An agent-based model of payment systems

Authored by Marco Galbiati, Kimmo Soramaki

Date Published: 2011-06

DOI: 10.1016/j.jedc.2010.11.001

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Model Documentation: Other Narrative

Model Code URLs: Model code not found

Abstract

We lay out and simulate a multi-agent, multi-period model of an RTGS payment system. At the beginning of the day, banks choose how much costly liquidity to allocate to the settlement process. Then, they use it to execute an exogenous, random stream of payment orders. If a bank's liquidity stock is depleted, payments are queued until new liquidity arrives from other banks, imposing costs on the delaying bank. We study the equilibrium level of liquidity posted in the system, performing some comparative statics and obtaining insights on the efficiency of alternative system configurations. Crown Copyright (C) 2010 Published by Elsevier B.V. All rights reserved.

Tags

Agent-based modelling Liquidity Payment systems RTGS Learning Fictitious play