2023-04-26-国际清算银行-世界各地的日内流动性（英）_38页_1mb

报告摘要

Intraday Liquidity Around the World: Summary

The report analyzes intraday liquidity usage in large-value payment systems (LVPSs) across nine jurisdictions from 2006 to 2020, using granular payment data. Key findings:

Magnitude: On average, intraday liquidity used daily (15% of total daily payment volume or ~2.8% of GDP) is economically significant. Examples include:
- Fedwire (US): Avg. $630B liquidity used per day.
- TARGET2 (Euro): Avg. $443B.
Efficiency and Inequality:
- Efficiency (ratio of payment value to liquidity used) varies across systems (e.g., UK >6, Brazil 5.36–10.65). Key drivers:
  - Higher liquidity efficiency correlated with greater payment coordination (Tdiff).
  - Central bank reserve balances negatively affect coordination, reducing efficiency.
  - Early payment incentives increase liquidity efficiency through better coordination.
  - Multilateral offsetting in LSMs increases coordination, raising efficiency.
- Inequality (GINI coefficient): Measures distribution of liquidity usage. Factors:
  - Higher IBOR reduces inequality by decreasing reliance on few liquidity providers.
  - More reserves reduce inequality; LSM features may increase it (priority setting).
Strategic Participant Behavior:
- Participants actively manage liquidity, influenced by:
  - Reserves: High reserves reduce incentives to coordinate, increasing dispersion but may lower inequality.
  - Opportunity Cost (IBOR): Rising costs lead to payment delays and higher dispersion.
  - Incentives: Early payment incentives increased coordination and efficiency.
  - LSM Features:
    - FIFO bypass reduces coordination and efficiency.
    - Multilateral offsetting increases coordination and efficiency.
    - Priority setting may worsen efficiency by disrupting optimal offsetting.
Policy Implications:
- Central banks’ liquidity interventions (e.g., QE) influenced participant behavior. Excess liquidity reduced the need for liquidity management.
- LS 将 (note: typo in original) must be carefully designed to balance efficiency and strategic complements among participants.

The study is the first systematic empirical analysis of intraday liquidity across multiple jurisdictions, highlighting the interplay between institutional arrangements, central bank policies, and participant behavior.

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