An assessment of systemic and gridlock risks in the Australian payments system

Wang, G

An assessment of systemic and gridlock risks in the Australian payments system

Wang, G

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Publication Type:: Thesis
Issue Date:: 2005

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Field	Value	Language
dc.contributor.author	Wang, G
dc.date.accessioned	2015-10-12T23:37:16Z
dc.date.available	2015-10-12T23:37:16Z
dc.date.issued	2005
dc.identifier.uri	http://hdl.handle.net/10453/37471
dc.description	University of Technology, Sydney. Faculty of Business.	en_US
dc.description	NO FULL TEXT AVAILABLE. Access is restricted indefinitely. The hardcopy may be available for consultation at the UTS Library.
dc.description.abstract	NO FULL TEXT AVAILABLE. Access is restricted indefinitely. ----- Contemporary payments systems in most countries are based on either the deferred netting settlement (DNS) system or the real time gross settlement (RTGS) system but the debate on the pros and cons of these systems continues. The most significant risk in the DNS system is systemic risk while its peer in the RTGS system is the gridlock risk. In order to assess these risks in the Australian payments system, we set up models of the payments system and conducted simulations of its performance as both the DNS system for retail settlements and the RTGS system for large value (wholesale) settlements. The simulations showed that the operation of the Australian RTGS system since 1998 has reduced the intrinsic systemic risk to an unobservable level. Gridlock risk exists in the RTGS system so the system cannot operate smoothly without current liquidity support arrangements from the central bank. We also tested the effectiveness of four possible levels of central bank intervention in case of liquidity crisis. Among them, the intra-day repurchase agreement is the best safeguard against failure of the system. We suggest upgrading the RTGS system to enhance its stability and efficiency. In addition, risk in the DNS and RTGS systems suggests a careful review or supervision of a number of banks that were frequently knocked down in the simulations.	en_US
dc.format	Thesis (M Bus)	en_US
dc.language.iso	en	en_US
dc.rights	info:eu-repo/semantics/closedAccess
dc.rights	The author owns the copyright in this thesis including all reproduction and reuse rights for the work. The work may not be altered without the permission of the copyright owner. Attribution is essential when quoting or paraphrasing from this thesis.
dc.title	An assessment of systemic and gridlock risks in the Australian payments system	en_US
dc.type	Thesis
utslib.copyright.status	closed_access

Abstract:

NO FULL TEXT AVAILABLE. Access is restricted indefinitely. ----- Contemporary payments systems in most countries are based on either the deferred netting settlement (DNS) system or the real time gross settlement (RTGS) system but the debate on the pros and cons of these systems continues. The most significant risk in the DNS system is systemic risk while its peer in the RTGS system is the gridlock risk. In order to assess these risks in the Australian payments system, we set up models of the payments system and conducted simulations of its performance as both the DNS system for retail settlements and the RTGS system for large value (wholesale) settlements. The simulations showed that the operation of the Australian RTGS system since 1998 has reduced the intrinsic systemic risk to an unobservable level. Gridlock risk exists in the RTGS system so the system cannot operate smoothly without current liquidity support arrangements from the central bank. We also tested the effectiveness of four possible levels of central bank intervention in case of liquidity crisis. Among them, the intra-day repurchase agreement is the best safeguard against failure of the system. We suggest upgrading the RTGS system to enhance its stability and efficiency. In addition, risk in the DNS and RTGS systems suggests a careful review or supervision of a number of banks that were frequently knocked down in the simulations.

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http://hdl.handle.net/10453/37471