Please use this identifier to cite or link to this item:
Full metadata record
DC FieldValueLanguage
dc.contributor.authorAfonso, Gara M.en_US
dc.contributor.authorShin, Hyun Songen_US
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.publisher|aFederal Reserve Bank of New York |cNew York, NYen_US
dc.relation.ispartofseries|aStaff Report, Federal Reserve Bank of New York |x352en_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

Files in This Item:
784.86 kB

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.