非正规金融市场波动存在非对称效应吗？——基于P2P网贷利率的经验证据  

Is There an Asymmetric Effect of Fluctuation in Informal Financial Market?

作　　者：徐云松 Xu Yunsong(Business School,Beijing Language and Culture University,Beijing 100083,China)

机构地区：[1]北京语言大学商学院

出　　处：《经济与管理》2019年第6期58-64,共7页Economy and Management

基　　金：北京语言大学校级新任教师教学成长项目(FD201911)

摘　　要：P2P网贷利率作为非正规金融市场价格体系的核心,其波动效应在很大程度上体现了非正规金融的演进趋势,反映了宏观经济的运行状态。通过构建GARCH族模型对我国P2P网贷利率的波动特征以及非对称效应进行实证检验发现:P2P网贷利率波动具有厚尾与集聚性特征,网贷市场未表现出高风险与高收益相匹配的一般规律,仍处于风险相对集聚的发展阶段;网贷市场存在显著的非对称效应,其信息冲击反应机制与传统的正规金融市场相反;行为监管缺失与非理性羊群行为充斥市场诱致了一系列金融乱象,加剧了金融脆弱性。因此,应尽快健全网贷市场外部监管体制,完善网贷平台内部运营机制。As the core of price system of informal financial market,the fluctuation effect of P2 P lending interest rate reflects the evolution trend of informal finance to a great extent, and reflects the state of macroeconomic operation. This paper constructs GARCH models to test the volatility characteristics and asymmetric effects of P2 P lending interest rate in China.And the following conclusions are achieved: the fluctuation of P2 P lending interest rate has the characteristics of thick tail and agglomeration. There is no general law of matching high risk with high return in the net loan market,and it is still in the stage of relative risk concentration. There is a significant asymmetric effect in the net loan market,and its information shock response mechanism is contrary to the traditional formal financial market. The absence of behavioral regulation and irrational herd behavior flooding the market led to a series of financial disorders, exacerbating financial vulnerability.Therefore,as soon as possible,we should perfect the external supervision system of net loan market and improve the internal operation mechanism of net loan platform.

关 键 词：非正规金融市场 P2P网贷利率 波动特征 非对称效应 GARCH族模型 

分 类 号：F832[经济管理—金融学]