Liquidity Levels and Settlement Delays in the Sorbnet System-Simulation-Based Approach With the Application of the BOF-PSS2 Payment System Simulator

Financial Markets and Institutions, pp. 53-66, May 2007

14 Pages Posted: 18 Oct 2007

Abstract

The article is devoted to the liquidity analysis in the large volume payment system SORBNET run by the NBP. The research was conducted with the use of payment system simulator BOF-PSS2, developed by the Bank of Finland. The goal of the research was to determine the levels of the banks' liquidity necessary to carry out the settlement and the effects of decreasing the liquidity on the settlement delay. The research was based on the data for April 2006. The results of the simulations showed that banks could maintain much lower levels of liquidity for the purpose of settlement in the payment system. Liquidity lower than opening balances on the banks' current account kept at the central bank would be sufficient for settlement in each of the operational days without any disruptions.

Note: Downloadable document is in Polish.

Keywords: payment system, liquidity, settlement delays, payment system simulator

JEL Classification: G21, E47

Suggested Citation

Grat-Osinska, Agnieszka and Pawliszyn, Miroslaw, Liquidity Levels and Settlement Delays in the Sorbnet System-Simulation-Based Approach With the Application of the BOF-PSS2 Payment System Simulator. Financial Markets and Institutions, pp. 53-66, May 2007, Available at SSRN: https://ssrn.com/abstract=1022518

Agnieszka Grat-Osinska (Contact Author)

National Bank of Poland ( email )

00-919 Warsaw
Poland

Miroslaw Pawliszyn

National Bank of Poland ( email )

00-919 Warsaw
Poland

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