A duality theory of payment systems ¬リニ

  • Rodrigo Peñaloza
  • Published 2016


We model the Central Bank’s management of intraday liquidity in modern real-time gross settlement systems as a linear programming problem parameterized by different intraday monetary policies, such as reserve requirements, net debit caps and Lombard loans. We then use duality theory to determine the shadow-prices of constraints of each bank. These shadow… (More)


Cite this paper

@inproceedings{Pealoza2016ADT, title={A duality theory of payment systems ¬リニ}, author={Rodrigo Pe{\~n}aloza}, year={2016} }