Which Bank is the "Central" Bank? An Application of Markov Theory to the Canadian Large Value Transfer System

We use a method similar to Google's PageRank procedure to rank banks in the Canadian Large Value Transfer System (LVTS). Along the way we obtain estimates of the payment processing speeds for the individual banks. These differences in processing speeds are essential for explaining why observed daily distributions of liquidity differ from the initial distributions, which are determined by the credit limits selected by banks.

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Year of publication:	2008
Authors:	Bech, Morten ; Chapman, James T. E. ; Garratt, Rod
Institutions:	Bank of Canada
Subject:	Payment \| clearing \| and settlement systems

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Series:	Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	22 pages
Classification:	C11 - Bayesian Analysis ; E50 - Monetary Policy, Central Banking and the Supply of Money and Credit. General ; G20 - Financial Institutions and Services. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005808360