互联网理财创新、债市波动与风险传染

摘要

以余额宝为代表的互联网理财创新冲击了中国传统金融市场的收益率。通过收集2013年6月到2014年9月余额宝收益率、银行间同业拆借利率以及国债收益率的数据，运用时变 Copula －GARCH 模型等方法实证分析互联网理财与传统债市收益率之间的动态相关关系。实证结果显示，余额宝收益率与同业拆借利率及国债收益率整体上呈负相关的，收益率波动趋于平缓。并且上、下尾部相依性基本为零。说明互联网理财创新没有明显抬高传统债市的风险收益率，而且两者之间并不存在明显的风险传染关系。%Internet financial innovation on behalf of Yuebao has an important impact on the traditional financial market yields in China.By collecting the Yuebao yields,SHIBOR and treasure bond yields data from June 2013 to June 2014,the paper uses the time-varying Copula-GARCH model to analyse the dynamic relationship between internet financial yields and traditional bond market yields.The results show that the correlation of Yuebao yields on SHIBOR and treasury bond yields is negative overall,the fluctuation of which tends to be flat.The dependence of upper and lower tail is close to zero,which explains that internet financial innovation does not significantly improve the yields of traditional bond market, and there is no obvious relationship of risk infection between them.