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Gridlock Resolution in Interbank Payment Systems

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Author Info
Bech , Morten L.
Soramäki, Kimmo

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Abstract

The paper analyses the severity of gridlocks in interbank payment systems operating on a real time basis and evaluates by means of simulations the merits of a gridlock resolution algorithm. Data used in the simulations consist of actual payments settled in the Danish and Finnish RTGS systems. The algorithm is found to be applicable to a real time environment and effective in reducing queuing in the systems at all levels of liquidity, but in particular when intra-day liquidity is scarce.

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File URL: http://www.bof.fi/NR/rdonlyres/7DFC6190-C23D-4AA6-8EF3-9C2F75A0E7B5/0/0109.pdf
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Publisher Info
Paper provided by Bank of Finland in its series Research Discussion Papers with number 9/2001.

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Length: 34 pages
Date of creation: 13 Jun 2001
Date of revision:
Handle: RePEc:hhs:bofrdp:2001_009

Contact details of provider:
Postal: Bank of Finland, P.O. Box 160, FI-00101 Helsinki, Finland
Web page: http://www.bof.fi/en/tutkimus
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Related research
Keywords: payment systems; liquidity; gridlock; algorithms; settlement;

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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. Bech, Morten L. & Garratt, Rod, 2003. "The intraday liquidity management game," Journal of Economic Theory, Elsevier, vol. 109(2), pages 198-219, April. [Downloadable!] (restricted)
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  2. Guntzer, Michael M. & Jungnickel, Dieter & Leclerc, Matthias, 1998. "Efficient algorithms for the clearing of interbank payments," European Journal of Operational Research, Elsevier, vol. 106(1), pages 212-219, April. [Downloadable!] (restricted)
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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. Neville Arjani, 2006. "Examining the Trade-Off between Settlement Delay and Intraday Liquidity in Canada's LVTS: A Simulation Approach," Working Papers 06-20, Bank of Canada. [Downloadable!]
  2. Kari Kemppainen, 2004. "Competition and regulation in European retail payment systems," Microeconomics 0404008, EconWPA. [Downloadable!]
  3. Saarenheimo, Tuomas, 2001. "Should unemployment benefits decrease as the unemployment spell lengthens?," Research Discussion Papers 23/2001, Bank of Finland. [Downloadable!]
  4. Rodrigo Andrés de Souza Peñaloza, 2003. "On Shadow-Prices of Banks in Real-Time Gross Settlement Systems," Working Papers Series 71, Central Bank of Brazil, Research Department. [Downloadable!]
  5. Iivarinen , Timo, 2004. "Large value payment systems: principles and recent and future developments," Research Discussion Papers 13/2004, Bank of Finland. [Downloadable!]
  6. Kurt Johnson & James J. McAndrews & Kimmo Soramaki, 2004. "Economizing on liquidity with deferred settlement mechanisms," Economic Policy Review, Federal Reserve Bank of New York, issue Dec, pages 51-72. [Downloadable!]
  7. Korhonen, Tapio, 2001. "Finnish monetary and foreign exchange policy and the changeover to the euro," Research Discussion Papers 25/2001, Bank of Finland. [Downloadable!]
  8. Morten Bech & Rod Garratt, 2001. "The Intraday Liquidity Management Game," University of California at Santa Barbara, Economics Working Paper Series 18-01, Department of Economics, UC Santa Barbara. [Downloadable!]
    Other versions:
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This page was last updated on 2009-12-3.

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