Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/153725
Authors: 
Schulz, Christian
Year of Publication: 
2011
Series/Report no.: 
ECB Working Paper 1291
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.
Subjects: 
competition
data generation
oversight
Payment system
Simulation
JEL: 
C15
C5
E58
L14
L41
L51
Document Type: 
Working Paper

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