民间借贷利率期限结构之谜——基于温州民间借贷利率监测数据的解释

Term Structure Conundrum of Informal Finance Interest Rate:An Interpretation Based on the Probe of Wenzhou

与以往文献中单一形态的利率期限结构不同,民间借贷利率期限结构存在递增形、U形、倒U形和波浪形等多种形状,长期利率低于短期利率成为通胀高企、经济下行时期一种持续的常态。我们将这种难以按常理解释的现象称为民间借贷的利率期限结构之谜。本文围绕民间借贷利率形成机制对其进行分析,认为"偏好习性理论"的"期限升水"是理解民间借贷利率结构多样性与异常性的关键,而"市场分割假说"则有助于说明异常现象为何能持续存在。此外,与"格林斯潘之谜"显示经济疲软一样,民间借贷利率期限结构持续异常可能也是民间金融系统性风险生成的重要表征。实证分析表明,民间借贷利率不存在长记忆性,并且有两类期限的民间借贷利率与CPI存在协整关系。这些结论对民间金融的监管具有重要启示。

Based on the analyses using monitoring data of the interest rate of informal finance provided by a rural credit association in Wenzhou, it ~s found that the term structures present four features, which are different from the single structure described in related literatures. The term structure exhibits monotonic increasing shape, U shape, inverted U shape, and undulate shape. The phenomenon that long-term rate is lower than short-term rate occurs persistently in the period of high inflation and decline in economy. This phenomenon is called term structure conundrum of informal finance interest rate. By analyzing the mechanism of the interest rate of informal finance, the term premium in preferred habitat theory is the key to understand the variability and the abnormal phenomenon of the term structure. Market segmentation hypothesis is helpful to interpret why the abnormal phenomenon exists persistently. Furthermore, just as Greenspan^s conundrum indicates the recession, the persistently abnormal phenomenon of the interest rate probably presages systematic risk of informal finance. The empirical analysis shows that long memory doesn＇t exist in the interest rate of informal finance. Moreover, the interest rate and CPI are highly correlated, which is demonstrated by the cointegration between two kinds of interest rates and CPI. The conclusions of this paper are significant to the administration of informal finance.