The Welfare Effects of a Liquidity-Saving Mechanism
This paper considers the welfare effect of introducing a liquidity-saving mechanism (LSM) in a real-time gross settlement (RTGS) payment system. We study the planner's problem to get a better understanding of the economic role of an LSM and find that an LSM can achieve the planner's allocation for some parameter values. The planner's allocation cannot happen without an LSM, as long as some payments can be delayed without cost. We show that, in equilibrium with an LSM, there can be either too few or too many payments settled early compared with the planner's allocation, depending on the parameter values. Using Fedwire data to calibrate our model, we describe the equilibrium that would arise with an LSM and compare welfare with and without an LSM. Our results suggest that introducing an LSM could have significant benefits.
Liquidity-saving mechanisms in collateral-based RTGS payment systems
This paper studies banks’ incentives regarding the timing of payment submissions in a collateral-based RTGS payment system and how these incentives change with the introduction of a liquidity-saving mechanism (LSM). We show that an LSM allows banks to economise on collateral while also providing incentives to submit payments earlier. This is because in our model an LSM allows payments to be matched and offset in real time without any or very minimal funds. Under a collateral-based RTGS payment system, introduction of the LSM always improves welfare. The result contrasts with earlier work, which shows that under a fee-based RTGS system, the introduction of an LSM in some circumstances may reduce welfare.
Mechanics of deformable directed surfaces
Abstract The paper develops a simple, yet complete and consistent non-linear dynamic thermo-elastic shell theory based on the concepts of a two-dimensional directed continuum. The constitutive equations are postulated in a general form. Stress-strain relations are derived using the equation of energy balance and the two entropy production inequalities, which are rewritten in a special form. The linear theory is discussed in detail. The structure of the stress-strain relations is presented in the most general form and then specialized to concrete examples, in particular, to the classical shell theory, using their invariance properties with respective to certain symmetry groups. The elastic moduli are determined by demanding the coincidence of the frequency dispersion surfaces obtained using the two-dimensional theory with the lowest foils of the corresponding surfaces resulting from the three-dimensional theory of elasticity.