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Which Bank is the "Central" Bank? An Application of Markov Theory to the Canadian Large Value Transfer System

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Author Info

  • Morten Bech
  • James T. E. Chapman
  • Rod Garratt

Abstract

We use a method similar to Google's PageRank procedure to rank banks in the Canadian Large Value Transfer System (LVTS). Along the way we obtain estimates of the payment processing speeds for the individual banks. These differences in processing speeds are essential for explaining why observed daily distributions of liquidity differ from the initial distributions, which are determined by the credit limits selected by banks.

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Bibliographic Info

Paper provided by Bank of Canada in its series Working Papers with number 08-42.

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Length: 22 pages
Date of creation: 2008
Date of revision:
Handle: RePEc:bca:bocawp:08-42

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Postal: 234 Wellington Street, Ottawa, Ontario, K1A 0G9, Canada
Phone: 613 782-8845
Fax: 613 782-8874
Web page: http://www.bank-banque-canada.ca/

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Keywords: Payment; clearing; and settlement systems;

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  1. Morten L. Bech & Rodney J. Garratt, 2012. "Illiquidity in the Interbank Payment System Following Wide‚ÄźScale Disruptions," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(5), pages 903-929, 08.
  2. Leo Katz, 1953. "A new status index derived from sociometric analysis," Psychometrika, Springer, vol. 18(1), pages 39-43, March.
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Cited by:
  1. Sean O'Connor & James Chapman & Kirby Millar, 2008. "Liquidity Efficiency and Distribution in the LVTS: Non-Neutrality of System Changes under Network Asymmetry," Discussion Papers 08-11, Bank of Canada.
  2. Jorge A. Chan-Lau, 2010. "Balance Sheet Network Analysis of too-Connected-To-Fail Risk in Global and Domestic Banking Systems," IMF Working Papers 10/107, International Monetary Fund.
  3. Monica Billio & Mila Getmansky & Andrew W. Lo & Loriana Pelizzon, 2010. "Econometric Measures of Systemic Risk in the Finance and Insurance Sectors," NBER Chapters, in: Market Institutions and Financial Market Risk National Bureau of Economic Research, Inc.
  4. Andrievskaya, Irina, 2012. "Measuring systemic funding liquidity risk in the Russian banking system," BOFIT Discussion Papers 12/2012, Bank of Finland, Institute for Economies in Transition.

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