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Christian Schulz
- 9 February 2011
- WORKING PAPER SERIES - No. 1291Details
- Abstract
- 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 Code
- C15 : Mathematical and Quantitative Methods→Econometric and Statistical Methods and Methodology: General→Statistical Simulation Methods: General
C5 : Mathematical and Quantitative Methods→Econometric Modeling
E58 : Macroeconomics and Monetary Economics→Monetary Policy, Central Banking, and the Supply of Money and Credit→Central Banks and Their Policies
L14 : Industrial Organization→Market Structure, Firm Strategy, and Market Performance→Transactional Relationships, Contracts and Reputation, Networks
L41 : Industrial Organization→Antitrust Issues and Policies→Monopolization, Horizontal Anticompetitive Practices
L51 : Industrial Organization→Regulation and Industrial Policy→Economics of Regulation