An agent-based model of payment systems

Marco Galbiati and Kimmo Soramäki ()

Journal of Economic Dynamics and Control, 2011, vol. 35, issue 6, 859-875

Abstract: We lay out and simulate 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. We study the equilibrium level of liquidity posted in the system, performing some comparative statics and obtaining 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)
Date: 2011
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Citations: View citations in EconPapers (33)

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Working Paper: An agent-based model of payment systems (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:dyncon:v:35:y:2011:i:6:p:859-875

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