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Intraday Liquidity Demand of Banks in Real-Time Gross Settlement System

Author

Listed:
  • Sepahvand , Mehrdad

    (Iran Banking Institute)

Abstract

In this study a simulation analysis is applied to address the change in banks liquidity demand due to a shift in settlement method brought about by adopting Real Time Gross Settlement System. At the first stage of this research, we use a data generator model along with some information on the time distribution of coded cheques over a working day in order to produce intraday flow of payments. Then the output is fed to the Bank of Finland Payment Settlement Simulator (BoF-PSS) to estimate banks intraday liquidity needs in SATNA. The results indicate the movement towards a real time gross-settlement system increases the liquidity demand of Iranian banks in payment system by about 66 percent.

Suggested Citation

  • Sepahvand , Mehrdad, 2011. "Intraday Liquidity Demand of Banks in Real-Time Gross Settlement System," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 6(1), pages 151-160, October.
    • Handle: RePEc:mbr:jmonec:v:6:y:2011:i:1:p:151-160
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    References listed on IDEAS

    as
    1. repec:zbw:bofrdp:1999_016 is not listed on IDEAS
    2. Angelini, Paolo, 1998. "An analysis of competitive externalities in gross settlement systems," Journal of Banking & Finance, Elsevier, vol. 22(1), pages 1-18, January.
    3. Bech, Morten L. & Garratt, Rod, 2003. "The intraday liquidity management game," Journal of Economic Theory, Elsevier, vol. 109(2), pages 198-219, April.
    4. Jing Yang & Sheri Markose & Amadeo Alentorn, 2005. "Designing large value payment systems: an agent based approach," Computing in Economics and Finance 2005 396, Society for Computational Economics.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    RTGS; liquidity; model; interbank;
    All these keywords.

    JEL classification:

    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C70 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - General
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G35 - Financial Economics - - Corporate Finance and Governance - - - Payout Policy

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