国库资金对货币政策影响的实证研究——基于协整和向量误差修正模型的计量分析

An Empirical Study of the Impact of Treasury Fund on Monetary Policy——Based on Co-integration and Vector Error Correction Model

本文通过货币当局资产负债表与扩展IS-LM模型建立国库资金运行对货币政策影响的分析框架,运用OLS估计定量分析了国库资金量对货币供应量的影响,运用协整分析与向量误差修正模型(VECM)实证分析了国库资金量对货币政策中介指标的影响。实证结果表明:国库资金量成为影响货币供应量短期波动的最大因素;国库资金量与货币供应量、货币供应量与银行间同业拆借利率之间存在长期均衡关系;国库资金量与货币供应量、货币供应量与银行间同业拆借利率之间存在显著的负向冲击关系。基于实证结论提出如下建议:深化预算管理体制改革,实现政府预算科学化;加强央行与财政部门、央行货币政策部门与国库部门的沟通协调;完善国库现金流预测机制,研究国库最优库存水平。

According to the central bank, s balance sheet and extended IS-LM model, this paper constructs the analysis model of the impact of treasury fund on monetary policy, OLS estimation was used to evaluate the impact of treasury fund on money supply, then a further analysis was executed to explain the impact of treasury fund on monetary policy? s intermediary indicators by using Co-integration and Vector Error Correction Model (VECM). The empirical results show that treasury fund is the biggest factor for the fluctuation of money supply in the short term, furthermore, the equilibrium relationship were proved to exist between treasury fund and monetary supply, and at the same time, the equilibrium relationship between money supply and interbank offered rate was found in the long term. Specifically treasury fund exerts a significant negative impact on money supply, meanwhile money supply exerts a significant negative impact on interbank offered rate. According to the research several proposals were suggested including furthering reform of budget management, strengthening the coordination between the PBC and the ministry of finance, improving prediction mechanism treasury cash flow.