连续型货币变量对货币市场基金收益率影响的实证分析  

An Empirical Analysis of Impact of Continuous Monetary Variables on the Yields of Money Market Funds

作　　者：徐昆[1] 

机构地区：[1]南京工业职业技术学院经济管理学院,江苏南京210023

出　　处：《南京工业职业技术学院学报》2016年第1期44-49,共6页Journal of Nanjing Institute of Industry Technology

摘　　要：用连续型货币变量和货币市场基金月平均收益率建立向量自回归模型(VAR模型),并对模型做进一步的脉冲响应和方差分解分析,从而分析变量对货币市场基金收益率的影响。通过实证分析可知,货币市场基金收益受自身的影响最大,市场利率是对货币市场基金收益率影响程度最大的外在因素。The paper constructs a vector auto-regressive model（ VAR model） with continuous monetary variables and average monthly returns of money market funds,andmakes a further analysis of impulse response and variance decomposition of the model,analyzing the impact of variables on the returns of money market funds. Through empirical analysis,we can see that returns of money market funds are most affected by its own,with market interest rates being the greatest external factors on money market funds interest rate.

关 键 词：VAR模型 连续型货币变量 货币市场基金 实证研究 

分 类 号：F830.91[经济管理—金融学] F224F820.4