中国P2P网络借贷利率波动研究  

An Empirical Research on China's P2P Lending Interest Rate Volatility

作　　者：陈霄[1] 叶德珠[1,2] 

机构地区：[1]暨南大学经济学院金融系 [2]暨南大学金融研究所

出　　处：《国际金融研究》2016年第1期83-96,共14页Studies of International Finance

基　　金：国家自然科学基金项目(71473102);教育部人文社科基金项目(13YJA790139)资助

摘　　要：P2P网络借贷现已成为中国互联网金融市场的重要组成部分,但是目前还未有从宏观角度探索网贷市场利率整体波动性的相关研究。本文运用网贷市场2012-2014年的每日数据进行实证分析,结果表明,样本期间网贷市场利率的波动存在"逆周期性",并且与Shibor之间存在单向溢出效应。进一步使用AR-GARCH模型来刻画网贷市场利率的波动特征,发现网贷市场利率的波动存在显著的聚集性和反转效应并且具有宽尾的特征,而杠杆效应所带来的影响并不显著。The P2P lending has become an important part of China＇s internet financial markets, but so far there has been no research from a macro perspective to explore the internet lending market interest rate volatility. We use the daily data of the online credit market from 2012 to 2014 for empirical analysis, and the results show that the online lending market interest rate fluctuations during the sample period demonstrated a ＂reverse cycle＂, having one-way spillover effect on the Sbibor. Furthermore, by using AR-GARCH model to analyse the fluctuation characteristics of online lending market interest rate, we find that the online lending market interest rate fluctuations demonstrate significant aggregation and reversal effect with the characteristics of wide tail, while the leverage effect is not significant.

关 键 词：P2P 网络借贷 利率 ARCH 

分 类 号：F830.9[经济管理—金融学]