Which bank is the “central” bank?

Liquidity flows through a financial network cannot be accurately described using external processing constraints alone. Behavioral aspects of participants also matter. A method similar to Google's PageRank procedure is used to produce a ranking of participants in the Canadian Large Value Transf...

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Bibliographic Details
Published inJournal of monetary economics Vol. 57; no. 3; pp. 352 - 363
Main Authors Bech, Morten L., Chapman, James T.E., Garratt, Rodney J.
Format Journal Article
LanguageEnglish
Published Amsterdam Elsevier B.V 01.04.2010
Elsevier
Elsevier Sequoia S.A
SeriesJournal of Monetary Economics
Subjects
Bank liquidity
Banking system
Canada
Central banks
Economic networks
Liquidity
Markov analysis
Networks
Parameter estimation
Payment systems
Payment systems Networks Liquidity
Studies
Transmission mechanism
Wire transfer
Canada
Liquidity
Networks
E50
C11
Payment systems
G20
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Summary:Liquidity flows through a financial network cannot be accurately described using external processing constraints alone. Behavioral aspects of participants also matter. A method similar to Google's PageRank procedure is used to produce a ranking of participants in the Canadian Large Value Transfer System in terms of their daily liquidity holdings. Accounting for differences in banks’ processing speeds is essential for explaining why observed distributions of liquidity differ from the initial distributions, which are determined by the credit limits selected by banks. Delay tendencies of banks are unobservable in the data and are estimated using a Markov model.
Bibliography:ObjectType-Article-2
SourceType-Scholarly Journals-1
ObjectType-Feature-1
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ISSN:0304-3932
1873-1295
DOI:10.1016/j.jmoneco.2010.01.002