A duality theory of payment systems ¬リニ

  • Rodrigo Peñaloza
  • Published 2016

Abstract

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)

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Cite this paper

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