Illiquidity in the Interbank Payment System Following Wide‐Scale Disruptions
研究了大规模中断（如9·11袭击）如何导致银行间支付系统流动性枯竭，分析运营问题和参与者行为变化的作用，并指出中央银行的干预可能必要。
We show how the interbank payment system can become illiquid following wide‐scale disruptions. Two forces are at play in such disruptions—operational problems and changes in participants’ behavior. If the disruption is large enough, hits a key geographic area, or hits a “too‐big‐to‐fail” participant, then the smooth processing of payments can break down, and central bank intervention might be required to reestablish the socially efficient equilibrium. The paper provides a theoretical framework to analyze the effects of events such as the September 11 attack. In addition, the model can be reinterpreted to analyze shocks to fundamentals that affect the parameters of the intraday liquidity management game. We demonstrate this by showing how processing behavior changed in response to heightened credit risk at the time of the Lehman Brothers failure.