国库资金波动与我国货币政策效应动态影响机制——系统估计和区制转换的实证分析

The Dynamic Effect of Fluctuation of the Treasury Fund and Monetary Policy——Based on the Empirical Study of System Estimation and Regional Transformation

稳健、高效的国库资金管理对实现金融供给侧去杠杆改革具有重要意义,本文构建包含国库资金变量的CC-LM模型,从比较静态的角度分析国库资金变动影响货币政策效应的传导渠道、作用机制,并对其冲击效应进行系统估计和Markov区制转换估计。研究表明,国库资金变动对货币供给、政府购买需求均具有显著的正向冲击,但对利率的冲击效应随区制而转换。央行金库对基础货币具有较强的杠杆效应,国库资金对国民收入增长率在不同状态下均呈现出显著的正向效应,但状态转换的持续期较短,而基础货币和利率维持原有状态的持续期相对较长。熨平国库资金变动的杠杆性冲击,应加强对国库资金使用的周期监控,加快建设和规范单一账户体系,建立国库资金存量盘活考核机制,祛除国库资金库存余额高杠杆性冲击。

The prudent and efficient administration of the treasury is of great significance to the realization of the reform of the financial supply side.The paper constructs the CC-LM model,which contains the treasury variables,and from the static perspective we have analyzed the transmission channel and mechanism of the monetary policy effect of the treasury.By the systematic estimation and the Markov regime-switching estimation,the paper has tested the transmission variables and their dynamic mechanism of the monetary policy effect of the treasury.The research shows that the changes of the treasury funds have a significant positive impact on the supply of money and the demand for government purchases,but the effect on interest rate is uncertainty and shifts with the regimes.The balance of the commercial bank’s treasury has little impact on the monetary base,and no matter what kind of state,the balance of the central bank’s treasury has shown a significant leverage effect on monetary base.The effect of the treasury funds on national income growth rate in different conditions are revealed a significant positive effect,but the duration of the state transition is shorter,while the monetary base and interest rates have maintained a relatively long duration on the original state.Ironing the leveraged impact of the treasury funds,people should strengthen the monitoring of the treasury funds cycle,and speed up the construction and standardize of the single account system,establish the treasury funds inspection mechanism,dispel the treasury funds’ high leverage.