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Current trends in payment systems: A microstructure approach’, paper given at a Bank of England conference on ‘The future of payments’, May 19 and 20 (2005)
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BibTeX
@MISC{Mcandrews05currenttrends,
author = {James Mcandrews},
title = {Current trends in payment systems: A microstructure approach’, paper given at a Bank of England conference on ‘The future of payments’, May 19 and 20},
year = {2005}
}
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Abstract
Payment systems have many similarities to trading platforms for financial assets. The financial asset that is traded using payment systems is money. A market microstructure approach to the study of payment systems yields new insights into their structure and roles. Most important, studying the market microstructure of payment systems clarifies their role in the money market. Large-value payment systems form the institutional trading platform for the overnight money market. An empirical approach to price formation in a dealer market is used to test whether inventory effects are present in the market. Only weak inventory effects are found in the U.S. federal funds markets during the time of heaviest trading in federal funds. Significant calendar date effects, reserve-maintenance period effects, and effects related to changes in the federal funds target rates are found. Discussion of the microstructure approach to payments and money markets suggests ways to interpret current trends in the design of payment systems. 2
Keyphrases
payment system current trend microstructure approach england conference financial asset money market market microstructure trading platform overnight money market u.s. federal fund market weak inventory effect large-value payment system institutional trading platform market microstructure approach inventory effect new insight significant calendar date effect empirical approach price formation dealer market federal fund target rate federal fund reserve-maintenance period effect many similarity
