余额宝收益率影响因素及互联网金融背景下的货币政策效果分析

余额宝作为一种货币市场基金，自产生以来凭借较高的收益率和较低的风险不久便在国内占领了市场份额。影响余额宝收益率的因素众多，本文分别从货币市场、资本市场、外汇市场选取了一些代表性因素研究这些变量对余额宝收益率产生的影响，其中实证分析部分采用了ADF检验、Granger因果检验、Var模型法、脉冲响应分析、方差分析等方法。本文着力研究了货币市场的代表因素M1、Shibor与余额宝七日年化收益率间的相互关系，并同时从定量、定性两个角度相互印证。文章后半部分分析了以余额宝为代表的互联网金融产品对货币政策实施效果的影响，末尾则将余额宝为代表的互联网金融产品对利率市场化的促进作用考虑在内，对样本期间2013年5月至2019年12月的两种货币政策对比分析并针对我国目前所处的利率市场化阶段给出政策建议。本文的创新点在于将余额宝与货币中介目标联系起来，进一步印证互联网金融影响下与利率市场化进程下数量型、价格型货币政策的优劣，从微观分析到宏观分析，从定性分析到定量分析，为余额宝未来发展、金融市场风险控制、宏观经济政策制定提供了有效建议。

关键词：利率市场化，货币政策效果，互联网金融，余额宝

 
 
Abstract
As a kind of money market fund, yu'ebao soon occupied the domestic market share with its high yield and low risk. There are many factors that affect the yield of yu'ebao. This paper selects some representative factors from the money market, capital market and foreign exchange market to study the impact of these variables on the yield of yu'ebao. The empirical analysis uses ADF test, Granger causality test, VAR model, impulse response analysis and variance analysis. This paper focuses on the relationship between M1, Shibor and the seven day annualized yield of yu'e Bao, which are the representative factors of money market, and confirms each other from both quantitative and qualitative perspectives. The second half of the paper analyzes the impact of Internet financial products represented by yu'ebao on the implementation effect of monetary policy. At the end, it takes into account the promotion effect of Internet financial products represented by yu'ebao on interest rate liberalization, This paper makes a comparative analysis of the two monetary policies in the sample period from May 2013 to December 2019, and gives policy suggestions for the current stage of interest rate marketization in China. The innovation of this paper is to link yu'ebao with monetary intermediary target, further confirm the advantages and disadvantages of quantitative and price monetary policy under the influence of Internet Finance and the process of interest rate marketization. From micro analysis to macro analysis, from qualitative analysis to quantitative analysis, it can provide reference for yu'ebao's future development, financial market risk control, financial market risk management, and so on It provides effective suggestions for macroeconomic policy-making.

Keywords:Interest rate liberalization, effects of monetary policy, internet finance, Yu’e bao

 1 绪论 1
1.1 研究背景 1
1.2 研究意义 1
1.3 研究目标与研究内容 1
1.4 研究方法与技术路线 2
1.4.1 研究方法 2
1.4.2 技术路线 5
2 相关理论及文献综述 6
2.1 相关理论 6
2.1.1 利率决定理论 6
2.1.2 货币政策工具理论 6
2.1.3 鲶鱼效应理论 6
2.1.4 利率市场化 6
2.2 文献综述 7
2.3 文章创新 8
3 实证研究 9
3.1 余额宝收益率的影响因素分析 9
3.1.1 因素选取 9
3.1.2 数据来源及数据处理方式 9
3.1.3 平稳性检验 10
3.1.4 协整性检验 11
3.1.5 建立VAR模型 12
3.1.6 VAR模型稳定性检验 12
3.1.7 Granger检验 13
3.1.8 脉冲响应函数 14
3.1.9 方差分解 15
3.2 余额宝收益率与Shibor的相互作用分析 16
3.2.1 Shibor对余额宝的影响 16
3.2.2 余额宝收益率对Shibor的影响 16
3.3 余额宝收益率与狭义货币供应量间的相互作用分析 18
3.3.1 M1对余额宝收益率的影响 18
3.3.2 余额宝收益率对M1的影响 18
3.4 小结 19
4 互联网金融影响下的货币政策效果分析 20
4.1 定性分析 20
4.2 小结 21
5 利率市场化背景下货币政策效果分析 22
5.1 利率市场化阶段划分 22
5.2 研究模型 22
5.3 TVP-VAR的脉冲响应 24
5.4小结 25
5.5 政策指导 25
6 结论 27

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