Open Access

Topology of Complex Networks and Demand of Intraday Liquidity: Based on the Real-Time Gross Settlement System

 and    | Mar 21, 2018

Cite

Abbink, Klaus, Ronald Bosm, an, Ronald Heijmans, and Frans van Winden. 2010. “Disruptions in Large Value Payment Systems: An Experimental Approach.” New York Fed Working Paper No. 263.AbbinkKlausRonaldBosmanRonaldHeijmansFransvan Winden2010“Disruptions in Large Value Payment Systems: An Experimental Approach.”New York Fed Working Paper No. 26310.2139/ssrn.1950089Search in Google Scholar

Ball, Allan, Edward Denbee, Mark J. Manning, and Anne Wetherilt. 2011. “Intraday Liquidity: Risk and Regulation.” Financial Stability Paper No.11, Bank of England.BallAllanEdwardDenbeeMarkJ. ManningAnneWetherilt2011“Intraday Liquidity: Risk and Regulation.”Financial Stability Paper No.11, Bank of England10.2139/ssrn.1864638Search in Google Scholar

Bech, M. L. and R. Garratt. 2003. “The Intraday Liquidity Management Game.” Journal of Economic Theory 109(2): 198–219.10.1016/S0022-0531(03)00016-4BechM. L.andR. Garratt2003“The Intraday Liquidity Management Game.”Journal of Economic Theory1092198219Open DOISearch in Google Scholar

Bech, Morten L., and Rod Garratt. 2012. “Illiquidity in the Interbank Payment Systems Following Wide-Scale Disruptions.” Journal of Money, Credit and Banking 44(5): 903–929.10.1111/j.1538-4616.2012.00515.xBechMorten L.RodGarratt2012“Illiquidity in the Interbank Payment Systems Following Wide-Scale Disruptions.”Journal of Money, Credit and Banking445903929Open DOISearch in Google Scholar

Becher, Christopher, Stephen Millard, and Kimmo Somaräki. 2008. “The Network Topology of CHAPS Sterling.” Bank of England Working Paper No. 355.BecherChristopherStephenMillardKimmoSomaräki2008“The Network Topology of CHAPS Sterling.”Bank of England Working Paper No. 35510.2139/ssrn.1319277Search in Google Scholar

Bedford, Paul, Stephen Millard, and Jing Yang. 2004. “Analyzing the Impact of Operational Incidents in Large-Value Payment System: A Simulation Approach.” Bank of England Working Paper.BedfordPaulStephenMillardJingYang2004“Analyzing the Impact of Operational Incidents in Large-Value Payment System: A Simulation Approach.”Bank of England Working PaperSearch in Google Scholar

Boss, Michael, Helmut Elsinger, Martin Summer, and Stefan Thurner. 2004. “Network Topology of the Interbank Market.” Quantitative Finance 4(6): 677–684.10.1080/14697680400020325BossMichaelHelmutElsingerMartinSummerStefanThurner2004“Network Topology of the Interbank Market.”Quantitative Finance46677684Open DOISearch in Google Scholar

Garratt, Rodney, Lavan Mahadeva, and Katasiaryna Svirydzenka. 2012. “Mapping Systemic Risk in the International Banking Network.” Bank of England Working Paper No. 413.GarrattRodneyLavanMahadevaKatasiarynaSvirydzenka2012“Mapping Systemic Risk in the International Banking Network.”Bank of England Working Paper No. 41310.2139/ssrn.1786571Search in Google Scholar

Galbiati, Marco, and Kimmo Soramäki. 2013. “Liquidity-Saving Mechanisms and Bank Behavior in Payment Systems.” In: Simulation in Computational Finance and Economics: Tools and Emerging Applications, eds. Biliana Alexandrova-Kabadjova, Serafin Martinez-Jaramillo, Alma L. Garcia-Almanza, and Edward Tsang, 103–119. Hershey: IGI Global.GalbiatiMarcoKimmoSoramäki2013“Liquidity-Saving Mechanisms and Bank Behavior in Payment Systems.”Simulation in Computational Finance and Economics: Tools and Emerging ApplicationsBilianaAlexandrova-KabadjovaSerafinMartinez-JaramilloAlmaL. Garcia-AlmanzaEdwardTsang103119HersheyIGI Global10.4018/978-1-4666-2011-7.ch006Search in Google Scholar

Hellqvist, Matti, and Tatu Laine. 2012. “Diagnostics for the Financial Markets – Computational Studies of Payment System.” Simulator Seminar Proceedings 2009–2011. Helsinki.HellqvistMattiTatuLaine2012“Diagnostics for the Financial Markets – Computational Studies of Payment System.”Simulator Seminar Proceedings2009–2011HelsinkiSearch in Google Scholar

Hoffmann De Quadros, Vanessa, Juan Carlos Gonzñlez-Avella, and José Roberto Iglesias. 2015. “Credit Risk in Interbank Networks.” Emerging Markets Finance and Trade Vol. 51 (sup6): S27–S41.Hoffmann De QuadrosVanessaJuan CarlosGonzñlez-AvellaJoséRoberto Iglesias2015“Credit Risk in Interbank Networks.”Emerging Markets Finance and Trade516S27S4110.1080/1540496X.2015.1080554Search in Google Scholar

Imakubo, Kei, and 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 28: 151–180.ImakuboKeiYutakaSoejima2010“The Microstructure of Japan’s Interbank Money Market: Simulating Contagion of Intraday Flow of Funds using BOJ-NET Payment Data.”Monetary and Economic Studies28151180Search in Google Scholar

