| Large-value payment system has went through a significant transformation in1990s, from delayed netting system (DNS) to real-time gross settlement (RTGS), which now has been adopted as the major form for large-value payment system by most of the nations in the world. Though eliminating the credit risk among banks, it has a higher requirement for liquidity. To solve this issue, most of the nations chose to add a liquidity saving mechanism (LSM), which can reduce the requirement for liquidity without the cost of credit risk among banks.In our country due to the lagging of academic researches, practical and administrative circles have insufficient understanding on the liquidity-saving issues of large-value payment system. And from our researches, we know that although China is undergoing the building of China National Advanced Payment System (CNAPS), the payment system has been seen as no more than a computer system instead of a complicated financial sub-system, and the financial organizations are lacking of inner management for daily liquidity. Nevertheless, under international financial surveillances this situation would acquire proper improvement, which also promotes a demanding requirement for related academic studies.According to different circumstances, for instance, of economic development, structures of financial markets, and etc. each nation achieves their own optimal balance between settlement efficiency and daily liquidity. The relation between the delay of settlement and daily liquidity can be seen from the chart below. While, certain foreign payment systems extended the balance point (under the same liquidity-requirement improve the settlement efficiency) when importing the liquidity-saving system, which might be at either point. Well then, in our country, under our Chinese-style social and economical environment we should realize the necessity of importing proper liquidity-saving system and work out the methods for improving settlement efficiency under the same level of liquidity. And dedicated to make up for the inadequacies of related academic researches and studies, this thesis chose to work on this central problem of payment economics, the importing of liquidity-saving system in large-value payment system in China, which is not only of great significance for the academic researches but also of practical importance for the liquidity management of large-value payment system and the application of LSM.This thesis provides generalization and analysis of different methods for liquidity-saving, based on which a discussion of the introduction of liquidity-saving in the real-time gross settlement in China would be given. And our analysis is questing for the balance between settlement efficiency and liquidity efficiency as well as the improvement for the balance under normal or abnormal situations of the liquidity-saving mechanics, which extended this balance. Through our quantities analysis, advices would be given to the importing of liquidity-saving mechanics in the large-value payment system as well as the real-time gross settlement in our country. From the perspective of large-value payment system, based on the theories of payment settlement mechanics of large-value payment system and the liquidity management, we use the special complicated net structure and the payment settlement mode of the large-value payment system in China to generate simulated data, which are in accordance with Chinese situation. With those data, we use simulation method to inspect the influences made by the importing of the bypass FIFO, quota splitting, residual amount splitting, and multilateral offsetting algorithm on the liquidity cost and settlement efficiency of large-value payment system in China. Using the balance among delayed settlement, the proportion of unsettlement, and the daily liquidity, we measure the settlement efficiency and liquidity efficiency. And by analysis, we quest for the balance between settlement efficiency and liquidity efficiency and the improvement for this balance by the liquidity-saving mechanics under either normal or abnormal circumstances, which results in the extension of this balance. Through quantities analysis, we give practical advices to the importing of the liquidity-saving mechanics of large-value payment system, which is fitting for our country. Through the introduction of researches from both abroad and domestic on payment settlement system and the application of the LSM for the liquidity management, we brought up the necessity for the importing of LSM for large-value payment system in our country. And based on the theories and models of importing LSM for large-value payment system from abroad, there would be a detailed procedure of payment system from DNS to RTGS to HS and potential risks and problems during the process of payment, which result in the drive elements for the demanding of liquidity. Then there would be the definition of LSM, introductions of varies types of LSM, and a parallel study on the mechanics of different LSM on liquidity-saving level.Then, using theories of complicated net, this thesis give an analysis of the special net structure of the high-value payment system in our country, based which we use our own MATLAB calculation to generate1,000,000stimulated data of10days. By this method, we avoid the deficiencies by using BoF-PSS2.The next thing is, we chose Settlement Delayed Index and Unsettled Payment Indicator as our index for the measurement of the efficiency of payment system and for the definition of the level of daily liquidity, and we designed the changing pattern for the daily liquidity level. And then, we would implant partial LSM and inspect the balance relations between daily liquidity level after including LSM and the settlement efficiency, which give answers to whether after the importing of LSM the systemic liquidity can be saved in our large-value payment system.Finally, the conclusion is LSM has no definite impact on the efficiency of systemic liquidity-saving under the same settlement efficiency; and on special occasion, instead of systemic liquidity-saving it would increase the burden for systemic liquidity. For instance, under adequate level of liquidity RTGS with bypass FIFO would have worse performance than normal RTGS, but this kind of negative impact is not obvious. Generally speaking LSM, for instance RTGS with bypass FIFO, splitting, multilateral offsetting algorithm, and etc. can properly save the liquidity cost for our country’s large-value payment system, especially under the occasion when the level of systematic daily liquidity is not enough. But specifically speaking, there is no definite best among RTGS with bypass FIFO, splitting and multilateral offsetting algorithm that they have their own advantages as well as disadvantages. When the level of daily liquidity is enough, there is no obvious improvement on the settlement efficiency of RTGS, on the contrary, it make it worse for the index of UPI and SDI. The reason is Bypass FIFO may cause unsettlement for certain payment instruction with quite large value, which in turn lower the systematic efficiency. From the perspective of the weight index of system node in complicated net, normally speaking, the weight of large-value payment instruction is big and more important than instruction for the small-value ones, so if the instruction for large-value payment was delayed there would be extra cost.Splitting can significantly improve the systemic settlement efficiency under the same level of liquidity, but it also brought up some other negative cost. The smaller the threshold values of the quota splitting, the more and smaller would the payment instructions be, then the number that can be settled would be also bigger and the corresponding settlement efficiency would be improved. The balance splitting is the optimal splitting, but it would results in more instructions. Splitting cut up the payment instructions, which may break the wholeness feature of payment instructions in daily life and also brought in inevitable wholeness cost for splitting?Multilateral offsetting algorithm can push the0point of UPI index to the possible farthest of the left side and make the balance between daily liquidity and settlement efficiency to extended to the utmost limit, at this point the still liquidity level remains at LBL. But it is not easy to realize the multilateral offsetting algorithm, because of its harsh terms that if there exists large-value payment instruction, the possibility for multilateral offsetting algorithm would be small.All in all, we hold it possible that using RTGS with Bypass FIFO, splitting, and multilateral offsetting algorithm in our country’s large-value payment system. And they can demonstrate their advantages for systemic liquidity-saving, the extension of balance between daily liquidity level and settlement efficiency, and in a certain degree lower the system risks. As is known, the still liquidity level of the large-value payment system in our country is not enough, and this daily liquidity level the above mentioned liquidity-saving mechanisms can be used to their maximum effect, while each calculation would results in certain different negative cost. Since it is difficult to compare the negative costs for each calculation and we ruled out other possible LSM except RTGS with bypass FIFO, Splitting, and Multilateral Offsetting Algorithm, the next research target should be the proper LSM for our country’s large-value payment and its importing methods. |
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