Bio

Nellie Zhang is a senior economist in the Banking and Payments Department (BAP) at the Bank of Canada. Her primary research interests include financial market infrastructures such as liquidity risk and credit risk in large-value payment systems as well as the efficiency issues. Recently Nellie’s research focus has evolved to include research on topics related to retail payment systems. These topics include measuring intraday counter-party credit risk in Canada's retail batch payment system (ACSS) and implications of potential payment migration from ACSS to other parts of payments ecosystem.

Research Field(s): Applied Econometrics Bayesian Methods Financial Markets Payments Economics Retail Payments Risk Management

Staff discussion papers

Payment Coordination and Liquidity Efficiency in the New Canadian Wholesale Payments System

Staff Discussion Paper 2022-3 Francisco Rivadeneyra, Nellie Zhang
We study the impact of the Bank of Canada’s choice of settlement mechanism in Lynx on participant behaviors, liquidity usage, payment delays and the overall operational efficiency of the new system.
Content Type(s): Staff research, Staff discussion papers Topic(s): Payment clearing and settlement systems JEL Code(s): C, C5, E, E4, E42, E5, E58

Liquidity Usage and Payment Delay Estimates of the New Canadian High Value Payments System

Staff Discussion Paper 2020-9 Francisco Rivadeneyra, Nellie Zhang
As part of modernizing its core payments infrastructure, Canada will replace the Large Value Transfer System (LVTS) with a new Real-Time Gross Settlement (RTGS) system called Lynx. An important question for policy-makers is how Lynx should be designed.
Content Type(s): Staff research, Staff discussion papers Topic(s): Financial services, Financial system regulation and policies, Payment clearing and settlement systems JEL Code(s): C, C5, E, E4, E42, E5, E58

Losses from Simulated Defaults in Canada's Large Value Transfer System

Staff Discussion Paper 2010-14 Nellie Zhang, Tom Hossfeld
The Large Value Transfer System (LVTS) loss-sharing mechanism was designed to ensure that, in the event of a one-participant default, the collateral pledged by direct members of the system would be sufficient to cover the largest possible net debit position of a defaulting participant. However, the situation may not hold if the indirect effects of the defaults are taken into consideration, or if two participants default during the same payment cycle.
Content Type(s): Staff research, Staff discussion papers Topic(s): Financial institutions, Financial stability, Payment clearing and settlement systems JEL Code(s): E, E4, E47, G, G2, G21

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Staff working papers

From LVTS to Lynx: Quantitative Assessment of Payment System Transition

Staff Working Paper 2023-24 Ajit Desai, Zhentong Lu, Hiru Rodrigo, Jacob Sharples, Phoebe Tian, Nellie Zhang
We quantitatively assess the changes in participants’ payment behaviour from modernizing Canada's high-value payments system to Lynx. Our analysis suggests that Lynx's liquidity-saving mechanism encourages liquidity pooling and early payments submission, resulting in improved efficiency for participants but with slightly increased payment delays.
Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions, Financial services, Financial system regulation and policies, Payment clearing and settlement systems JEL Code(s): C, C1, C10, E, E4, E42, G, G2, G28

Simulating Intraday Transactions in the Canadian Retail Batch System

Staff Working Paper 2023-1 Nellie Zhang
This paper proposes a unique approach to simulate intraday transactions in the Canadian retail payments batch system when such transactions are unobtainable. The simulation procedure has potential for helping with data-deficient problems where only high-level aggregate information is available.
Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, Payment clearing and settlement systems JEL Code(s): C, C6, C63, E, E4, E42, E5, E58

Changes in Payment Timing in Canada’s Large Value Transfer System

Staff Working Paper 2015-20 Nellie Zhang
This paper uncovers trends in payment timing in Canada’s Large Value Transfer System (LVTS) from 2003 to 2011. Descriptive analysis shows that LVTS payment activity has not been peaking in the late afternoon since 2008, and the improvement was most significant in 2009.
Content Type(s): Staff working papers Topic(s): Payment clearing and settlement systems JEL Code(s): E, E5, E50, G, G2, G20

Estimating the Demand for Settlement Balances in the Canadian Large Value Transfer System

Staff Working Paper 2012-15 Nellie Zhang
This paper applies a static model of an interest rate corridor to the Canadian data, and estimates the aggregate demand for central-bank settlement balances in the Large Value Transfer System (LVTS).
Content Type(s): Staff research, Staff working papers Topic(s): Interest rates, Monetary policy implementation, Payment clearing and settlement systems JEL Code(s): C, C3, C36, E, E4, E40, E5, E50, G, G0, G01

Estimating the Structure of the Payment Network in the LVTS: An Application of Estimating Communities in Network Data

Staff Working Paper 2010-13 James Chapman, Nellie Zhang
In the Canadian large value payment system an important goal is to understand how liquidity is transferred through the system and hence how efficient the system is in settling payments. Understanding the structure of the underlying network of relationships between participants in the payment system is a crucial step in achieving the goal.
Content Type(s): Staff research, Staff working papers Topic(s): Financial stability, Payment clearing and settlement systems JEL Code(s): C, C1, C11, D, D8, D85, G, G2, G20

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Bank publications

Bank of Canada Review articles

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Journal publications

  • Zhang, "Estimating the demand for settlement balances in the Canadian Large Value Transfer System: How much is too much?," Canadian Journal of Economics 52, no.2 (May 2019): 735-762
  • Rivadeneyra and N. Zhang, "Payment coordination and liquidity efficiency in wholesale payments systems", Journal of Financial Market Infrastructures 10, no. 3 (March 2022): 31-68
  • Desai and Z. Lu and H. Rodrigo and J. Sharples and P. Tian and N. Zhang, "From LVTS to Lynx: Quantitative assessment of payment system transition in Canada", Journal of Payments Strategy & Systems 17, no. 3 (September 2023): 291-314