中国国库现金最佳持有水平估计及预测——基于改进的Miller - Orr模型

基于2000年1月-2011年12月的月度数据,建立改进的Miller - Orr模型和新陈代谢GM(1,1)模型,对中国国库现金最佳持有水平进行估计和预测.结果表明:中国国库现金最佳持有水平呈逐年微幅上升特征,每年国库资金波动渐趋平稳.当前,政府需要继续加大国库资金的商业银行定期存款操作力度,以降低国库现金存量;适度把握国库资金的投放时机和投放频率,避免对货币政策的频繁干扰;充分积累历史数据,提高对国库现金流的估算和预测水平,确定国库现金的最佳持有量.

Estimation and Forecast of Chinese Treasury Cash's Optimal Holdings Level:Based on Extensive Miller -Orr Model

Basing on the monthly data from Jan.2000 to Dec.2011,this paper establishes extensive Miller-Orr model and metabolic GM(1,1) model,estimates and forecasts Chinese treasury cash's optimal holdings level.The results show that Chinese treasury cash's optimal holding level shows slight growth characteristics,and the treasury fund fluctuation becomes smooth increasingly.Nowadays,government should continue to step up the treasury cash' commercial bank time deposits operating strength,to reduce treasury cash stock;grasp treasury cash's investment opportunity and frequency appropriately,to cause interference with monetary policy frequently;accumulate the historical data adequately and increase the prediction level of the treasury fund flow to determine the treasury cash's optimum holdings.