| As China’s economy develops rapidly and vigorously, it put forward higher requirements on the liquidity of the existing of large value real-time payment system. Optimize the management of system liquidity can not only improve the efficiency of payment and settlement, but also reduce the liquidity cost of payment system participants. This article focused on Chinese High-Value Payment System, built up prototype system of liquidity optimization management with the payment environments those financial institutions faced in their liquidity management, the analysis of payment data, and simulation researches. And studied the responses of the system under different monetary policies, in order to provide policy recommendations for the Central Bank of the large-value payment system liquidity management.The thesis is divided into seven chapters. Chapter1introduces the background and significance of this research, and the study status of domestic and international payment system liquidity management, as well as the research method, content, innovation and papers framework. Chapter2gives an overview of China’s large-value payment systems and liquidity management, including the architecture of China’s modern payment system, the participants and system operating mode, as well as payment and settlement mechanism. Chapter3theoretically studied the change of deposit reserve ratio and interest rates influence on the liquidity of LVPS, and established the relevant mathematical model. Chapter4illustrated the design and implementation of the prototype system to optimize the management of liquidity in LVPS. Mainly about the basic idea to create liquidity optimization management system based on the CHAPS, and how to develop LOMS based on BoF-PSS2. Chapter5is about how to generate simulated payment data. Firstly explain the advantages and disadvantages of using simulation data. Then through literature study and practical investigation, proved that payment values are Poisson-Lognormal distributed. Finally generate payment data by programming on Matlab. In chapter6, there’re simulation experiments. Through simulation testing of the prototype system performance, point out the balance of liquidity needs and payment and settlement efficiency. By using the prototype system, analysis the liquidity needs of system participants under different monetary policies. Chapter7is summary and prospect.The main conclusions are as follows:First, if the deposit reserve ratio continues to increase, the bank will face more and more liquidity pressure, the number of participants that lack of liquidity also grows. If central bank cut down the reserve ratio, banks will have more liquidity. But the more excess reserves the participants hold, the higher costs of liquidity they have. In order to maximize their income, the banks will transfer part of the funds, thus reducing the reserve account in the beginning of day, then affecting the daily liquidity for participants and could easily lead to systemic risk in later period. The deposit reserve ratio is the baton of the People’s Bank to control the liquidity of the various participants.Second, through the simulation experiments, it turns out that the benchmark loan rate and the participants’end of day balance is in a positive correlation, but the adjustment of interest rate policy affects liquidity in payment system very slightly. This conclusion is consistent with China’s economic situation. With the marketization of interest rates getting forward, China’s interest rates regulation change from the direct way to rely on an indirect way. In the market-oriented interest rate reform process, the monetary policy transmission channel effect result in structural transformation characteristics. The adjustment of basic rate has less effect on output and price levels. The experimental results show that the interest rate as monetary policy has less influence on the deposits and loans for payment system participants. |
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