Systemically Important Accounts, Network Topology and Contagion in ARTIS
This study investigates the relevance of network topology for the stability of payment systems in the face of operational shocks. The analysis is based on a large number of simulations of the Austrian large-value payment system ARTIS that quantify the contagion impact of operational shocks at participants’ sites. It uncovers that only few accounts are systemically important. We also find that network indicators at the node level can have some explanatory power, which is higher when the analysis focuses on contagion measured by the number of banks with unsettled payments than on that measured by the value of unsettled payments. The explanatory power is, however, lower than that of the more traditional measures of node activity(value and volume) of payments. At this stage of our research, network indicators at the network level seem to be of limited use for stability analysis.
Volume (Year): (2008)
Issue (Month): 15 ()
|Contact details of provider:|| Postal: P.O. Box 61, A-1011 Vienna, Austria|
Phone: +43/1/404 20 3126
Fax: +43/1/404 20 3199
Web page: http://www.oenb.at
More information through EDIRC
|Order Information:|| Postal: Oesterreichische Nationalbank, Documentation Management and Communications Services, Otto-Wagner Platz 3, A-1090 Vienna, Austria|
When requesting a correction, please mention this item's handle: RePEc:onb:oenbfs:y:2008:i:15:b:2. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Stefan W. Schmitz)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.