|
|
|
Research on the Characteristics of P2P Lending Interest Rate
Based on Internet Finance |
| HE Qizhi, PENG Mingsheng
|
| School of Finance, Anhui University of Finance & Economics |
|
|
|
|
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.
|
|
Received: 16 May 2016
Published: 01 January 1900
|
|
|
|
|
| [1] |
陈霄和叶德珠,2016,《中国P2P网络借贷利率波动研究》,《国际金融研究》第1期,第83～96页。
|
| [2] |
洪永淼和林海,2006,《中国市场利率动态研究:基于短期国债回购利率的实证分析》,《经济学季刊》第2期,第511～532页。
|
| [3] |
李秋萍,李长健和肖小勇,2014,《产业链视角下农产品价格溢出效应研究—基于三元VAR-BEKK-GARCH(1,1)模型》,《财贸经济》第10期,第125～136页。
|
| [4] |
马骏和王红林,2014,《政策利率传导机制的理论模型》,《金融研究》第12期,第1～22页。
|
| [5] |
叶茜茜,2011,《影响民间金融利率波动因素分析—以温州为例》,《经济学家》第5期,第66～73页。
|
| [6] |
俞林,康灿华和王龙,2015,《互联网金融监管博弈研究:以 P2P 网贷模式为例》,《南开经济研究》第5期,第126～139页。
|
| [7] |
杨坤,曹晖和孙宁华,2015,《非正规金融、利率双轨制与信贷政策效果—基于新凯恩斯动态随机一般均衡模型的分析》,《管理世界》第5期,第41～51页。
|
| [8] |
Allen, F., Qian, J., Qian, M., 2005, “Law, Finance and Economic Growth in China”, Journal of Financial Economics, 77(1),pp.57～116.
|
| [9] |
Bollerslev, T., 1986, “Generalized Autoregressive Conditional Heteroskedasticity”, Journal of Econometrics, 31(3), pp.307～327.
|
| [10] |
Bollerslev, T., Mikkelsen, H.O., 1996,“Modeling and Pricing Long-Memory in Stock Market Volatility”, Journal of Econometrics,73(1),pp.151～184.
|
| [11] |
Chen, D., Han, C, 2012,“A Comparative Study of Online P2P Lending in the USA and China”, Journal of Internet Banking and Commerce,17(2),pp.2～15.
|
| [12] |
Herrero-Lopez, S., 2009, “Social interactions in P2P lending”, Proceedings of the 3rd Workshop on Social Network Mining and Analysis, ACM.
|
| [13] |
Engle R.F., Kroner, K.F., 1995, “Multivariate Simultaneous Generalized ARCH”, Econometric Theory, 11(1), pp.122～150.
|
| [14] |
Klafft,M. 2008,“Online Peer-to-Peer Pending:A Lender’s Perspective”, Proceedings of the International Conference on E-Learning, pp. 371~375.
|
| [15] |
Nelson, D. B., 1991, “Conditional Heteroskedasticity in Asset Returns: A New Approach”, Econometrica, 59 (2), pp: 347~370.
|
| [16] |
Pope, D.G, Sydnor, J.R, 2011,“What’ s in a Picture? Evidence of Discrimination from Prosper.com”, Journal of Human Resources, 46(1),pp. 53～92.
|
| [18] |
Ravina, E, 2008,“Love & loans: the Effect of Beauty and Personal Characteristics in Credit Markets”, Available at SSRN 1107307.
|
|
Weiβ, G. N. F., Pelger, K., Horsch, A., 2010,“Mitigating Adverse Selection in P2P Lending-Empirical Evidence from Prosper.com”, available at: http://ssrn.com/abstract=1650774.
|
| No related articles found! |
|
|
|
|
