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Analyzing Alternative Intraday Credit Policies in Real-Time Gross Settlement Systems

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  • Furfine, Craig H
  • Stehm, Jeff
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    Abstract

    This paper examines a central bank's choice of intraday credit policy for real-time gross settlement systems. Formal analysis of central bank objectives and commercial bank payment activity provides insight into both the choice and effects of several possible intraday credit policies. Observed intraday credit policies are interpreted within the context of the model. Among G-10 central banks, different combinations of prices, collateral, and quantity limits have been chosen to manage the supply of intraday credit. Conditions that rationalize these choices are shown to rely on central bank preferences regarding credit risk and systemic risk, liquidity management technologies, and the cost of collateral.

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    Bibliographic Info

    Article provided by Blackwell Publishing in its journal Journal of Money, Credit and Banking.

    Volume (Year): 30 (1998)
    Issue (Month): 4 (November)
    Pages: 832-48

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    Handle: RePEc:mcb:jmoncb:v:30:y:1998:i:4:p:832-48

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    Web page: http://www.blackwellpublishing.com/journal.asp?ref=0022-2879

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    Cited by:
    1. Roger Walder, 2002. "Dynamic Allocation of Treasury and Corporate Bond Portfolios," FAME Research Paper Series rp64, International Center for Financial Asset Management and Engineering.
    2. Kahn, Charles M. & Roberds, William, 2001. "Real-time gross settlement and the costs of immediacy," Journal of Monetary Economics, Elsevier, vol. 47(2), pages 299-319, April.
    3. Holthausen, Cornelia & Rochet, Jean-Charles, 2002. "Efficient pricing of large value interbank payment systems," Working Paper Series 0184, European Central Bank.
    4. Didier Cossin & Zhijiang Huang & Daniel Aunon-Nerin & Fer nando González, 2002. "A Framework for Collateral Risk Control Determination," FAME Research Paper Series rp61, International Center for Financial Asset Management and Engineering.
    5. Jonathan Chiu & Alexandra Lai, 2007. "Modelling Payments Systems: A Review of the Literature," Working Papers 07-28, Bank of Canada.
    6. Cossin, Didier & Huang, Zhijiang & Auron-Nerin, Daniel & González, Fernando, 2003. "A framework for collateral risk control determination," Working Paper Series 0209, European Central Bank.

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