商学　５９‐５・６／２．丸茂

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1 DNS RTGS DNS DNS DNS 1

2 297 DNS RTGS RTGS 1 1 RTGS 2001 DNS RTGS BIS BIS RTGS DNS 1 Freeman1996 nonoptimal equilibria of constrained liquidity Rochet and Tirole1996 Freeman

3 298 Freixas and Parigi 1998RTGS DNS Diamond and Dybvig RTGS DNS Freixas 4 and Parigi19982 Kahn and Roberds1998DNS 5 Freixas and Parigi1998 DNS RTGS DNS 1990 LTCM Fedwire Furfine 2003 Angelini, Maresca and Russo RTGS RTGS DNS Freixas and Parigi DNS RTGS 2 RTGS DNS 2 3 RTGS DNS DNS LLR DNS

4 299 RTGS DNS 2 RTGS RTGS 3 t0, 1, 2 2 A B c1 2 c2 u0, u0, u0 Uc1, c2uc1uc q0, 1 2 1q ST CT 6 ST λ 0, 1 CT 1λ 1 c1 ST c2 CT c2 0 1

5 ! ST!ST!W, T, R" CT!CT!T, R" W T R p R 1p 0 pr I L 1I 0I1 2 RI 1 ehel ehel ph plphpl pphpl0 φ0 1 RTGS DNS eh, el 1 R 2CT ST ST W, T, R CT T, R RTGS 2CT ST DNS

6 301 1 RTGS 1 RTGS 0 A 2ST CT 1 B RTGS A CT 1 A R B A B T B 2 ST CT A W 2 B A RTGS 7 ST W CT T W, T RTGS A CT B T A 1 CT 2 ST A W A ST 3 1 max!c1, c2, c2, I"quc11q!λ uc21λ uc2" qc11q1λ c21i 1qλ c2phri RTGS c1 G, c2 G, c2 G 45 8 W, T, R T, R 6 W, T R, R Freixas and Parigi1998 phr

7 302 uc1 G uc2 G ph Ruc2 G qc1 G 1q! # % λ c2g " phr 1λ $& 1 c2g c1 G c2 G phr 1 c1 G c2 G c2 G 5!q1q1λ "c1 G 1qλ c2 G phr ST CT R 1 R R, R el eh ST W CT T eh, W, T 1 CT 1 ST 1!q1q1λ G 1c1 G c2 G c2 G "c1 phr 1qλ ST CT R el, R,R c1 G c2 G c2 G DNS 1 A 2 T A B

8 303 A B DNS R b 10IC R b ST W CT T DNS 1 1 CT A B B 2 A 1 11 CT ST 12 9 max!c1, c2, c2, I"quc11q!λ uc21λ uc2" phr b φ plr b qc11i 1qλ c21q1λ c2phri R b I

9 uc1 N phr φ puc2 N phr φ puc2 N qc1 N 1q! # % λ c2 N N " $ c2 1λ phr φ p phr φ p& c2 N c2 N phr φ p1 pr 1pHφ c1 N c2 N c2 N 14 c2 N qc1 N 1q phr φ p ST CT R 1 R el, R,R φ * pr 1pH 2. 1 φ * φ *φ ST W CT T eh, W,T ST CT 1 1 N 1c1 N c2 N c2 N 1qc1 phr φ p 1q φ * φ *φ ST CT R el, R, R

10 305 c1 N c2 N c2 N φ *φ eh, W,T el, R,R φ * EUc1 G G, c2 G, c2 G quc1 G 1q!λ uc2 G 1λ uc2 G " EUc1 N N, c2 N, c2 N quc1 N 1q!λ uc2 N 1λ uc2 N " uclog c 2 ST λ *logphr φ plogphr 1 ST λ λ * ST λ λ * 3 4

11 306 4 DNS φ 2 ST λ *RTGS DNS λ λ * 4 2 CT 1λ 1λ *RTGS M&A RTGS ST CT 1

12 ST M&A RTGS RTGS RTGS

13 uclog c phr c1 G c2 G c2 G 20 c2 G phrc2 G phrc1 G c1 G c2 G 1, c2 G phr R R φ p RTGS 2005 RTGS RTGS 15

14 309 1 phr phr c1 N c2 N c2 N 23 c2 N c2 N phrc1 N c1 N 1, c2 N c2 N phr EU G EU N 1q!λ log phr λ log phr 1λ log phr""! ! " EU G"!EU log phr N λ"!λ* log phr 27 R R λ *1 No. 05 J 14, RTGS 2005 RTGS Angelini, P., and Maresca, G., and D., Russo1996Systemic Risk in the Netting SystemJournal of Banking and Finance, Vol. 20, pp Diamond, D., W., and P., H., Dybvig.1983Bank Runs, Deposit Insurance and LiquidityJournal of Political Economy, Vol. 91, pp Freeman, S.1996The Payment System,Liquidity,and RediscountingAmerican Economic Review, Vol. 86, pp Freixas, X., Parigi, B.1998Contagion and Efficiency in Gross and Net Interbank Payment SystemsJournal of Financial Intermediation, Vol. 7, pp

15 310 Furfine, C., H.2003Interbank Exposures : Quantifying the Risk of ContagionJournal of Money, Credit and Banking, Vol. 35, pp Kahn, C., M., and W., Roberds1998Payment System Settlement and Bank IncentivesReview of Financial Studies, Vol. 11, pp Rochet, J. C., andj.,tirole1996controlling Risk in Payment SystemsJournal of Money, Credit and Banking, Vol. 28, pp

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BIS BIS P ee e e e e e r r e r r/e e r e r r e r ep rme K me K r/e e Pme K d /de em/p 1 em/p m/p e e em/p e r r ep r me K e e m/ P r m/ P r m/p e e Galbraith, J. K Money : Where It Came, Where It Went,

商学 ５９‐５・６／２．丸茂

商学　５９‐５・６／２．丸茂