REAL-TIME IDENTIFICATION AND HIGH FREQUENCY ANALYSIS OF DEPOSITS OUTFLOWS
1 : Bank of Italy
We 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.