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

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。     

Least squares learning and the US Treasury bill rate

Understanding how agents formulate their expectations about Fed behavior is important for market participants because they can potentially use this information to make more accurate estimates of stock and bond prices. Although it is commonly assumed that agents learn over time, there is scant empirical evidence in support of this assumption. Thus, in this paper we test if the forecast of the three month T-bill rate in the Survey of Professional Forecasters (SPF) is consistent with least squares learning when there are discrete shifts in monetary policy. We first derive the mean, variance and autocovariances of the forecast errors from a recursive least squares learning algorithm when there are breaks in the structure of the model. We then apply the Bai and Perron (1998) test for structural change to a forecasting model for the three month T-bill rate in order to identify changes in monetary policy. Having identified the policy regimes, we then estimate the implied biases in the interest rate forecasts within each regime. We find that when the forecast errors from the SPF are corrected for the biases due to shifts in policy, the forecasts are consistent with least squares learning.     

THE TREASURY SELECT COMMITTEE: ITS REACH AND ITS ROLE IN THE FINANCIAL CRISIS

The Treasury Select Committee's role has evolved in recent years. Since the banking crisis it has undertaken important work in holding government bodies to account and in helping to influence the policy agenda.     

财政三项改革下的高校预算管理

本文从财政三项支出改革对高校预算管理的影响出发，探讨了在新形势下如何加强和完善高校的预算管理工作。     

创新国库资金风险监督的实践与思考

随着国库业务的创新和国库操作方式的转变,国库风险呈现出日益加大、产生速度快、相对集中、监督难度增大的新特点。本文从如何防范国库风险的角度对现有的国库风险特点进和归纳并提出了预防国库风险的主要措施。     

国库现金转存商业银行的货币政策效应研究——基于Hollenhorst扩展框架的分析

本文构建了国库现金转存商业银行对货币政策影响的分析框架,研究表明,国库现金转存商业银行的货币政策效应主要取决于存款扩张乘数、国库现金抵押需求、公众贷款需求和国库现金存款形成的贷款对国内商品和服务的需求水平等因素。存款扩张乘数越大,国库现金对商业银行信贷水平的影响就越强。国库现金存款的抵押债券需求比例对信贷供给造成了反向影响,抵押比例越高,商业银行必须留出越多的储备购买债券,从而政府国库现金存款的增加可能导致信贷增量的下降。在平滑国库现金影响的政策选择上,中央银行表现出一定的被动性,通过制定国库现金存款的区别法定准备金率是中央银行调控国库现金影响货币政策的重要手段。     

从初始经济条件看中美国库现金管理效应及中国的操作选择

当前,中国正面临着货币流动性相对过剩的问题,开展国库现金管理对从紧的货币政策可能带来冲击。一方面中国应积极借鉴国际经验开展国库现金管理,提高财政收益,减少政府筹资成本;另一方面应该根据经济条件把握好国库现金管理的进度和规模,重点关注国库现金管理对货币市场的影响,并在操作中进一步探索财政政策与货币政策的协调机制。     

浅析中国持有美国国债的必然性及适度性

2010年3月,中国一改此前几个月连续大规模减持美国国债之举,再度增持177亿美元美国国债,引发了社会各界对此举的争议。本文在全面分析美国国债的分类及主要境外持有者的基础上,深入剖析了在当前的政治经济背景下,我国增持美国国债的必然性,提出配比适度性原则,以此防范外汇储备减值风险,并对我国高额外汇储备的出路提出了相应的建议。     

An empirical investigation into the impact of US federal government budget deficits on the real interest rate yield on intermediate-term treasury issues, 1972–2012

This study provides new empirical evidence on the impact of the federal budget deficit on the real interest rate yields on intermediate-term debt issues of the US Treasury, represented herein by the ex post real interest rate yields on 3-year Treasury notes and 7-year Treasury notes, two interest rate measures that have received essentially no attention in the economics and finance literature in recent years. This study is couched within a loanable funds model that includes two ex post real interest rate yields, the monetary base as a per cent of GDP, the change in per capita real GDP, net financial capital inflows as a per cent of GDP and the budget deficit as a per cent of GDP. This study uses annual data for the study period 1972 to 2012, a time period that includes ‘quantitative easing’ monetary policies by the Federal Reserve. Two-stage least squares estimations reveal that the federal budget deficit, expressed as a per cent of GDP, exercised a positive and statistically significant impact on the ex post real interest rate yields on both 3-year and 7-year Treasury notes, even after allowing for quantitative easing and other factors. The study also considers the time period 1980 to 2012 and offers simple robustness testing.     

The Fear Premium and Daily Comovements of the S&P 500 E/P ratio and Treasury Yields before and during the 2008 Financial Crisis

I develop a new risk measure called the Total Fear Premium that generalizes Faugere‐Van Erlach (2009) and accounts for both flight‐to‐safety and flight‐to‐liquidity behavior. This new measure helps to explain why the daily S&P 500 forward earnings yield (E/P ratio) is strongly negatively correlated with daily Treasury yields of all maturities during the 2008 financial crisis, which is a reversal from the relation that prevailed before the crisis. The Total Fear Premium “mimics” the VIX during the financial crisis. Once the basic GARCH formulation modeling the interaction between the earnings yield and Treasury yields is augmented with the Total Fear Premium, the relation between the earnings yield and short‐term Treasury yields becomes significantly positive, in line with Fama's (1975) view that short‐term yields are good proxies for expected inflation. Two by‐products of this analysis are: 1) a new risk premium measure associated with flight‐to‐liquidity and 2) a new way to measure the inflation risk premium on a daily basis.