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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

Tiered access in RTGS systems : a DLT-based approach

Cárdenas, Miguel; Madeira, Carlos; Morales, Raúl; … - In: Latin American journal of central banking : LAJCB 5 (2024) 1, pp. 1-16

Distributed ledger technologies (DLT) are increasingly considered to enhance payment systems' and market infrastructures' functionalities like their accessibility and interoperability. We explore DLT architecture options to enable a new tiered access in the RTGS system of Chile for new payment...

Persistent link: https://www.econbiz.de/10015055046

Decentralized Payment Clearing using Blockchain and Optimal Bidding

Amini, Hamed; Bichuch, Maxim; Feinstein, Zachary - 2021

In this paper, we construct a decentralized clearing mechanism which endogenously and automatically provides a claims …, consider the special case in which the blocks have unbounded capacity to provide a simple equilibrium clearing condition for …

Persistent link: https://www.econbiz.de/10013213797

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

The Italian Overnight Market : Microstructure Effects, the Martingale Hypothesis and the Payment System

Barucci, Emilio; Impenna, Claudio; Renò, Roberto - 2003

This paper analyzes the Italian segment of the Eurozone money market since the start of the European Monetary Union. Some relevant variables are analyzed at different frequencies (intramonth, intraweek and intraday): both level and volatility of the overnight interest rate, volume exchanged in...

Persistent link: https://www.econbiz.de/10014080642

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

Modelling payments systems : a review of the literature

Chiu, Jonathan (contributor); Lai, Alexandra (contributor) - 2007

from the literature with respect to policy issues and identify areas for future research. -- Payment, clearing, and …

Persistent link: https://www.econbiz.de/10003462944

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

How Much Liquidity Would a Liquidity-saving Mechanism Save if a Liquidity-saving Mechanism could Save Liquidity? A Simulation Approach for Canada’s Large-value Payment System

Byck, Shaun - 2020

Canada's Large Value Transfer System (LVTS) is in the process of being replaced by a real-time gross settlement (RTGS) system. A pure RTGS system typically requires participants to hold large amounts of intraday liquidity in order to settle their payment obligations. Implementing one or more...

Persistent link: https://www.econbiz.de/10012836276