Exploring Agent-Based Methods for the Analysis of Payment Systems: A Crisis Model for StarLogo TNG

Autor: Claudia Biancotti, Luca Arciero, Claudio Impenna, Leandro D'Aurizio
Rok vydání: 2008
Předmět:
Money market
Actuarial science
jel:C63
business.industry
media_common.quotation_subject
Payment system
Liquidity crisis
jel:E47
Payment
jel:G21
Market liquidity
Microeconomics
Agent-Based Modeling
Payment Systems
RTGS
Liquidity
Crisis Simulation

Open market operation
This paper presents an exploratory agent-based model of a real time gross settlement (RTGS) payment system. Banks are represented as agents who exchange payment requests
which are settled according to a set of simple rules. The model features the main elements of a real-life system
including a central bank acting as liquidity provider
and a simplified money market. A simulation exercise using synthetic data of BI-REL (the Italian RTGS) predicts the macroscopic impact of a disruptive event on the flow of interbank payments. The main advantage of agent - based modeling is that we can dynamically see what happens to the major variables involved. In our reduced-scale system
three hypothetical distinct phases emerge after the disruptive event: 1) a liquidity sink effect is generated and the participants� liquidity expectations turn out to be excessive

2) an illusory thickening of the money market follows
along with increased payment delays

and
finally 3) defaulted obligations dramatically rise. The banks cannot staunch the losses accruing on defaults
even after they become fully aware of the critical event
and a scenario emerges in which it might be necessary for the central bank to step in as liquidity provider. The methodology presented differs from traditional payment systems simulations featuring deterministic streams of payments dealt with in a centralized manner with static behavior on the part of banks. The paper is within a recent stream of empirical research that attempts to model RTGS with agent � based techniques. [agent-based modeling
payment systems
RTGS
liquidity
crisis simulation Abstract]

Economics
business
computer
Real-time gross settlement
media_common
StarLogo
computer.programming_language
Zdroj: SSRN Electronic Journal.
ISSN: 1556-5068
DOI: 10.2139/ssrn.1290520
Popis: This paper presents an exploratory agent-based model of a real time gross settlement (RTGS) payment system. Banks are represented as agents who exchange payment requests, which are settled according to a set of simple rules. The model features the main elements of a real-life system, including a central bank acting as liquidity provider, and a simplified money market. A simulation exercise using synthetic data of BI-REL (the Italian RTGS) predicts the macroscopic impact of a disruptive event on the flow of interbank payments. The main advantage of agent-based modeling is that we can dynamically see what happens to the major variables involved. In our reduced-scale system, three hypothetical distinct phases emerge after the disruptive event: 1) a liquidity sink effect is generated and the participants' liquidity expectations turn out to be excessive; 2) an illusory thickening of the money market follows, along with increased payment delays; and, finally 3) defaulted obligations dramatically rise. The banks cannot staunch the losses accruing on defaults, even after they become fully aware of the critical event, and a scenario emerges in which it might be necessary for the central bank to step in as liquidity provider. The methodology presented differs from traditional payment systems simulations featuring deterministic streams of payments dealt with in a centralized manner with static behavior on the part of banks. The paper is within a recent stream of empirical research that attempts to model RTGS with agent-based techniques.
Databáze: OpenAIRE
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