Which bank is the "central" bank?
Morten Bech (),
James Chapman () and
Rodney Garratt ()
Journal of Monetary Economics, 2010, vol. 57, issue 3, 352-363
Liquidity flows through a financial network cannot be accurately described using external processing constraints alone. Behavioral aspects of participants also matter. A method similar to Google's PageRank procedure is used to produce a ranking of participants in the Canadian Large Value Transfer System in terms of their daily liquidity holdings. Accounting for differences in banks' processing speeds is essential for explaining why observed distributions of liquidity differ from the initial distributions, which are determined by the credit limits selected by banks. Delay tendencies of banks are unobservable in the data and are estimated using a Markov model.
Keywords: Payment; systems; Networks; Liquidity (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:moneco:v:57:y:2010:i:3:p:352-363
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