Abstract
AbstractWe 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.
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