Efficient pricing of large value interbank payment systems

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WORKING PAPER NO. 184

EFFICIENT PRICING OF

LARGE VALUE INTERBANK

PAYMENT SYSTEMS

BY CORNELIA HOLTHAUSEN

AND JEAN-CHARLES ROCHET

October 2002

E U R O P E A N C E N T R A L B A N K

WORKING PAPER SERIES

CORE Metadata, citation and similar papers at core.ac.uk

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WORKING PAPER NO. 184

EFFICIENT PRICING OF

LARGE VALUE INTERBANK

PAYMENT SYSTEMS

1

BY CORNELIA HOLTHAUSEN

2

AND JEAN-CHARLES ROCHET

3

October 2002

1 We are grateful to Charles Goodhart, Diana Hancock, Tom Kokkola, Jamie McAndrews, Dieter Reichwein, Juha Tarkka, and seminar participants at Toulouse University, the Bank of England, the European Central Bank, the Danish National Bank, the Finnish Central Bank,

E U R O P E A N C E N T R A L B A N K

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Address Kaiserstrasse 29

D-60311 Frankfurt am Main Germany

Postal address Postfach 16 03 19

D-60066 Frankfurt am Main Germany Telephone +49 69 1344 0 Internet http://www.ecb.int Fax +49 69 1344 6000 Telex 411 144 ecb d

Reproduction for educational and non-commercial purposes is permitted provided that the source is acknowledged. The views expressed in this paper do not necessarily reflect those of the European Central Bank.

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(23)

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(24)

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Efficient pricing of large value interbank payment systems

WORKING PAPER NO. 184

EFFICIENT PRICING OF

LARGE VALUE INTERBANK

PAYMENT SYSTEMS

BY CORNELIA HOLTHAUSEN

AND JEAN-CHARLES ROCHET

October 2002

WORKING PAPER SERIES

WORKING PAPER NO. 184

EFFICIENT PRICING OF

LARGE VALUE INTERBANK

PAYMENT SYSTEMS

BY CORNELIA HOLTHAUSEN

AND JEAN-CHARLES ROCHET

October 2002

Contents

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