摘要
在人民币利率市场化进程中,上海银行同业拆放利率(Shibor)处于利率市场最基准地位,大量研究发现,Shibor显著影响余额宝的收益率。使用Vasicek模型对人民币利率市场化进程中余额宝收益率与Shibor(1w)差值的走势进行了实证研究。结果表明:(1)Vasicek模型对差值的实证数据具有较好的拟合效果;(2)在人民币利率市场化进程中余额宝收益率不一定高于Shibor(1w);(3)余额宝收益率与Shibor(1w)的差值长期均值水平为0.9126069%,差值以0.06076113的速度回归长期均值水平,波动率为0.003295。
In the process of RMB interest rate marketization,Shibor plays a benchmark role in the interest rate market. Numerous studies exhibit that Shibor has significant influence on ROI of Yu Ebao. This paper,taking advantage of the Vasicek model,presents a study on the trend of the balance ROI of Yu Ebao and Shibor（ 1w） during the RMB interest rate marketization process. The results show as follows：（ 1） the Vasicek model has a better fitting effect on the difference of empirical data;（ 2） In the process of RMB interest rate marketization,ROI of Yu Ebao may not necessarily be greater than Shibor（ 1w）;（ 3） This difference in the long term remains 0.9126069%,regressing at the rate of 0.06076113,varying at the rate of 0.003295.
出处
《福建农林大学学报（哲学社会科学版）》
2016年第6期72-75,共4页
Journal of Fujian Agriculture and Forestry University(Philosophy and Social Sciences)
基金
福建省中青年教师教育科研项目资助(JAS14393)
