中国货币政策是否应干预互联网金融发展?——基于非参数格兰杰因果关系与滚动相关性的检验

Should China’s Monetary Policy Intervene in Internet Financial Development?——Based on Non-parametric Grainger Causality Test and Rolling Correlation Coefficient

货币政策是否适用于互联网金融一直是一个存在争议的话题。本文运用非参数格兰杰因果关系检验、基于二元移动窗口函数的滚动相关系数法实证发现:总体上,数量型货币政策和价格型货币政策均是互联网金融发展的格兰杰原因,而且存在很强的相关性。但二者影响方向存在显著差异:数量型货币政策产生加剧效应,价格型货币政策形成抑制作用。在互联网金融业态结构层面,数量型货币政策覆盖的业态更广,是不同业态的格兰杰原因且均存在相关性。价格型货币政策只是互联网支付和互联网保险的格兰杰原因并与二者存在相关关系,虽与互联网货币基金、互联网投资相关,但并不是二者的格兰杰原因。最后,基于研究结论,提出了相应政策建议。

Whether monetary policy is applicable to internet finance has always been a controversial topic.In this study,we use the Non-parametric Granger Causality Test and the Rolling Correlation Coefficient Method based on the binary moving window function to empirically find that,on the whole,quantitative monetary policy and price-based monetary policy are granger reasons for the development of internet finance and have strong correlation,but there are significant differences in the direction of their impact.Quantitative monetary policy produces aggravating effect while price-based monetary policy has a restraining effect.At the level of internet finance structure,quantitative monetary policy covers a wider range of industries,which is the granger cause of different industries and has correlation.Price-based monetary policy is only the granger cause of internet payment and internet insurance and is related to them.Although it is related to internet monetary fund and internet investment,it is not the granger cause of both.Finally,based on the conclusions of the study,the corresponding policy recommendations are put forward.