Network Indicators for Monitoring Intraday Liquidity in BOK-Wire+

Seungjin Baek (), Kimmo Soramäki () and Jaeho Yoon ()
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Seungjin Baek: Payment System Stability Team, Payment & Settlement Systems Department, The Bank of Korea
Kimmo Soramäki: Financial Network Analytics Ltd
Jaeho Yoon: Payment System Stability Team, Payment & Settlement Systems Department, The Bank of Korea

No 2014-1, Working Papers from Economic Research Institute, Bank of Korea

Abstract: In this article we describe the network properties of the Korean Interbank payment system (BOK-Wire+), apply existing methodologies for identifying systemically important banks, and develop a new intraday liquidity indicator that compares banks' expected resources for settling payments in the remainder of the day with their expected liquidity requirements. We use data only available to the Bank of Korea on banks' expected payments and build regression models for the remaining expected in- and outflows of liquidity. We find that the BOK-Wire+ system has relatively more evenly distributed payment flows than interbank payment systems in other countries. We identify ten core banks and measure their network positions (SinkRank) and intraday liquidity risks. The metrics presented in this article are especially suited for continuous oversight of intraday liquidity and systemic risks in payment systems.

Keywords: Network indicator; Intraday liquidity; Payment system; Monitoring (search for similar items in EconPapers)
JEL-codes: C23 E42 G28 (search for similar items in EconPapers)
Pages: 33 pages
Date: 2014-02-28
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Citations: View citations in EconPapers (5)

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http://papers.bok.or.kr/RePEc_attach/wpaper/english/wp-2014-1.pdf Working Paper, 2014 (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:bok:wpaper:1401

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