nr 074 - Molling Inter- and Intraday Payment Flows

DNB Working Papers
Publicatiedatum 25 december 2005

In this paper we examine the interday and intraday time pattern of Dutch banks’ payments and which events, institutional and financial variables influence these payment flows. The payment patterns are analyzed using data from the Dutch TOP system. In this paper it is shown that announcements of the ECB concerning interest rates have no effect on the inter- and intraday pattern of the payments. On the last day of the reserve maintenance period we find an increase in the value of payments. The settlement’s days of the interest rate tenders have a positive effect on the value of payments, while the announcement and allotment of interest rate tenders have no effect on the interday pattern. During US banking holidays there is a sharp decrease in the total value, number and average value of the payments. The day before and after a US banking holiday there is an increase in the value and number of payments. These effects of a US banking holiday are especially measurable in the mornings. During holidays in the Netherlands the number and value of transactions decrease. The main result for our intraday data is that banks tend to settle their payments more and more in the same time interval. JEL codes: E58, G21. Keywords: large value payment system