EconPapers    
Economics at your fingertips  
 

Intraday liquidity facilities, late settlement fee and coordination

Thomas Nellen ()

Journal of Banking & Finance, 2019, vol. 106, issue C, 124-131

Abstract: This paper analyses the intraday liquidity management game played in large-value payment systems accounting for a variable and a fixed cost of liquidity. While the liquidity cost is a decisive factor for settlement behaviour, the availability of intraday liquidity until end-of-day matters too, as it mutes late settlement incentives originating from settlement risk. Whether liquidity is provided via overdraft or intraday credit hardly matters. A late settlement fee can both disincentivise settlement coordination or implement early settlement. Its calibration is usually non-trivial with the major exception of a fixed cost and end-of-day availability of intraday liquidity.

Keywords: Real-time gross settlement; Intraday liquidity facility; Collateralisation; Late settlement fee; Settlement risk (search for similar items in EconPapers)
JEL-codes: E42 E58 G23 G28 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378426619301426
Full text for ScienceDirect subscribers only

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: https://EconPapers.repec.org/RePEc:eee:jbfina:v:106:y:2019:i:c:p:124-131

DOI: 10.1016/j.jbankfin.2019.06.009

Access Statistics for this article

Journal of Banking & Finance is currently edited by Ike Mathur

More articles in Journal of Banking & Finance from Elsevier
Bibliographic data for series maintained by Haili He ().

 
Page updated 2020-06-20
Handle: RePEc:eee:jbfina:v:106:y:2019:i:c:p:124-131