政府存款变动对金融市场流动性的影响研究:结构分析的视角

Impact of Government Deposits on Financial Market Liquidity:a Structural Perspective

政府存款变动对金融市场流动性的影响越发显著,造成政府存款变动的税期、财政支出、政府债券发行与兑付、中央国库现金操作等主要细分项究竟如何影响流动性成为值得探讨的问题。本文基于政府存款测算框架,统计了公共财政收支、国债和地方债发行与付息兑付、中央国库现金操作、政府性基金收支的时序变化,进一步采用向量自回归(Va R)模型对上述主要财政行为如何影响流动性进行实证分析。研究发现:公共财政与政府性基金收支对流动性的正向扰动增多,政府债券发行与兑付的负向扰动增多,中央国库现金操作的影响较小;财政支出对流动性的正向冲击较大且较持续,是流动性变化的格兰杰原因,缴税费的负向冲击较大但持续较短,政府债券发行和中央国库现金操作的冲击总体偏中性。

Change of government deposits has arising impact on financial market liquidity,while how the main causes,i.e.taxations,fiscal expenditures,government bond issuance and payment,treasury cash operations affect liquidity remains an open question.This paper depicts the time series of aforementioned main causes based on a government deposits estimating framework,and uses VAR model to analyze their impact on liquidity.The results show that,public and government funds expenditures have more positive disturbances on liquidity,while government bond issuances and payments have more negative disturbances and central treasury cash operations remain little disturbing;fiscal expenditures have significantly positive and persistent impulse,and also the Granger cause of liquidity;taxations have significantly negative but short-term impulse;government bond issuance and treasury cash operations have relatively neutral impact.