| The China’s bank deposit interest rates kept in low levels of long-term retention, and the stock adjustment of interest rate liberalization reforms meets a stagnation situation. However, the emergence of Yue’bao had being a strong driving force of interest rate marketization reform. The catfish effect of Yue’bao which forced the bank to achieve interest rate marketization has been concerned widely. Several problems exist in the literatures which involving Yue’bao promote market-oriented interest rate.(1) the catfish effect of Yue’bao is controversial;(2) There is no rigorous theoretical proof for the analysis of catfish effect which is still stuck in the logic;(3) Few empirical analysis exist of Yue’bao on promoting interest rate marketization. In this paper, we will analyze the catfish effect with dynamic game theory, and construct the VAR model to verify the catfish effect.Firstly, the working principle of Yue’bao had been analyzed, to elaborated catfish effect objectively and logically. Secondly, a three party dynamic game model which Yue’bao, bank and the regulatory authorities is included. In the stage of entering the market, two Nash equilibrium solutions are obtained depending on the different regulatory attitude. In the stage of shunting deposit, the catfish effect makes the bank to promote the interest rate marketization reform through the forced mechanism and the including mechanism, 4 Nash equilibriums exist. Finally, the dynamic relationship between the variables is analyzed through a VAR model which includes YEB, BFP and Shibor with the data June 2013 to March2015.We have the following conclusions through game analysis:(1) The passive response of the banks will increase their financing cost and drive up the social financing cost, this’ s socalled the force mechanism, which the banks do not take the initiative to raise their deposit rates in the face the impaction of Yue’bao, bank deposit rates have lost their ability to attract deposits, bank financing costs raised and interest rates space has been compressed. Regardless of whether banks choose to pass the cost of financing, bank deposit rates have been virtually promoted by Yue’bao, advanced bank deposit interest rate marketization in disguise.(2) It is critical to take the initiative response to advance deposit interest rate marketization, so as to improve the social welfare. Similarly, the inducing mechanism, which the banks do take the initiative to raise their deposit rates, bank deposit rates have kept the ability to attract deposits, bank financing costs raised and interest rates space has been compressed,, bank deposit rates have been virtually promoted by Yue’bao the same as forced mechanism. The difference is that banks terminated the Yue’bao diversion trends with the initiative to raise deposit rates, which promoted markeization interest rate reform, while ensuring the stability of the financial system.Empirical Analysis of results are as follows:(1)YEB and BFP reaction on Shibor interest rates are positive impulse response. Shibor increased as the rise of YEB. This shows that, YEB has a heavy impact on Shibor in the period studied, which is actually Yue’bao have a impact on market interest rates, and advances the interest rate marketizaton reforms.(2) The impulse response of YEB to BFP is positive, that is, YEB increased with BFP promoted; the impaction of YEB for BFP is 60.73% far greater than BFP to YEB 5.89%. This shows Yue’bao brought a greater impact on the banking system, the bank had to raise the yield of financial products, which disguised promote the interest rate market-oriented reforms.(3) Shibor has a positive pulse effect for YEB and BFP, but the impaction of Shibor is very low for both. This means Yue’bao’s scale and the increasing influence have a strong impact on the currency market, promoting deposit interest rate marketization, to some extent, also disrupted the financial order at the same time. |
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