Real-Time Identification and High-Frequency Analysis of Deposits Outflows
提出基于控制图的方法，利用支付系统数据实时识别存款突然外流，并用意大利银行TARGET2交易数据验证，发现银行压力事件及零售、批发、央行融资之间的新互动。
Abstract 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.