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Identifying deposits' outflows in real-time

Edoardo Rainone ()

No 1319, Temi di discussione (Economic working papers) from Bank of Italy, Economic Research and International Relations Area

Abstract: We propose a method based on control charts to identify in real-time sudden deposits' outflows through payment systems. 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 and show that deposits are generally shifted to other banks, mainly large and domestic, generating a size premium; only a limited amount migrates to foreign banks. Under the fixed-rate, full allotment regime, the liquidity drain is mostly offset through open market operations.

Keywords: depositors' trust; interbank networks; payment systems; money; control charts; digital economy; financial stability (search for similar items in EconPapers)
JEL-codes: E40 E50 G01 G10 G21 (search for similar items in EconPapers)
Date: 2021-02
New Economics Papers: this item is included in nep-ban, nep-mac, nep-mon, nep-ore and nep-pay
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Persistent link: https://EconPapers.repec.org/RePEc:bdi:wptemi:td_1319_21

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