Identifying Deposits' Outflows in Real-Time

68 Pages Posted: 16 Apr 2021

Date Written: February 15, 2021

Abstract

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

Suggested Citation

Rainone, Edoardo, Identifying Deposits' Outflows in Real-Time (February 15, 2021). Bank of Italy Temi di Discussione (Working Paper) No. 1319, Available at SSRN: https://ssrn.com/abstract=3827493 or http://dx.doi.org/10.2139/ssrn.3827493

Edoardo Rainone (Contact Author)

Bank of Italy ( email )

Via Nazionale 91
Rome, 00184
Italy

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