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faculty: "FEB" and publication year: "2012"
| Authors||K. Abbink, R. Bosman, R. Heijmans, F. van Winden|
|Title||Disruptions in large value payment systems: An experimental approach|
|Book/source title||Diagnostics for the financial markets: computational studies of payment system; simulator seminar proceedings 2009-2011|
|Authors/Editors||M. Hellqvist, T. Laine|
|Publisher||Bank of Finland|
|Faculty||Faculty of Economics and Business|
|Institute/dept.||FEB: Amsterdam School of Economics Research Institute (ASE-RI)|
|Abstract||This experimental study investigates the behaviour of banks in a large value payment system. More specifically, we look at 1) the reactions of banks to disruptions in the payment system, 2) the way in which the history of disruptions affects the behaviour of banks (path dependency) and 3) the effect of more concentration in the payment system (heterogeneous market versus a homogeneous market). The game used in this experiment is a stylized version of a model of Bech and Garratt (2006) in which each bank can choose between paying in the morning (efficient) or in the afternoon (inefficient). The results show that there is significant path dependency in terms of disruption history. Also the chance of disruption influences the behaviour of the participants. Once the system is moving towards the inefficient equilibrium, it does not easily move back to the efficient one. Furthermore, there is a clear leadership effect in the heterogeneous market.|
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