基于VAR模型的互联网货币市场基金收益率的影响因素研究

The Research on Influence Factors of Internet Monetary Market Funds' Yield Based on VAR Model

本文以余额宝基金为代表,研究中国互联网货币市场基金收益率的影响因素。使用向量自回归(VAR)模型,对Shibor利率、七日国债逆回购利率、沪深300指数三者对余额宝收益率的影响程度进行实证分析。研究表明,七日国债逆回购利率是余额宝收益率最大的影响因素,并与余额宝收益率成正向影响关系。Shibor利率是余额宝收益率第二大影响因素,也与余额宝收益率成正向影响关系。两者均是余额宝收益率的格兰杰因果关系。而沪深300指数不是余额宝收益率的格兰杰因果关系,短期内与余额宝收益率呈负向影响关系,这说明股市的波动对余额宝收益率的影响不大。

This paper studied the influence factors of Chinese Internet money market funds yield by Yuebao.Using the Vector Auto-regressive(VAR)Model,Shibor interest rate,seven days national debt interest rate,the CSI 300 index to balance the influence degree of the Yuebao's yield for empirical analysis.Studies have shown that seven days national debt internet rate is the greatest impact factor,and have a positive influence on relationship with Yuebao.Shibor interest rate is the second largest factors,and have a positive influence on relationship with Yuebao.Both are the granger causality of Yuebao.The CSI 300 index is not the granger causality of Yuebao,and negative influence to its yields in the short term,this shows that fluctuations of the stock market has little effect to Yuebao's yield.