Home   >   CSC-OpenAccess Library   >    Manuscript Information
Full Text Available

(407.22KB)
This is an Open Access publication published under CSC-OpenAccess Policy.
Publications from CSC-OpenAccess Library are being accessed from over 74 countries worldwide.
Spontaneous Congestion Process in Inter-bank Payment System
Chen Ji, Miao Shiguo, Chen Taiyang, Wang Daoping
Pages - 32 - 41     |    Revised - 05-04-2013     |    Published - 30-04-2013
Volume - 4   Issue - 1    |    Publication Date - April 2013  Table of Contents
MORE INFORMATION
KEYWORDS
Swarm Intelligence, Systemic Congestion, Payment Crisis, Non-homogeneous Poisson Process
ABSTRACT
With the highly development of information technology, the more efficient inter-bank payment system is required by modern financial system. This paper analyzes the spontaneous process of congestion in inter-bank payment system through creating multi-agents model between banks and customers. The simulation result indicates that the systemic liquidity congestion of inter-bank payment system is affected seriously by the demand of inter-bank payment. We find that the scale of bank system plays an important role on relieving the systemic payment pressure. On the other hand, the scale of bank system has a positive relationship with the probability of payment crisis occurrence, because the larger scale of the bank, the more pressure it takes in payment system.
1 Google Scholar 
2 CiteSeerX 
3 refSeek 
4 Scribd 
5 SlideShare 
6 PdfSR 
1 M. Andrews, J. James, M.P. Simon, “Liquidity Effects of the Events of September 11, 2000.”Federal Reserve Bank of New York Economic Policy Review, vol. 8, no.2, pp.59-79, 2002.
2 European Central Bank. TARGET annual report 2005. Frankfurt am Main, 2006, pp.1725-4876.
3 The people’s bank of China. China payment system development report. Beijing:China financial publishing house, 2010, pp.39-40.
4 B. Morten, K. Soramäki, “Gridlock resolution and bank failures in interbank payment systems.”TARGET annual report 2005, pp.149-177, 2006.
5 H. Leinonen, “Liquidity, risks, and speed in payment and settlement systems: a simulation approach.” Bank of Finland Studies, 2005.
6 W. E. Beyeler, R. Glass, R. Bech, M. S, K. Soramäki, “Congestion and Cascades in payment systems.” Federal Reserve Bank of New York Staff Reports, No.259, 2006.
7 K. Soramäki, K. Morten, L. Arnold, J. Glass, R. Beyeler, “The topology of interbank payment flows.” Physica A., vol.379, pp. 317-333, 2007
8 H. Inaoka, T. Ninomiya, K. Taniguchi, T. Shimizu, H. Takayasu, “Fractal Network derived from banking transaction-An analysis of network structures formed by financial institutions.” Bank of Japan Working papers, 2004, No. 04-E-04.
9 P. Bak., C. Tang, K. Wiesenfeld, “Self-organized criticality: an explanation of 1/f noise.”Physical Review Letters, vol.59, pp.381-384, 1987.
10 R. Axtell, “Zipf distribution of U.S. firm sizes.” Science, vol.293, pp.1818-1820, 2001.
Dr. Chen Ji
The people's bank of China - China
cnchenji@gmail.com
Miss Miao Shiguo
Financial Research Division The people’s bank of China, - China
Mr. Chen Taiyang
Accounting and Finance Division The people’s bank of China - China
Mr. Wang Daoping
Finance Department Nankai University - China