| 摘要: |
| 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。 |
| 关键词: 国库资金；货币政策；协整分析；向量误差修正模型 |
| DOI： |
| 分类号:F822 |
| 基金项目:中国人民银行国库局调研课题“国库库款变动对M2影响研究” |
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| An Empirical Study of the Impact of Treasury Fund on Monetary Policy—Based on Co-integration and Vector Error Correction Model |
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DUAN Xinfeng
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The PBOC, Jingdezhen Branch
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| Abstract: |
| 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. |
| Key words: Treasury Fund; Monetary Policy; Co-integration; VECM |
