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dc.contributor.authorAfonso, Gara M.en_US
dc.contributor.authorShin, Hyun Songen_US
dc.date.accessioned2010-04-30en_US
dc.date.accessioned2012-08-17T14:35:22Z-
dc.date.available2012-08-17T14:35:22Z-
dc.date.issued2008en_US
dc.identifier.urihttp://hdl.handle.net/10419/60840-
dc.description.abstractWe study liquidity and systemic risk in high-value payment systems. Flows in high-value systems are characterized by high velocity, meaning that the total amount paid and received is high relative to the stock of reserves. In such systems, banks rely heavily on incoming funds to finance outgoing payments, necessitating a high degree of coordination and synchronization. We use lattice-theoretic methods to solve for the unique fixed point of an equilibrium mapping and conduct comparative statics analyses on changes to the environment. We find that banks attempting to conserve liquidity cause an increase in the demand for intraday credit and, ultimately, a disruption of payments. Additionally, we find that when a bank is identified as vulnerable to failure and other banks choose to cancel payments to that bank, there are systemic repercussions for the whole financial system.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 352en_US
dc.subject.jelE58en_US
dc.subject.jelG21en_US
dc.subject.jelD85en_US
dc.subject.jelE44en_US
dc.subject.ddc330en_US
dc.subject.keywordSystemic risken_US
dc.subject.keywordfinancial networksen_US
dc.subject.keywordhigh-value payment systemsen_US
dc.subject.keywordprecautionary demanden_US
dc.titleSystemic risk and liquidity in payment systemsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn587564482en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:Staff Reports, Federal Reserve Bank of New York

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