我国大额实时支付系统支付流统计特征分析

Statistics Analysis Payment Flow of Large Value Payment System in China

本文基于我国大额支付系统支付流自2005年7月到2008年7月的数据进行统计特征的研究。通过对中央银行历次准备金率调整对支付流影响的研究,发现在大多数调整时段内准备金率的调整会引起支付流数值的均值与波动的增加,右尾厚尾指数降低。而支付流是相关序列的数据检验结果是我国可以借鉴国外经典风险管理模型对支付流进行风险管理的依据。

This paper studies the statistical features of Large Value Payment System＇s payment flow during July 2005 till July 2008.The paper finds that the payment flow will increase in mean and volatility and the right-tail index will decrease within most of the reserve ratio adjustment period.The paper also finds the correlation of payment flow which is the foundation of referencing classical risk management model of the payment system abroad.