An Application of Shapley Value Cost Allocation to Liquidity Savings Mechanisms

Rodney Garratt

Journal of Money, Credit and Banking, 2022, vol. 54, issue 6, 1875-1888

Abstract: This paper describes a proposal for operating a centralized netting queue for nonurgent interbank payments that involves take‐it‐or‐leave‐it offers and allocates liquidity costs using the Shapley value. This method achieves fairness and ensures welfare‐maximizing netting proposals are agreeable to all providers of liquidity.

Date: 2022
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https://doi.org/10.1111/jmcb.12853

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Working Paper: An Application of Shapley Value Cost Allocation to Liquidity Savings Mechanisms (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:wly:jmoncb:v:54:y:2022:i:6:p:1875-1888

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