Exploring Agent-Based Methods for the Analysis of Payment Systems: A Crisis Model for StarLogo TNG
Claudia Biancotti (),
Leandro D'Aurizio () and
Claudio Impenna ()
Journal of Artificial Societies and Social Simulation, 2009, vol. 12, issue 1, 2
This paper presents an exploratory agent-based model of a real time gross settlement (RTGS) payment system. Banks are represented as agents who exchange payment requests, which are then settled according to a set of simple rules. The model features the main elements of a real-life system, including a central bank acting as liquidity provider, and a simplified money market. A simulation exercise using synthetic data of BI-REL (the Italian RTGS) predicts the macroscopic impact of a disruptive event on the flow of interbank payments. In our reduced-scale system, three hypothetical distinct phases emerge after the disruptive event: 1) a liquidity sink effect is generated and the participants' liquidity expectations turn out to be excessive; 2) an illusory thickening of the money market follows, along with increased payment delays; and, finally 3) defaulted obligations dramatically rise. The banks cannot staunch the losses accruing on defaults, even after they become fully aware of the critical event, and a scenario emerges in which it might be necessary for the central bank to step in as liquidity provider.
Keywords: Agent-Based Modeling; Payment Systems; RTGS; Liquidity; Crisis Simulation (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7) Track citations by RSS feed
Downloads: (external link)
Working Paper: Exploring agent-based methods for the analysis of payment systems: a crisis model for StarLogo TNG (2008)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:jas:jasssj:2008-12-2
Access Statistics for this article
More articles in Journal of Artificial Societies and Social Simulation from Journal of Artificial Societies and Social Simulation
Bibliographic data for series maintained by Flaminio Squazzoni ().