基于半参数可加模型的余额宝收益率影响因素分析

Analysis of Influencing Factors of Yu'E Bao Yield based on Semi-Parametric Additive Model

对2013年10月—2018年3月的余额宝七日年化收益率的影响因素进行分析,一方面从投资策略中选取现金占净比(NCR)作为余额宝的内部影响因素,从运行机制选取余额宝个性化指标:银行间同业拆放利率(SHI)和沪深300指数(CSI),另一方面从外部环境选取影响因素:消费者价格指数(CPI)、人民币兑美元汇率(ER)和狭义的货币供应量(M1),建立半参数可加回归模型。结果表明:NCR、SHI和CSI均有线性影响作用,其中SHI的影响表现为正效应,NCR、CSI表现为负效应;CPI对其具有波动性的非线性作用;M1和ER对其具有交互作用,且在ER处于较低水平、M1处于中间水平时,余额宝收益率较低,ER与M1同高时,余额宝收益率较高,二者同低时,余额宝的收益率可达到极大值。

The monthly average data of the seven day yield of the Yu＇E Bao from October 2013 to March 2018 are selected for the research. There are two perspectives to begin the study. One is to select Net cash ratio（ NCR） as the Yu＇E Bao inner index from the investment portfolio of the fund. At the same time,Shanghai Interbank Offered Rate（ SHI） and the Shanghai Shenzhen index（ CSI） are chosen as the personalized index from the operation mechanism. And the other is the external environment,including the consumer price index（ CPI）. the RMB/US dollar exchange rate（ ER） and the narrow monetary supply（ M1）. Then the semi-parametric additive model is established and the result is obtained that among the factors affecting the yield of the Yu＇E Bao. It shows that NCR,SHI and CSI have the linear effect. The effect of SHI is positive to Yu＇E Bao,while the effects of the other two are negative. And the nonlinear effect of CPI is fluctuating. Also,the interaction between M1 and ER is that when ER is at a low level and M1 is at the middle level,the yield of Yu＇E Bao is relatively low,when ER and M1 are both at high level,the yield of the Yu＇E Bao is higher,when the two are both at low level,the yield of the Yu＇E Bao can reach the maximum value.