settlement; large-value payment systems

摘要

This paper studies the incentives of participants in a real-time gross settlement system with and without the addition of a liquidity-saving mechanism (LSM). Participants in the model face a liquidity shock and different costs for delaying payments. They trade off the cost of delaying a payment against the cost of borrowing liquidity from the central bank. The main contribution of the paper is to show that the design of an LSM has important implications for welfare. In particular, parameters determine whether the addition of an LSM increases or decreases welfare. (C) 2008 Elsevier B.V. All rights reserved.