@techreport{Martin2007Liquidity,
abstract = {We study the incentives of participants in a real-time gross settlement system with and without the addition of a liquidity-saving mechanism (queue). Participants in our model face a liquidity shock and different costs for delaying payments. They trade off the cost of delaying a payment against the cost of borrowing liquidity from the central bank. The heterogeneity of participants in our model gives rise to a rich set of strategic interactions. The main contribution of our paper is to show that the design of a liquidity-saving mechanism has important implications for welfare, even in the absence of netting. In particular, we find that parameters will determine whether the addition of a liquiditysaving mechanism increases or decreases welfare.},
address = {New York, NY},
author = {Antoine Martin and James McAndrews},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {E42; E58; G21; 330; liquidity-saving mechanism, real-time gross settlement, large-value payment systems; Zahlungsverkehr; Verrechnungsverkehr; Bankenliquidit\"{a}t; Geldmarkt; Liquidit\"{a}tseffekt; Theorie},
language = {eng},
number = {282},
publisher = {Federal Reserve Bank of New York},
title = {Liquidity-saving mechanisms},
type = {Staff Report, Federal Reserve Bank of New York},
url = {http://hdl.handle.net/10419/60524},
year = {2007}
}
