چکیده:
In this study a simulation analysis is applied to address the change in banks liquidity demand due to a shift in settlement method brought about by adopting Real Time Gross Settlement System. At the first stage of this research, we use a data generator model along with some information on the time distribution of coded cheques over a working day in order to produce intraday flow of payments. Then the output is fed to the Bank of Finland Payment Settlement Simulator (BoF-PSS) to estimate banks intraday liquidity needs in Satna. The results indicate the movement towards a real time gross-settlement system increases the liquidity demand of Iranian banks in payment system by about 66 percent.
خلاصه ماشینی:
"At the first stage of this research, we use a data generator model along with some information on the time distribution of coded cheques over a working day in order to produce intraday flow of payments.
For example Leinonen and Soramäki (1999) used a simulation analysis to examine different hybrid systems that combine the advantages of netting in multilateral or bilateral form with real time settlement processing.
However, as the data on actually submitted payments was not available at the time of conducting this research and considering the main objective of this study, we adopted the Bank of Finland approach.
Now if we consider the whole time span of our analysis as T and t is denoted as a specific period during T, the Lower Bound (LB) of liquidity demand of bank I can be calculated by: (رجوع شود به تصویر صفحه) In other words, the lower bound of a bank in SATNA is the net received payments of that bank in the payment system at the end of the day.
This is indeed the Upper Bound (UB) of the liquidity demand i t i i (رجوع شود به تصویر صفحه) The relationship between liquidity needs and settlement delay in different payment settlement systems is analyzed in this study within the framework depicted in Figure 1.
For each bank total value of daily transactions, intraday distribution of payments and its share in the total payments are inputs and the simulator converts the net data to an intraday flow of payments so as it was produced by a gross settlement systems."
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