@article{Non-Neutrality:1218,
      recid = {1218},
      author = {O'Connor, Sean and Chapman, James and Millar, Kirby},
      title = {Liquidity Efficiency and Distribution in the LVTS:  Non-Neutrality of System Changes under Network Asymmetry},
      publisher = {Bank of Canada},
      address = {2008},
      pages = {1 online resource (vi, 40 pages)},
      abstract = {The authors consider the liquidity efficiency of Tranche 2  of the Large Value Transfer System (LVTS T2) by examining,  through an empirical analysis, some plausible strategic  reactions of individual participants to a systemwide shock  to available liquidity in the system. The network structure  of the LVTS T2 is found to be asymmetric in terms of the  patterns of out-payment flows. It is composed of three  subgroups, in which participants within a subgroup are more  strongly linked with each other than with participants in  other subgroups. Three possible network equilibria are  proposed. The equilibria are defined in terms of  participant-specific collateral needs and out-payment  delays, and result from different relative cost structures  involving collateral costs, queuing costs, and payment  delay penalties. Each of the conjectural equilibria relate  to a dominant strategy for at least those participants most  central in the network with respect to liquidity transfer  adopted network-wide as a common strategy.},
      url = {http://www.oar-rao.bank-banque-canada.ca/record/1218},
      doi = {https://doi.org/10.34989/sdp-2008-11},
}