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Network Indicators for Monitoring Intraday Liquidity in BOK-Wire+

Author

Listed:
  • Seungjin Baek

    (Payment System Stability Team, Payment & Settlement Systems Department, The Bank of Korea)

  • Kimmo Soramäki

    (Financial Network Analytics Ltd)

  • Jaeho Yoon

    (Payment System Stability Team, Payment & Settlement Systems Department, The Bank of Korea)

Abstract

In this article we describe the network properties of the Korean Interbank payment system (BOK-Wire+), apply existing methodologies for identifying systemically important banks, and develop a new intraday liquidity indicator that compares banks' expected resources for settling payments in the remainder of the day with their expected liquidity requirements. We use data only available to the Bank of Korea on banks' expected payments and build regression models for the remaining expected in- and outflows of liquidity. We find that the BOK-Wire+ system has relatively more evenly distributed payment flows than interbank payment systems in other countries. We identify ten core banks and measure their network positions (SinkRank) and intraday liquidity risks. The metrics presented in this article are especially suited for continuous oversight of intraday liquidity and systemic risks in payment systems.

Suggested Citation

  • Seungjin Baek & Kimmo Soramäki & Jaeho Yoon, 2014. "Network Indicators for Monitoring Intraday Liquidity in BOK-Wire+," Working Papers 2014-1, Economic Research Institute, Bank of Korea.
    • Handle: RePEc:bok:wpaper:1401
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    References listed on IDEAS

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    Cited by:

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    2. Ronald Heijmans & Chen Zhou, 2019. "Outlier detection in TARGET2 risk indicators," DNB Working Papers 624, Netherlands Central Bank, Research Department.
    3. Timmermans, M. & Heijmans, R. & Daniels, Hennie, 2017. "Cyclical patterns in risk indicators based on financial market infrastructure transaction data," Other publications TiSEM b1c76cf9-cbdb-436c-8420-4, Tilburg University, School of Economics and Management.

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    More about this item

    Keywords

    Network indicator; Intraday liquidity; Payment system; Monitoring;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • E42 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Monetary Sytsems; Standards; Regimes; Government and the Monetary System
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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