An agent-based model of payment systems

Marco Galbiati () and Kimmo Soramäki ()

No 352, Bank of England working papers from Bank of England

Abstract: This paper lays out and simulates a multi-agent, multi-period model of an RTGS payment system. At the beginning of the day, banks choose how much costly liquidity to allocate to the settlement process. Then, they use it to execute an exogenous, random stream of payment orders. If a bank's liquidity stock is depleted, payments are queued until new liquidity arrives from other banks, imposing costs on the delaying bank. The paper studies the equilibrium level of liquidity posted in the system, performing some comparative statics and obtaining: i) a liquidity demand curve which links liquidity to delay costs and ii) insights on the efficiency of alternative system configurations.

Keywords: Payment systems; liquidity; RTGS; agent-based modelling; learning; fictitious play. (search for similar items in EconPapers)
JEL-codes: C79 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ban, nep-cmp and nep-gth
Date: 2008-08

Downloads: (external link)
http://www.bankofengland.co.uk/publications/workingpapers/wp352.pdf Full text (application/pdf)

Related works:
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:boe:boeewp:0352

Access Statistics for this paper

More papers in Bank of England working papers from Bank of England
Address: Publications Group Bank of England Threadneedle Street London EC2R 8AH
Contact information at EDIRC.
Series data maintained by Publications Group ().