Interdependence between Yu Ebao and Shibor:An Empirical Study Based on VAR-DCC-GARCH Model

摘要

As an alternative money market fund arising from the rapid development of internet finance, Yu ebao is inevitably highly related to Shibor with its assets mainly invested in the interbank market. 1) With its disproportionate impact on Shibor,a natural question is whether Yu ebao is a disrupter or builder of the interbank market. 2) Different answers to this question will influence not only the development of Yu ebao, but also the liberalization of China’s interest rates, even the growth of China’s financial market as a whole. 3) This paper finds that the effect of Yu ebao’s yield on Shibor is more significant than that of Shibor on Yu ebao, and that Yu ebao’s yield is less volatile than Shibor, which indicates high performance of risk management of Yu ebao. 4) This paper is different from previous literature by discovering a system of error correction in Yu ebao’s yield, which is helpful to smooth the fluctuation of Shibor. 5) By introducing an alternative empirical method VAR-CCC-MGARCH, this paper justifies its application of VAR-CCC-MGARCH model to capture the spillover effects of Yu ebao on Shibor.