摘要
选取2015年1月至2017年6月余额宝收益率、银行间7天回购利率及其日内波动、长短期利差,以及沪深300指数和中证全债指数的所有日度数据,采用VAR模型和脉冲响应分析方法研究了余额宝收益率、回购利率及资本市场之间的关系。结果发现:对于余额宝收益率来说,其自身滞后项、回购利率、日内波动及长短期利差的滞后项均对其当期值有显著影响;余额宝收益率的提升会给股市带来正向影响,但是在短期导致了中证全债指数的上涨后,长期却会导致债市下跌。
This paper selects the return of Yuebao, the inter-bank 7-day repo rate and its intraday volatility, the short and long term spreads, and all the daily data of the CSI 300 Index and the CSI Index for the period from January 2015 to June 2017, and uses VAR model and pulse analysis method to study the relationship between return of Yuebao, repo rate and capital market. The results show that： for the return of Yuebao, its own hysteresis, repo rate, day fluctuation and long Short-term spreads have a significant impact on their current value; the increase in the yield on the balance will have a positive impact on the stock market, but in the short-term lead to the rise in the CSI index, the long term will lead to the decline in the bond market.
出处
《金融理论与实践》
北大核心
2017年第10期81-86,共6页
Financial Theory and Practice
基金
湖南省教育厅科学研究项目"金融服务功能视角下区域金融深化与经济发展的空间耦合关系研究"(项目编号:14B031)
湖南财政经济学院校级课题"金融对实体经济服务质量的测度与评价研究"(项目编号:K201307)
关键词
互联网金融
余额宝
回购利率
资本市场
internet finance
the return of Yuebao
repo rate
capital market
