Exploring Agent-Based Methods for the Analysis of Payment Systems: A Crisis Model for StarLogo TNG

Luca Arciero, Claudia Biancotti (), Leandro D'Aurizio () and Claudio Impenna ()

Journal of Artificial Societies and Social Simulation, 2009, vol. 12

Abstract: This paper presents an exploratory agent-based model of a real time gross settlement (RTGS) payment system. Banks are represented as agents who exchange payment requests, which are then settled according to a set of simple rules. The model features the main elements of a real-life system, including a central bank acting as liquidity provider, and a simplified money market. A simulation exercise using synthetic data of BI-REL (the Italian RTGS) predicts the macroscopic impact of a disruptive event on the flow of interbank payments. In our reduced-scale system, three hypothetical distinct phases emerge after the disruptive event: 1) a liquidity sink effect is generated and the participants\' liquidity expectations turn out to be excessive; 2) an illusory thickening of the money market follows, along with increased payment delays; and, finally 3) defaulted obligations dramatically rise. The banks cannot staunch the losses accruing on defaults, even after they become fully aware of the critical event, and a scenario emerges in which it might be necessary for the central bank to step in as liquidity provider.

Keywords: Agent-Based Modeling; Payment Systems; RTGS; Liquidity; Crisis Simulation (search for similar items in EconPapers)
Date: 2009-01-31

Downloads: (external link)
http://jasss.soc.surrey.ac.uk/12/1/2/2.pdf (application/pdf)

Related works:
Working Paper: Exploring agent-based methods for the analysis of payment systems: a crisis model for StarLogo TNG (2008)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:jas:jasssj:2008-12-2

Access Statistics for this article

More articles in Journal of Artificial Societies and Social Simulation from Journal of Artificial Societies and Social Simulation
Series data maintained by ().