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dc.contributor.authorBeyeler, Walter E.en_US
dc.contributor.authorGlass, Robert J.en_US
dc.contributor.authorBech, Mortenen_US
dc.contributor.authorSoramäki, Kimmoen_US
dc.date.accessioned2012-08-17T14:24:00Z-
dc.date.available2012-08-17T14:24:00Z-
dc.date.issued2006en_US
dc.identifier.urihttp://hdl.handle.net/10419/60522-
dc.description.abstractWe develop a parsimonious model of the interbank payment system to study congestion and the role of liquidity markets in alleviating congestion. The model incorporates an endogenous instruction arrival process, scale-free topology of payments between banks, fixed total liquidity that limits banks’ capacity to process arriving instructions, and a global market that distributes liquidity. We find that at low liquidity, the system becomes congested and payment settlement loses correlation with payment instruction arrival, becoming coupled across the network. The onset of congestion is evidently related to the relative values of three characteristic times: the time for banks’ net position to return to zero, the time for banks to exhaust their liquidity endowments, and the liquidity market relaxation time. In the congested regime, settlement takes place in cascades having a characteristic size. A global liquidity market substantially diminishes congestion, requiring only a small fraction of the payment-induced liquidity flow to achieve strong beneficial effects.en_US
dc.language.isoengen_US
dc.publisherFederal Reserve Bank of New York New York, NYen_US
dc.relation.ispartofseriesStaff Report, Federal Reserve Bank of New York 259en_US
dc.subject.jelC50en_US
dc.subject.jelG20en_US
dc.subject.ddc330en_US
dc.subject.keywordnetwork, topology, interbank, payment, money market, sandpile model, congestionen_US
dc.subject.stwZahlungsverkehren_US
dc.subject.stwGeldmarkten_US
dc.subject.stwGesamtwirtschaftliche Liquiditäten_US
dc.subject.stwTheorieen_US
dc.titleCongestion and cascades in payment systemsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn519347641en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:Staff Reports, Federal Reserve Bank of New York

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