Real-Time Identification and High-Frequency Analysis of Deposits Outflows*

Edoardo Rainone

Journal of Financial Econometrics, 2024, vol. 22, issue 4, 868-907

Abstract: We propose a method based on control charts to identify in real-time sudden deposits outflows through the payment system. The performance of the methodology is assessed with both Monte Carlo simulations and real transaction-level TARGET2 data for a large sample of Italian banks. We identify a set of idiosyncratic bank stress episodes. Using high-frequency payment system data, we provide new evidences on the interaction between retail, wholesale, and central bank funding in the post global financial crisis period.

Keywords: bank runs; control charts; digital economy; financial stability; interbank networks; money; payment systems (search for similar items in EconPapers)
JEL-codes: E40 E50 G01 G10 G21 (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (1)

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