Collateralised liquidity, two-part tariff and settlement coordination

Thomas Nellen

No 2015-13, Working Papers from Swiss National Bank

Abstract: This paper analyses the liquidity management game played in payment systems with free but collateralised intraday credit facilities, under the assumption that settlement risk is the driving force. Settlement equilibria are found to depend on the combination of the intraday liquidity facilities' design and the collateral policy applied by the central bank. The effectiveness of a two-part tariff in coordinating on early settlement depends on the same factors. Model predictions are consistent with stylised facts from a comparison of settlement behaviour in the Swiss Interbank Clearing and Fedwire funds.

Keywords: real-time gross settlement; large-value payment systems; intraday liquidity facility; collateralisation; settlement risk (search for similar items in EconPapers)
JEL-codes: E58 G21 G28 (search for similar items in EconPapers)
Pages: 29 pages
Date: 2015
New Economics Papers: this item is included in nep-mac
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Citations: View citations in EconPapers (4)

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