Intraday Liquidity Demand of Banks in Real-Time Gross Settlement System

Mehrdad Sepahvand

Journal of Money and Economy, 2011, vol. 6, issue 1, 151-160

Abstract: In this study a simulation analysis is applied to address the change in banks liquidity demand due to a shift in settlement method brought about by adopting Real Time Gross Settlement System. At the first stage of this research, we use a data generator model along with some information on the time distribution of coded cheques over a working day in order to produce intraday flow of payments. Then the output is fed to the Bank of Finland Payment Settlement Simulator (BoF-PSS) to estimate banks intraday liquidity needs in SATNA. The results indicate the movement towards a real time gross-settlement system increases the liquidity demand of Iranian banks in payment system by about 66 percent.

Keywords: RTGS; liquidity; model; interbank (search for similar items in EconPapers)
JEL-codes: C15 C70 E58 G21 G35 (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:mbr:jmonec:v:6:y:2011:i:1:p:151-160

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