Contemporary issues in central banking.

摘要

This dissertation is composed of three essays. The first essay uses a game theoretical framework to analyze the intraday behavior of banks with respect to settlement of interbank claims in a real time gross settlement setting. It is shown that the game played by banks depends upon the intraday credit policy of the central bank and that it encompasses two well-known game theoretical paradigms: the prisoner's dilemma and the stag hunt. The former arises in a European style collateralized credit regime. The latter arises in a U.S. style priced credit, regime. Banks have an incentive to postpone payments when daylight liquidity is costly which, in general, is socially inefficient. However, in a priced credit regime postponement of payments can be socially efficient. The analysis initially assumes banks to be risk neutral, but show that most of the results are unaffected by the introduction of risk aversion.; The second essay analyses the severity of gridlocks in interbank payment systems operating on a real time basis and evaluates by means of simulations the merits of a gridlock resolution algorithm. Data used in the simulations consist of actual payments settled in the Danish and Finnish real time gross settlement systems. The algorithm is found to be applicable to a real time environment and effective in reducing queuing in the systems.; The third essay provides an assessment of the systemic risk inherent the Danish interbank netting system. Central banks have become increasingly worried about systemic risks to the financial market and infrastructure stemming from the payment system. Failure to settle by a participant in a netting system can potentially jeopardize the ability to settle of other participants. The fear of a systemic crisis has been one of the primary motivations for the introduction of real time gross settlement systems around the world. In accordance with similar empirical studies conducted in other European countries the risk is found to be low.