Identifying Deposits' Outflows in Real-Time
68 Pages Posted: 16 Apr 2021
Date Written: February 15, 2021
We propose a method based on control charts to identify in real-time sudden deposits' outflows through payment systems. 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 and show that deposits are generally shifted to other banks, mainly large and domestic, generating a size premium; only a limited amount migrates to foreign banks. Under the fixed-rate, full allotment regime, the liquidity drain is mostly offset through open market operations.
Keywords: depositors' trust, interbank networks, payment systems, money, control charts, digital economy, financial stability
JEL Classification: E50, E40, G01, G10, G21
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