An agent-based model of payment systems
AbstractWe lay out and simulate a multi-agent, multi-period model of an RTGS payment system. At the beginning of the day, banks choose how much costly liquidity to allocate to the settlement process. Then, they use it to execute an exogenous, random stream of payment orders. If a bank's liquidity stock is depleted, payments are queued until new liquidity arrives from other banks, imposing costs on the delaying bank. We study the equilibrium level of liquidity posted in the system, performing some comparative statics and obtaining insights on the efficiency of alternative system configurations.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Economic Dynamics and Control.
Volume (Year): 35 (2011)
Issue (Month): 6 (June)
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Web page: http://www.elsevier.com/locate/jedc
Payment systems Liquidity RTGS Agent-based modelling Learning Fictitious play;
Other versions of this item:
- C79 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Other
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