Abstract: Yu′ebao is the largest currency market fund in China. This paper constructs DCC-MVGARCH model and SVAR model from the two perspectives of the relationship between Yu′ebao′s yield and commercial banks′ interest rate and the systematic risk of commercial banks to discuss the impact of Internet finance on commercial banks. The research results show that there is a positive linkage relationship between Yu′ebao′s yield and commercial banks′ interest rate；in the long term, the development of Yu′ebao′s impact on the systemic risk of commercial banks tends to be balanced, but in the short term, the development of Yu′ebao is still increasing the systemic risk of commercial banks. Therefore, we should standardize the development of Internet finance, strengthen supervision, and make the mutual benefit of Internet finance and commercial banks while reducing the systemic risks of banks.

Key words: Internet finance, commercial banks, interest rate linkage, systemic risk