Template-type: ReDIF-Paper 1.0
Author-Name: Dr. Thomas Nellen
Author-Name-First: Thomas
Author-Name-Last: Nellen
Author-Person: pne256
Title: Collateralised liquidity, two-part tariff and settlement coordination
Abstract: This paper analyses the liquidity management game played in payment systems with free but collateralised intraday credit facilities, under the assumption that settlement risk is the driving force. Settlement equilibria are found to depend on the combination of the intraday liquidity facilities' design and the collateral policy applied by the central bank. The effectiveness of a two-part tariff in coordinating on early settlement depends on the same factors. Model predictions are consistent with stylised facts from a comparison of settlement behaviour in the Swiss Interbank Clearing and Fedwire funds.
Length: 29 pages
Creation-Date: 2015
Contact-Email: forschung@snb.ch
File-URL: https://www.snb.ch/en/publications/research/working-papers/2015/working_paper_2015_13
File-Format: text/html
Number: 2015-13
Classification-JEL: E58, G21, G28
Keywords: real-time gross settlement, large-value payment systems, intraday liquidity facility, collateralisation, settlement risk
Handle: RePEc:snb:snbwpa:2015-13