Quantifying the benefits of a liquidity-saving mechanism

Enghin Atalay; Antoine Martin; James McAndrews

This paper attempts to quantify the benefits associated with operating a liquidity-saving mechanism (LSM) in Fedwire, the large-value payment system of the Federal Reserve. Calibrating the model of Martin and McAndrews (2008), we find that potential gains are large compared to the likely cost of implementing an LSM, on the order of hundreds of thousands of dollars per day. -- Liquidity-saving mechanisms ; real-time gross settlement ; large-value payment systems

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Year of publication:	2010
Authors:	Atalay, Enghin ; Martin, Antoine ; McAndrews, James Joseph
Publisher:	New York, NY : Federal Reserve Bank of New York
Subject:	Theorie \| Theory \| Bankenliquidität \| Bank liquidity \| Zahlungsverkehr \| Payment transactions \| Geldmarkt \| Money market \| Liquiditätseffekt \| Liquidity effect