Iori, Giulia, Saqib Jafarey, Francisco S. Padilla. 2006 “Systemic Risk on the Interbank Market.” Journal of Economic Behavior and Organization 61: 525–542.10.1016/j.jebo.2004.07.018IoriGiuliaSaqibJafareyFranciscoS. Padilla2006“Systemic Risk on the Interbank Market.”Journal of Economic Behavior and Organization61525542Open DOISearch in Google Scholar

Leinonen, Harry. 2005. “Liquidity, Risks and Speed in Payment and Settlement Systems – A Simulation Approach.” Bank of Finland Studies No. 31.LeinonenHarry2005“Liquidity, Risks and Speed in Payment and Settlement Systems – A Simulation Approach.”Bank of Finland Studies No. 31Search in Google Scholar

Leinonen, Harry. 2007. “Simulation Studies of Liquidity Needs, Risks and Efficiency in Payment Networks.” Proceedings from the Bank of Finland Payment and Settlement System Seminars 20052006 No 39.LeinonenHarry2007“Simulation Studies of Liquidity Needs, Risks and Efficiency in Payment Networks.”Proceedings from the Bank of Finland Payment and Settlement System Seminars 2005–2006 No 39Search in Google Scholar

Leinonen, Harry. 2009. “Simulation Analyses and Stress Testing of Payments Networks.” Proceedings from the Bank of Finland Payment and Settlement System Seminars 2007–2008 No. 42.LeinonenHarry2009“Simulation Analyses and Stress Testing of Payments Networks.”Proceedings from the Bank of Finland Payment and Settlement System Seminars 2007–2008 No. 42Search in Google Scholar

Lenzu, Simine, and Gabriele Tedeschi. 2012. “Systemic Risk on Different Interbank Network Topologies.” Physica A: Statistical Mechanics and its Application 391(18): 4331–4341.10.1016/j.physa.2012.03.035LenzuSimineGabrieleTedeschi2012“Systemic Risk on Different Interbank Network Topologies.”Physica A: Statistical Mechanics and its Application3911843314341Open DOISearch in Google Scholar

Liu, Jun, Qingyu Xiong, Weiren Shi, Xin Shi, and Kai Wang. 2016. “Evaluating the Importance of Nodes in Complex Networks.” Physica A: Statistical Mechanics and its Applications 452 (15): 209–219.10.1016/j.physa.2016.02.049LiuJunQingyuXiongWeirenShiXinShiKaiWang2016“Evaluating the Importance of Nodes in Complex Networks.”Physica A: Statistical Mechanics and its Applications45215209219Open DOISearch in Google Scholar

Martin, Antoine, and James McAndrews. 2010. “A Study of Competing Designs for a Liquidity-saving Mechanism.” Journal of Banking & Finance 34 (8): 1818–1826.10.1016/j.jbankfin.2009.07.023MartinAntoineJamesMcAndrews2010“A Study of Competing Designs for a Liquidity-saving Mechanism.”Journal of Banking & Finance34818181826Open DOISearch in Google Scholar

Mills Jr., David C., and Travis D. Nesmith. 2008. “Risk and Concentration in Payment and Securities Settlement Systems.” Journal of Monetary Economics 55(3): 542–553.10.1016/j.jmoneco.2008.01.002MillsJr., David C.TravisD. Nesmith2008“Risk and Concentration in Payment and Securities Settlement Systems.”Journal of Monetary Economics553542553Open DOISearch in Google Scholar

Munoz, Francisco J.C., and Natalia U. Gonzalez. 2013. “Intraday Liquidity and Central Bank Credit in Gross Payment Systems.” International Finance 16(3): 363–392.10.1111/j.1468-2362.2013.12035.xMunozFrancisco J.C.NataliaU. Gonzalez2013“Intraday Liquidity and Central Bank Credit in Gross Payment Systems.”International Finance163363392Open DOISearch in Google Scholar

Silva, Thiago C., Sergio R. de Souza Stancato, and Benjamin M. Tabak. 2016. “Network Structure Analysis of the Brazilian Interbank Market.” Emerging Markets Review 6: 130–152.SilvaThiago C.SergioR. de Souza StancatoBenjaminM. Tabak2016“Network Structure Analysis of the Brazilian Interbank Market.”Emerging Markets Review613015210.1016/j.ememar.2015.12.004Search in Google Scholar

Soramäki, Kimmo, and Samantha Cook. 2013. “SinkRank: An Algorithm for Identifying Systemically Important Banks in Payment System.” Economics: the Open-Access, Open-Assessment E-Journal 7(2013–28):1–27.SoramäkiKimmoSamanthaCook2013“SinkRank: An Algorithm for Identifying Systemically Important Banks in Payment System.”Economics: the Open-Access, Open-Assessment E-Journal72013–2812710.5018/economics-ejournal.ja.2013-28Search in Google Scholar

Tsuchiya, Saiki. 2013. “The Effects of Settlement Methods on Liquidity Needs: Empirical Study based on Funds Transfer Data.” Bank of Japan Working Paper Series.TsuchiyaSaiki2013“The Effects of Settlement Methods on Liquidity Needs: Empirical Study based on Funds Transfer Data.”Bank of Japan Working Paper Series10.21314/JFMI.2013.018Search in Google Scholar

Zhang, Nellie. 2012. “Estimating the Demand for Settlement Balances in the Canadian Large Value Transfer System.” Bank of Canada Working Paper No. 2012–15.ZhangNellie2012“Estimating the Demand for Settlement Balances in the Canadian Large Value Transfer System.”Bank of Canada Working Paper No. 2012–15Search in Google Scholar