In this paper we first argue that for a large group of investors, their portfolio and consumption choice problem must be attached a consumption habit constraint. For this new choice problem, by using the Cox amp; Huang martingale approach, we obtain optimal consumption behavior for general...

This paper studies the optimal scale and asset allocation of Sovereign Wealth Fund (SWF), taking China's SWF as an example. We use the AR (1) process to simulate the future foreign exchange earnings of China and generate three patterns of the future earnings. With these three scenarios and based...

This paper empirically analyses the interbank payment flows of real-time gross settlement systems (RTGS) of China using BoF-PSS2 simulator which is developed by Bank of Finland, and studies the relationship between required reserve ratio and liquidity requirement of payment systems, as well as...

The paper explores the relationship between interbank payment flows in Chinese payment systems and the interbank offered rates in Chinese interbank markets. The empirical analysis shows that the changes of interbank payment flows have significant influences on both conditional means and...

This paper measures the performance level of liquidity management of the participating banks in RTGS system in China. Compared with the commercial banks in developed countries, this paper finds that the commercial banks are too conservative in liquidity management, and analyzes some main reasons...

This paper summarizes the risk management strategy of the current payment systems. By constructing an independent payment services agency, the paper discusses the cost of default that the payment services agency may bear when supplying credit facilities. By simulating and calculating the unit...

The interbank fund transfer systems are not only one of the effective measures for Central Bank to perform payment service functions, but also an infrastructure for central bank to carry out monetary policy. This paper makes the empirical analysis for the payment data of the 15 banks in the...

Based on the analysis of payment flows in Real Time Gross Settlement(RTGS) system of China in Ten-day periods, this paper proposes for the first time that the transaction value of RTGS shows Ten-day period effects, that is, the transaction value in the last day of Ten-day periods is...