Markose, Sheri M and Alentorn, Amadeo and Millard, Stephen and Yang, Jing (2011) Designing large value payment systems: An agent-based approach. [["eprint_typename_scholarly-edition" not defined]]
Markose, Sheri M and Alentorn, Amadeo and Millard, Stephen and Yang, Jing (2011) Designing large value payment systems: An agent-based approach. [["eprint_typename_scholarly-edition" not defined]]
Markose, Sheri M and Alentorn, Amadeo and Millard, Stephen and Yang, Jing (2011) Designing large value payment systems: An agent-based approach. [["eprint_typename_scholarly-edition" not defined]]
Abstract
The purpose of this paper is to show how agent-based simulations of payment systems can be used to aid central bankers and payment system operators in thinking about the appropriate design of payment settlement systems to minimise risk and increase their efficiency. Banks, which we model as the 'agents', are capable of a degree of autonomy with which to respond to payment system rules and adopt a strategy that determines how much collateral to post with the central bank at the start of the day (equivalently how much liquidity to borrow intraday from the central bank) and when to send payment orders to the central processor. An interbank payment system with costly liquidity requires banks to solve an intraday cash management problem, minimising their liquidity and delay costs subject to their beliefs about what the other banks are doing. Some preliminary results are given on how banks learn to endogenously determine how much liquidity to post in the interbank liquidity management game.
Item Type: | ["eprint_typename_scholarly-edition" not defined] |
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Uncontrolled Keywords: | HB; |
Subjects: | H Social Sciences > HB Economic Theory |
Divisions: | Faculty of Social Sciences Faculty of Social Sciences > Economics, Department of |
SWORD Depositor: | Unnamed user with email elements@essex.ac.uk |
Depositing User: | Unnamed user with email elements@essex.ac.uk |
Date Deposited: | 16 Aug 2012 13:48 |
Last Modified: | 15 Jan 2022 00:56 |
URI: | http://repository.essex.ac.uk/id/eprint/3714 |
Available files
Filename: dp700.pdf