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文章介绍了中央国库现金管理发展情况,采用实证的方法考察国库现金管理与货币市场关系,发现国库现金管理中标利率与货币市场利率是单向关系,利率互动的机制是不畅通的。同时,我们通过格兰杰因果检验发现国库现金管理中标利率是上海银行间同业拆放利率的格兰杰成因,而反之不真。通过Johansen协整发现,国库现金管理中标利率与上海银行间同业拆放利率存在长期的关系。通过脉冲响应函数,发现从短期来看,对于国库现金管理中标利率的冲击,上海银行间同业拆放利率在当期就有较强的反应,但持续的时间不长。国库现金管理中标利率的冲击带有滞后效应。
This paper introduces the development of cash management in the central treasury, examines the relationship between the cash management of the state treasury and the money market by empirical methods. It finds that the interest rate of the cash management in the Treasury and the money market are unidirectional, and the mechanism of interest rate interaction is not smooth. At the same time, we find out through the Granger causality test that the successful management of the Treasury cash management is the Granger cause of Shanghai Interbank Offered Rate, and vice versa. Finding through Johansen co-integration, there is a long-term relationship between the successful cash management of the state treasury and the inter-bank interest rate of Shanghai Bank. Through the impulse response function, it was found that in the short run, the Shanghai Inter-bank Interest Rate on Libya had a strong reaction in the current period but did not last long because of the impact on the successful interest rate of Treasury Cash Management. The impact of the Treasury Cash Management winning interest rate with lagged effect.