The intraday liquidity management game

• 成果类型: Article
• 署名作者: Bech, ML; Garratt, R
• 署名单位: University of California System; University of California Santa Barbara; Federal Reserve System - USA; Federal Reserve Bank - New York
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/S0022-0531(03)00016-4
• 发表日期: 2003
• 页码: 198-219
• 关键词: payments; real-time gross settlement; liquidity; prisoner's dilemma; Stag hunt

摘要

We use a game theoretical framework to analyze the intraday behavior of banks with respect to settlement of interbank claims in a real-time gross settlement setting. The game played by banks depends upon the intraday credit policy of the central bank and it encompasses two well-known game theoretical paradigms: the prisoner's dilemma and the stag hunt. The former arises in a collateralized credit regime where banks have an incentive to postpone payments when daylight liquidity is costly, an outcome that is socially inefficient. The latter arises in a priced credit regime where the postponement of payments can be socially efficient. Banks are risk neutral, but we show that most of the results are unaffected by risk aversion. (C) 2003 Elsevier Science (USA). All rights reserved.