Payment instruments and collateral in the interbank payment system

    研究成果: Article

    抄録

    This paper presents a three-period model to analyze why banks need bank reserves despite the presence of other liquid assets, such as Treasury securities. The model shows that if a pair of banks settle bank transfers between them without the central bank, a hold-up problem occurs when they bargain over the terms of settlement. This result stems from the confidentiality of bank-transfer requests, which makes it necessary for a depositor to retain an outside option to withdraw cash to enforce a bank-transfer request in a deposit contract. In light of this result, the large value payment system operated by the central bank can be regarded as an implicit interbank settlement contract to prevent a hold-up problem. In this contract, the central bank is characterized as the custodian of collateral. Bank reserves correspond to the balances of liquid collateral that banks submit to the central bank. This result can explain the rate-of-return dominance puzzle as well as why the central bank must replace liquid assets with bank reserves. The optimal implicit contract features a type of deferred net settlement in which the value of bank reserves transferred between banks is smaller than the net value of bank transfers to be settled.

    元の言語English
    ページ(範囲)82-104
    ページ数23
    ジャーナルJournal of Economic Theory
    178
    DOI
    出版物ステータスPublished - 2018 11 1

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    Payment system
    Payment instruments
    Central bank
    Bank reserves
    Assets
    Hold-up problem
    Implicit contracts
    Cash
    Confidentiality
    Outside options
    Rate of return
    Treasury securities
    Deposit contracts

    ASJC Scopus subject areas

    • Economics and Econometrics

    これを引用

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    KW - Bank reserves

    KW - Interbank money market

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    KW - Privacy

    KW - Rate-of-return dominance puzzle

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