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 research

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 JEL Code(s): C, C1, C10, E, E4, E42, G, G2, G28 Research Theme(s): Money and payments, Payment and financial market infrastructures

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 JEL Code(s): C, C6, C63, E, E4, E42, E5, E58 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Money and payments, Payment and financial market infrastructures

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 JEL Code(s): C, C5, E, E4, E42, E5, E58 Research Theme(s): Financial markets and funds management, Market functioning, Money and payments, Payment and financial market infrastructures

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 JEL Code(s): C, C5, E, E4, E42, E5, E58 Research Theme(s): Financial markets and funds management, Funds management, Money and payments, Payment and financial market infrastructures

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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