Which Bank is the "Central" Bank? An Application of Markov Theory to the Canadian Large Value Transfer System
AbstractWe 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 InfoPaper provided by Bank of Canada in its series Working Papers with number 08-42.
Length: 22 pages
Date of creation: 2008
Date of revision:
Contact details of provider:
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Payment; clearing; and settlement systems;
Other versions of this item:
- Morten L. Bech & James T. E. Chapman & Rod Garratt, 2008. "Which bank is the "central" bank? an application of Markov theory to the Canadian Large Value Transfer System," Staff Reports 356, Federal Reserve Bank of New York.
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General
- G20 - Financial Economics - - Financial Institutions and Services - - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-11-11 (All new papers)
- NEP-BAN-2008-11-11 (Banking)
- NEP-CBA-2008-11-11 (Central Banking)
- NEP-MAC-2008-11-11 (Macroeconomics)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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in: Market Institutions and Financial Market Risk
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- 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.
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