Application: Coupled Payment Systems

Modern economies depend on efficient and reliable financial markets. Critical to the smooth functioning of these markets are a set of trading, payment, clearing and settlement infrastructures. Financial infrastructures are formed by a large number of technological and institutional components that interact within complex networks. Congestion in a payment system is both a cause and a consequence of reduced transfer capacity

We conducted a series of analyses with the goal of understanding how congestion arising from this stress is influenced by two control parameters: the global liquidity level and the conductance of a global liquidity market.

Background

Publications

• Congestion and Cascades in Interdependent Payment Systems, Fabian Renault, Walter E. Beyeler, Robert J. Glass, Kimmo Soramaki, and Morten L. Bech, March 2009 (2009-2175J)

• Performance and resilience to liquidity disruptions in interdependent RTGS payment systems, Fabien Renault, Walter E. Beyeler, Kimmo Soramäki, Robert J. Glass and Morten L. Bech, Joint Banque de France / European Central Bank conference Liquidity in interdependent transfer systems, Paris, June 2008

• Congestion and Cascades in Coupled Payment Systems (2007)

• The Payments System and the Market for Interbank Funds, Morten L. Bech, Walter E. Beyeler, Robert J. Glass, and Kimmo Soramäki, Part 4 in New Directions for Understanding Systemic Risk, Economic Policy Review, Federal Reserve Bank of New York, 2007.

• New Approaches for Payment System Simulation Research (2007)

• Congestion and Cascades in Payment Systems, Walter E. Beyeler, Robert J. Glass, Morten Bech and Kimmo Soramäki, Physica A, 15 Oct. 2007; v.384, no.2, p.693-718, accepted May 2007. (2007-7271),

• Congestion and Cascades in Coupled Payment Systems, Walt Beyeler, Kimmo Soramäki, Morten L. Bech, Robert J. Glass, 5th Payment and Settlement Simulation Seminar and Workshop, Helsinki, Finland, August 2007

• The Topology of Interbank Payment Flows, Kimmo Soramaki, Morten L. Bech, Jeffrey Arnold, Robert J. Glass, Walter E. Beyeler, Physica A: Statistical Mechanics and Its Applications, June 2007; vol.379, no.1, p.317-33.

• Congestion and Cascades in Payment Systems, Walt Beyeler, Kimmo Soramäki, Morten L. Bech, Robert J. Glass, 4th Payment and Settlement Simulation Seminar and Workshop, Helsinki, Finland, 2006

• Congestion and Cascades in Payment Systems, Walter E. Beyeler, Robert J. Glass, Morten L. Bech, Kimmo Soramaki, Federal Reserve Bank of New York Staff report, September 2006

• The Topology of Interbank Payment Flows (2006-1984 J), Soramäki, K, ML Bech, J Arnold, RJ Glass, and WE Beyeler, Federal Reserve Bank of New York Staff Reports, no. 243, March 2006

• Network Topology and Payment System Resilience - first results, K Soramaki, WE Beyeler, ML Bech, RJ Glass (BoF 2006)

• Network relationships and network models in payment systems, K Soramaki, ML Bech, J Arnold, WE Beyeler, RJ Glass (BoF 2005 P)

• Modeling Banks' Payment Submittal Decisions, WE Beyeler, K Soramaki, ML Bech, RJ Glass, 3rd Payment and Settlement Simulation Seminar and Workshop, Helsinki, Finland, 2005 (2005-4915C) (presentation)