存款流出的实时识别与高频分析

IF 1.8 3区经济学 Q2 BUSINESS, FINANCE

Journal of Financial Econometrics Pub Date : 2023-05-18 DOI:10.1093/jjfinec/nbad012

Edoardo Rainone

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引用次数: 0

摘要

我们提出了一种基于控制图的方法来实时识别通过支付系统的突然存款流出。该方法的性能通过蒙特卡洛模拟和意大利银行大样本的真实交易水平TARGET2数据进行了评估。我们发现了一组特殊的银行压力事件。利用高频支付系统数据，我们为后全球金融危机时期零售、批发和央行融资之间的互动提供了新的证据。

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Real-Time Identification and High-Frequency Analysis of Deposits Outflows

We propose a method based on control charts to identify in real-time sudden deposits outflows through the payment system. The performance of the methodology is assessed with both Monte Carlo simulations and real transaction-level TARGET2 data for a large sample of Italian banks. We identify a set of idiosyncratic bank stress episodes. Using high-frequency payment system data, we provide new evidences on the interaction between retail, wholesale, and central bank funding in the post global financial crisis period.

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来源期刊

Journal of Financial Econometrics Multiple-

CiteScore

5.60

自引率

8.00%

发文量

期刊介绍： "The Journal of Financial Econometrics is well situated to become the premier journal in its field. It has started with an excellent first year and I expect many more."