国库现金管理改革中的库底目标余额测算方法研究  

RESEARCH ON THE CALCULATION METHOD OF CASH BALANCE TARGET IN TREASURY CASH MANAGEMENT REFORM

作　　者：李春阳[1,2] 徐传平[3] LI Chun-yang;XU Chuan-ping(Central University of Finance and Economics;Research and Development Centre,China Central Depository and Clearing Company Limited)

机构地区：[1]中央财经大学 [2]财政部国库司 [3]中央国债登记结算有限责任公司研发中心

出　　处：《经济理论与经济管理》2019年第12期35-44,共10页Economic Theory and Business Management

摘　　要：国库现金管理改革是我国现代财政国库制度建设的重要内容。当前深化改革的主要任务是建立财政库底目标余额管理制度,关键是要采用科学的方法测定库底目标余额的合理规模。本文对目前常用的Baumol模型、Miller-Orr模型进行了分析,结合实际提出使用金融风险管理中的在险价值(VaR)模型,利用2012-2017年我国中央国库日度净流出数据,对中央国库库底目标余额进行了实际测算,发现中央财政库底目标余额的合理规模为1200亿元。本文同时提出了建立库底目标余额管理制度的有关政策建议。The reform of treasury cash management is an important part of the construction of modern treasury system in China.The main task of deepening the reform is to establish the management system of the target of the cash balance in the treasury account.The key step is to determine the reasonable scale of the cash balance in the treasury account using scientific methods.In this paper,we analyse the Baumol model and Miller-Orr model which are most commonly used currently,and propose using the Value at Risk(VaR)model in financial risk management to calculate the target of the cash balance according to practical situation.We use the net outflow data of China’s central treasury in 2012-2017 to calculate the target of the cash balance in the central treasury account,and find that the number should be 120 billion yuan.At last,we put forward some policy suggestions for establishing the management system of the target of the cash balance in the treasury account.

关 键 词：国库现金管理 库底目标余额管理制度 在险价值VaR模型 

分 类 号：F83[经济管理—金融学]