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La sécurisation de la liquidité intrajournalière dans un système à règlement brut. Une analyse du comportement des banques commerciales

Listed author(s):
  • Jean-Marc Figuet

[fre] Cet article a pour objet d'évaluer le comportement des banques commerciales dans un système à règlement brut où la liquidité intrajournalière est sécurisée par des titres. L'article est organisé en deux parties. La première partie traite du principe de la sécurisation et de ses avantages dans la lutte contre l'occurrence des risques de liquidité et de crédit lors du règlement des transactions financières. La seconde partie analyse théoriquement l'impact de la collatéralisation sur le comportement des banques. Dans le cadre d'un modèle à la Angelini [1998], nous montrons que l'équilibre de Cournot-Nash, où les banques préfèrent différer une fraction de leurs paiements plutôt que de constituer des réserves excédentaires suffisantes, est sous-optimal. L'objectif de réduction des risques de règlement découlant de la généralisation des systèmes à règlement brut peut ne pas être atteint. [eng] Collateralization of intraday liquidity in a real-time gross settlement system: an analysis of commercial banks' behavior This article deals with commercial banks' behavior in a real-time gross settlement system where intraday liquidity is collateralized by securities. In the first part, we examine the principle of collateralization and its benefits as a means of reducing liquidity and credit risks when financial transactions are settled. In the second part, we analyze theoretically the consequences of securization on banks'behavior. In a model à la Angelini [1998], we show that Cournot-Nash equilibrium, where banks prefer to delay their payments rather than to constitute sufficient excess reserves, is sub-optimal. The objective of reducing settlement risks following the implementation of gross settlement systems may not be attained.

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Article provided by Programme National Persée in its journal Revue économique.

Volume (Year): 51 (2000)
Issue (Month): 4 ()
Pages: 867-883

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Handle: RePEc:prs:reveco:reco_0035-2764_2000_num_51_4_410559
Note: DOI:10.3406/reco.2000.410559
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