Galbiati, Marco; Soramäki, Kimmo - In: Journal of Economic Dynamics and Control 35 (2011) 6, pp. 859-875
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...