Abstract:
P2P lending interest rate is an important starting point of internet finance research in China. We analyze the typical characteristics of P2P lending interest rate and the interaction with the traditional financial market interest rates based on the stylized facts of the China's P2P lending interest rate and the mechanism of the volatility spillover between the China's P2P lending interest rate and the traditional financial market interest rates. The results show that China's P2P lending interest rate volatility has clustering and risk accumulating effect, and simultaneously leverage features is not obvious and bad news or good news have the equal effect on the net lending interest, and this means that strong risk in the net loan market but the risk awareness of market participant is not strong. The benchmark interest rate position of Shibor has been verified, because it has volatility spillover to both the net lending interest rate and the national debt interest rate, and the national debt interest rate has not volatility spillover to the net lending interest rate. The net lending interest rate is still in the early developing stage, and it has little effect to the other interest rates, and has not volatility spillover to the Shibor and the national debt interest rate. Finally, we put forward a series of targeted recommendations based on the results of the research.
何启志, 彭明生. 基于互联网金融的网贷利率特征研究[J]. 金融研究, 2016, 436(10): 95-110.
HE Qizhi, PENG Mingsheng. Research on the Characteristics of P2P Lending Interest Rate Based on Internet Finance. Journal of Financial Research, 2016, 436(10): 95-110.
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