An Application of Shapley Value Cost Allocation to Liquidity Savings Mechanisms

B-Tier
Journal: Journal of Money, Credit, and Banking
Year: 2022
Volume: 54
Issue: 6
Pages: 1875-1888

Score contribution per author:

2.011 = (α=2.01 / 1 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

This paper describes a proposal for operating a centralized netting queue for nonurgent interbank payments that involves take‐it‐or‐leave‐it offers and allocates liquidity costs using the Shapley value. This method achieves fairness and ensures welfare‐maximizing netting proposals are agreeable to all providers of liquidity.

Technical Details

RePEc Handle
repec:wly:jmoncb:v:54:y:2022:i:6:p:1875-1888
Journal Field
Macro
Author Count
1
Added to Database
2026-01-25