Intraday liquidity facilities, late settlement fee and coordination

摘要

This paper analyses the intraday liquidity management game played in large-value payment systems accounting for a variable and a fixed cost of liquidity. While the liquidity cost is a decisive factor for settlement behaviour, the availability of intraday liquidity until end-of-day matters too, as it mutes late settlement incentives originating from settlement risk. Whether liquidity is provided via overdraft or intraday credit hardly matters. A late settlement fee can both disincentivise settlement coordination or implement early settlement. Its calibration is usually non-trivial with the major exception of a fixed cost and end-of-day availability of intraday liquidity. (C) 2019 Elsevier B.V. All rights reserved.