Congestion and cascades in payment systems
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Abstract
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Note: For a published version of this report, see Walter E. Beyeler, Robert J. Glass, Morten Bech, and Kimmo Soramäki, "Congestion and Cascades in Payment Systems," Physica A: Statistical Mechanics and Its Applications 384, no. 2 (October 2007): 693-718.
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- Beyeler, Walter E. & Glass, Robert J. & Bech, Morten L. & Soramäki, Kimmo, 2007. "Congestion and cascades in payment systems," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 384(2), pages 693-718.
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Citations
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- Galbiati, Marco & Soramäki, Kimmo, 2011.
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- Galbiati, Marco & Soramaki, Kimmo, 2008. "An agent-based model of payment systems," Bank of England working papers 352, Bank of England.
- Leinonen, Harry, 2009. "Simulation analyses and stress testing of payment networks," Scientific Monographs, Bank of Finland, number 2009_042.
- Galbiati, Marco & Soramaki, Kimmo, 2010. "Liquidity-saving mechanisms and bank behaviour," Bank of England working papers 400, Bank of England.
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- Huberto M. Ennis & John A. Weinberg, 2007. "Interest on reserves and daylight credit," Economic Quarterly, Federal Reserve Bank of Richmond, vol. 93(Spr), pages 111-142.
- Soramäki, Kimmo & Cook, Samantha, 2012. "Algorithm for identifying systemically important banks in payment systems," Economics Discussion Papers 2012-43, Kiel Institute for the World Economy (IfW).
- Norman, Ben, 2010. "Financial Stability Paper No 7: Liquidity Saving in Real-Time Gross Settlement Systems - an Overview," Bank of England Financial Stability Papers 7, Bank of England.
- Olivier Armantier & Jeffrey Arnold & James J. McAndrews, 2008. "Changes in the timing distribution of Fedwire funds transfers," Economic Policy Review, Federal Reserve Bank of New York, vol. 14(Sep), pages 83-112.
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- Massimiliano Zanin & David Papo & Miguel Romance & Regino Criado & Santiago Moral, 2016. "The topology of card transaction money flows," Papers 1605.04938, arXiv.org.
- Marina Resta, 2016. "Enhancing Self‐Organizing Map Capabilities with Graph Clustering: An Application to Financial Markets," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 23(1-2), pages 21-46, January.
- L. C. G. Rogers & L. A. M. Veraart, 2013. "Failure and Rescue in an Interbank Network," Management Science, INFORMS, vol. 59(4), pages 882-898, April.
- Ball, Alan & Denbee, Edward & Manning, Mark & Wetherilt, Anne, 2011. "Financial Stability Paper No 11: Intraday Liquidity - Risk and Regulation," Bank of England Financial Stability Papers 11, Bank of England.
- Kei Imakubo & Yutaka Soejima, 2010. "The Microstructure of Japan's Interbank Money Market: Simulating Contagion of Intraday Flow of Funds Using BOJ-NET Payment Data," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 28, pages 151-180, November.
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More about this item
Keywords
network; topology; interbank; payment; money market; sandpile model; congestion;All these keywords.
JEL classification:
- C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
- G20 - Financial Economics - - Financial Institutions and Services - - - General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BAN-2006-10-14 (Banking)
- NEP-FMK-2006-10-14 (Financial Markets)
- NEP-NET-2006-10-14 (Network Economics)
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