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Real-Time Identification and High-Frequency Analysis of Deposits Outflows

Author

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  • Edoardo Rainone

Abstract

We propose a method based on control charts to identify in real-time sudden deposits outflows through the payment system. The performance of the methodology is assessed with both Monte Carlo simulations and real transaction-level TARGET2 data for a large sample of Italian banks. We identify a set of idiosyncratic bank stress episodes. Using high-frequency payment system data, we provide new evidences on the interaction between retail, wholesale, and central bank funding in the post global financial crisis period.

Suggested Citation

  • Edoardo Rainone, 2024. "Real-Time Identification and High-Frequency Analysis of Deposits Outflows," Journal of Financial Econometrics, Oxford University Press, vol. 22(4), pages 868-907.
    • Handle: RePEc:oup:jfinec:v:22:y:2024:i:4:p:868-907.
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    File URL: http://hdl.handle.net/10.1093/jjfinec/nbad012
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    Cited by:

    1. Marco Cipriani & Thomas M. Eisenbach & Anna Kovner, 2024. "Tracing Bank Runs in Real Time," Working Paper 24-10, Federal Reserve Bank of Richmond.

    More about this item

    Keywords

    bank runs; control charts; digital economy; financial stability; interbank networks; money; payment systems;
    All these keywords.

    JEL classification:

    • E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General
    • E40 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - General
    • G01 - Financial Economics - - General - - - Financial Crises
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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