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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

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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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File URL: http://www.bankofcanada.ca/en/res/wp/2008/wp08-42.pdf
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Publisher 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
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Handle: RePEc:bca:bocawp:08-42

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Postal: 234 Wellington Street, Ottawa, Ontario, K1A 0G9, Canada
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Web page: http://www.bank-banque-canada.ca/

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Related research
Keywords: Payment; clearing; and settlement systems;

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Find related papers by JEL classification:
C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Bayesian Analysis
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

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References listed on IDEAS
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.:
  1. Leo Katz, 1953. "A new status index derived from sociometric analysis," Psychometrika, Springer, vol. 18(1), pages 39-43, March. [Downloadable!] (restricted)
  2. Morten L. Bech & Rod Garratt, 2006. "Illiquidity in the interbank payment system following wide-scale disruptions," Staff Reports 239, Federal Reserve Bank of New York. [Downloadable!]
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Cited by:
(explanations, 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.)

  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. [Downloadable!]
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This page was last updated on 2009-11-24.

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