| 摘要: |
| 作为互联网理财产品的代表，余额宝收益率与货币市场基准利率密切相关。本文 选取余额宝收益率与市场利率的代表——上海银行间同业拆借利率（Shibor）的数据，采用向 量自回归模型（VAR）对两者的关系进行实证研究，研究结果表明：余额宝收益率与Shibor互 为因果,余额宝以上万亿的基金规模已经能够影响Shibor，当期的余额宝收益率和Shibor主要受 自身前期影响。Shibor的市场基准性仍需进一步加强；余额宝应加强自身经营，充分利用大数 据技术建立风险防范机制，提升风险管理效率；相关部门应重视对余额宝的监管，既要保证监 管的有效性，又要适度监管，为金融创新留下空间，维护金融市场的健康稳定发展。 |
| 关键词: 余额宝收益率；Shibor；向量自回归 |
| DOI： |
| 分类号:F830.9 |
| 基金项目: |
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| Empirical Study of the Relationship Between Yu’E Bao Yield Rate and Shibor |
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Wang Weijuan Niu Runsheng1,2
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1.Department of Investment Economy，Graduate School Chinese Academy of Social Sciences;2.Jilin University
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| Abstract: |
| As a typical internet financing product, Yu’E Bao yield rate is closely related to currency market benchmark interest rate. This paper chooses the data of Yu’E Bao and Shibor --the representative of market interest rate, adopts vector auto regression model to study their relationship empirically. The results show that: Yu’E Bao yield rate and Shibor are in reciprocal causation, with the fund scale of more than one trillion yuan, Yu’E Bao has been impacting on Shibor, current Yu’E Bao yield rate and Shibor are impacted mainly by their own earlier stages. The market benchmark of Shibor still needs to be enhanced; Yu’E Bao should reinforce its management, make full use of big data technologies to establish its risk prevention mechanism, promote its risk management efficiency; relevant departments should attach importance to the supervision of Yu’E Bao, balance both effective supervision and appropriate supervision to leave room for financial innovation and maintain the healthy and stable development of financial market. |
| Key words: Yu'E Bao Yield Rate; Shibor; Vector Auto Regression |
