An agent-based model of payment systems
AbstractThis paper lays out and simulates a multi-agent, multi-period model of an RTGS payment system. At the beginning of the day, banks choose how much costly liquidity to allocate to the settlement process. Then, they use it to execute an exogenous, random stream of payment orders. If a bank's liquidity stock is depleted, payments are queued until new liquidity arrives from other banks, imposing costs on the delaying bank. The paper studies the equilibrium level of liquidity posted in the system, performing some comparative statics and obtaining: i) a liquidity demand curve which links liquidity to delay costs and ii) insights on the efficiency of alternative system configurations.
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Bibliographic InfoPaper provided by Bank of England in its series Bank of England working papers with number 352.
Length: 26 pages
Date of creation: Aug 2008
Date of revision:
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More information through EDIRC
Payment systems; liquidity; RTGS; agent-based modelling; learning; fictitious play.;
Other versions of this item:
- C79 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Other
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-09-20 (All new papers)
- NEP-BAN-2008-09-20 (Banking)
- NEP-CMP-2008-09-20 (Computational Economics)
- NEP-GTH-2008-09-20 (Game Theory)
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