Liquidity requirements and payment delays - participant type dependent preferences

Christian Schulz

No 1291, Working Paper Series from European Central Bank

Abstract: The paper presents an analysis of the trade-offs of participants of different type between payment delay and liquidity requirement on the basis of synthetically generated data. The generation of the synthetic transaction data set for a simple RTGS system is described and calibrated using real world parameters. The payment system is simulated for various liquidity levels and it is shown that participants of different size in terms of transaction volume and value will have different optimal liquidity requirements, as the payment delays they face for each liquidity level will be different. This is shown using indifference curves between payment delay and liquidity requirements. JEL Classification: C15, C5, E58, L14, L41, L51

Keywords: competition; data generation; oversight; payment system; simulation (search for similar items in EconPapers)
Date: 2011-02
New Economics Papers: this item is included in nep-cis and nep-cmp
Note: 1612704
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:20111291

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