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Intraday liquidity around the world

Author

Listed:
  • Biliana Alexandrova Kabadjova
  • Anton Badev
  • Saulo Benchimol Bastos
  • Evangelos Benos
  • Freddy Cepeda- Lopéz
  • James Chapman
  • Martin Diehl
  • Ioana Duca-Radu
  • Rodney Garratt
  • Ronald Heijmans
  • Anneke Kosse
  • Antoine Martin
  • Thomas Nellen
  • Thomas Nilsson
  • Jan Paulick
  • Andrei Pustelnikov
  • Antoine Francisco Rivadeneyra
  • Mario Rubem do Coutto Bastos
  • Sara Testi

Abstract

We study intraday liquidity usage and its determinants using a unique cross-country data set on large-value payments. We document that the amount of intraday liquidity that financial institutions around the world use each day equals, on average, 15% of their total daily payment values or 2.8% of their countries' GDP. We then define and calculate system-level measures of liquidity efficiency and inequality in liquidity provision. We show that these measures vary systematically with the degree of payment coordination among payment system participants, the quantity and opportunity cost of central bank reserves and institutional characteristics, such as incentives for early payment submission and liquidity saving mechanism (LSM) design. Our results are consistent with the notion that payment system participants behave strategically and manage intraday liquidity actively. Participants also appear to condition their payment behaviour on specific LSM characteristics, which may weaken some of the LSMs' intended effects.

Suggested Citation

  • Biliana Alexandrova Kabadjova & Anton Badev & Saulo Benchimol Bastos & Evangelos Benos & Freddy Cepeda- Lopéz & James Chapman & Martin Diehl & Ioana Duca-Radu & Rodney Garratt & Ronald Heijmans & Anne, 2023. "Intraday liquidity around the world," BIS Working Papers 1089, Bank for International Settlements.
    • Handle: RePEc:bis:biswps:1089
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    References listed on IDEAS

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    Cited by:

    1. Ajit Desai & Jacob Sharples & Anneke Kosse, 2024. "Finding a needle in a haystack: a machine learning framework for anomaly detection in payment systems," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Granular data: new horizons and challenges, volume 61, Bank for International Settlements.

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    More about this item

    Keywords

    large-value payment systems; liquidity; LSM; financial markets;
    All these keywords.

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • E42 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Monetary Sytsems; Standards; Regimes; Government and the Monetary System
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • N2 - Economic History - - Financial Markets and Institutions

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