宏观审慎管理框架下的支付系统流动性风险测度及评估研究

本文试图引入宏观审慎管理理念,从支付系统整体流动性入手,通过构建logistic模型来测度与评估支付系统流动性风险。实证结果显示,系统参与者整体流动性风险概率水平波动较为频繁,但处于较低状态。在宏观审慎管理框架下,人民银行应重点关注系统性风险,把系统潜在的流动性风险降到最低层次。

Liquidity Risk Measurement of the Payment System and Evaluation Research under the Macro-prudential Regulation Framework

This paper tries to introduce the concept of macro-prudential regulation,starts from the liquidity of the payment system as a whole,and constructs the logistic model to measure and evaluate the liquidity risk of the payment system. The empirical results show that the overall liquidity risk probability of the system participants fluctuates relatively frequently,but in a low state. Under the macro-prudential regulation framework,PBC should focus on the overall risk of the system and reduce the potential liquidity risk to a minimum level.