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Implementation Aspects of Indicators Related to Payments Timing

Implementation Aspects of Indicators Related to Payments Timing
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Author(s): Alexandros Kaliontzoglou (Bank of Greece, Greece) and Alexander Pascal Müller (Deutsche Bundesbank, Germany)
Copyright: 2016
Pages: 22
Source title: Analyzing the Economics of Financial Market Infrastructures
Source Author(s)/Editor(s): Martin Diehl (Deutsche Bundesbank, Germany), Biliana Alexandrova-Kabadjova (Banco de México, Mexico), Richard Heuver (De Nederlandsche Bank, The Netherlands) and Serafín Martínez-Jaramillo (Banco de México, Mexico)
DOI: 10.4018/978-1-4666-8745-5.ch009

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Abstract

Timing analysis in an RTGS payment system offers input to operators, overseers and supervisors about the behavior of the system or individual participants. Timing related indicators can be used as a monitoring tool to identify liquidity circulation problems. Study of the behavior of participants may help identify changes due to business practices shifts, reactions to unexpected events or even to various types of stress. Furthermore, the indicators can be used in simulation studies, where the impact to timing of different levels of induced stress to a system or changes of its institutional features may be measured and compared. This chapter explores the experiences and challenges while setting up and evaluating two payments timing indicators for the European RTGS TARGET2. The indicators are the “value weighted average settlement time” as well as a form of payments “delay” indicator. The goal is to present specific aspects of a methodological framework for implementing such indicators, for possible replication based on granular transaction level data of other RTGS payment systems.

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