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Blockchain-based settlement for asset trading

Chiu, Jonathan; Koeppl, Thorsten V. - 2018

Can securities be settled on a blockchain and, if so, what are the gains relative to existing settlement systems? We consider a blockchain that ensures delivery versus payment by linking transfers of assets with payments and operates using a proof-of-work protocol. The main benefit of a...

Persistent link: https://www.econbiz.de/10011897732

Contagion in dealer networks

Fontaine, Jean-Sébastien; Walton, Adrian - 2020 - Last updated: January 9, 2020

Dealer networks provide essential intermediation services in over-the-counter markets. We document the response of dealer networks to the arrival of new public information. We find that after public news releases, dealer networks become more complex and channel larger flows of securities between...

Persistent link: https://www.econbiz.de/10012150064

Estimating the policy rule from money market rates when target rate changes are lumpy

Fontaine, Jean-Sébastien - 2012

Most central banks effect changes to their target or policy rate in discrete increments (e.g., multiples of 0.25%) following public announcements on scheduled dates. Still, for most applications, researchers rely on the assumption that the policy rate changes linearly with economic conditions...

Persistent link: https://www.econbiz.de/10009728132

What kind of payments settle in a real time gross settlement system? : the case of Norges Bank’s settlement system (NBO)

Fevolden, Mats Bay; Smith, Lyndsie - In: The journal of financial market infrastructures 7 (2019) 3, pp. 1-20

Persistent link: https://www.econbiz.de/10012020390

A mixed duopoly in interbank payment services

Arango-Arango, Carlos A.; Betancourt-García, Yanneth Rocío - 2022

In this paper, we analyze theoretically the coexistence of two means of payment, such as cash and digital or electronic payments, introducing some distortions in the payments markets to understand the widespread use of cash, specially in emerging countries. Lagos and Wright (2005) theoretical...

Persistent link: https://www.econbiz.de/10013349355

Uniqueness of Clearing Payment Matrices in Financial Networks

Herings, Peter Jean-Jacques; Csóka, Péter - 2021

We study bankruptcy problems in financial networks in the presence of general bankruptcy laws. The set of clearing … payment matrices is shown to be a lattice, which guarantees the existence of a greatest and a least clearing payment …. Multiplicity of clearing payment matrices is both a theoretical and a practical concern. We present a new condition for uniqueness …

Persistent link: https://www.econbiz.de/10013211524

Liquidity-Saving Mechanisms

Martin, Antoine; McAndrews, James Joseph - 2007

We study the incentives of participants in a real-time gross settlement system with and without the addition of a liquidity-saving mechanism (queue). Participants in our model face a liquidity shock and different costs for delaying payments. They trade off the cost of delaying a payment against...

Persistent link: https://www.econbiz.de/10014050916

Liquidity-Saving Mechanisms in Collateral-Based RTGS Payment Systems

Jurgilas, Marius - 2010

This paper studies banks' incentives regarding the timing of payment submissions in a collateral-based RTGS payment system and how these incentives change with the introduction of a liquidity-saving mechanism (LSM). We show that an LSM allows banks to economise on collateral while also providing...

Persistent link: https://www.econbiz.de/10013142734

Liquidity-Saving Mechanisms in Collateral-Based RTGS Payment Systems

Jurgilas, Marius - 2010

This paper studies banks' incentives for choosing the timing of their payment submissions in a collateral-based real-time gross settlement payment system and the way in which these incentives change with the introduction of a liquidity-saving mechanism (LSM). We show that an LSM allows banks to...

Persistent link: https://www.econbiz.de/10013146393

The welfare effects of a liquidity-saving mechanism

Atalay, Enghin (contributor); Martin, Antoine (contributor); … - 2008

This paper considers the welfare effects of introducing a liquidity-saving mechanism (LSM) in a real-time gross settlement (RTGS) payment system. We study the planner’s problem to get a better understanding of the economic role of an LSM and find that an LSM can achieve the planner’s...

Persistent link: https://www.econbiz.de/10003781558