Risk and concentration in payment and securities settlement systems

• 成果类型: Article
• 署名作者: Mills, David C., Jr.; Nesmith, Travis D.
• 署名单位: Federal Reserve System - USA
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2008.01.002
• 发表日期: 2008
• 页码: 542-553
• 关键词: interbank payments; securities settlement; strategic games; bank behavior

摘要

What drives the intraday patterns of settlement in payment and securities settlement systems? Using a model of the strategic interaction of participants in these systems to capture some stylized facts about the Federal Reserve's Fedwire funds and securities systems, this paper identifies three factors that influence a participant's decision on when to send transactions intraday: cost of intraday liquidity, extent of settlement risk, and system design. With these factors, the model can make predictions regarding the impact of policy on the concentration of transactions, amount of intraday overdrafts, central bank credit exposure, costs to system participants, and other risks. Published by Elsevier B.V.