国库资金对货币政策信贷传导机制的影响——基于中国月度时间序列数据的实证研究

The Impact of Treasury Fund on the Credit Transmission Mechanism of Monetary Policy——An Empirical Study Based on Monthly Time Series Data of China

国库资金与金融机构信贷、国库资金与金融机构准备金之间存在长期的协整关系;基于误差修正模型VECM的Granger因果检验发现,国库资金是金融机构信贷和金融机构准备金的Granger因;进一步的脉冲响应分析表明,国库资金变化引起了金融机构信贷的负向变化,而金融机构准备金对来自国库资金的单位冲击则产生了正向反应;方差分解发现,国库资金对金融机构准备金造成了很大的影响,而对金融机构信贷的影响则呈倒"U"型模式。这些反映了我国国库资金对货币政策信贷传导机制的显著影响,货币政策有效性将受到国库资金的显著扰动,对此,必须加强财政部门与中央银行在国库资金领域的协调配合。

There is a long - term cointegration relationship between treasury fund on the one hand and credit and reserves of financial institutions on the other. A Granger causality test based on vector error correction model （ VECM ） indicates that treasury fired is the Granger cause of credit and reserves of financial institutions. Further impulse response analysis re- veals that changes in treasury fund give rise to changes in credit of financial institutions in the opposite direction while reserves of financial institutions make a positive response to unit impulse of treasury tund. Variance decomposition shows that treasury tund has a major impact on reserves of financial institutions and a U - shape impact＇on their credit. All this reflects that treasury fund has a significant effect on the credit transmission mechanism of monetary policy and may disrupt the effectiveness of monetary policy significantly. In this regard, we need to strengthen cooperation between public finance department and the central bank in the field of treasury fund.