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Liquidity requirements and payment delays - participant type dependent preferences

  • Schulz, Christian

The paper presents an analysis of the trade-offs of participants of different type between payment delay and liquidity requirement on the basis of synthetically generated data. The generation of the synthetic transaction data set for a simple RTGS system is described and calibrated using real world parameters. The payment system is simulated for various liquidity levels and it is shown that participants of different size in terms of transaction volume and value will have different optimal liquidity requirements, as the payment delays they face for each liquidity level will be different. This is shown using indifference curves between payment delay and liquidity requirements. JEL Classification: C15, C5, E58, L14, L41, L51

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File URL: http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1291.pdf
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Paper provided by European Central Bank in its series Working Paper Series with number 1291.

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Date of creation: Feb 2011
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Handle: RePEc:ecb:ecbwps:20111291
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  1. Soramäki, Kimmo & Bech, Morten L. & Arnold, Jeffrey & Glass, Robert J. & Beyeler, Walter E., 2007. "The topology of interbank payment flows," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 379(1), pages 317-333.
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