网络借贷P2P:利差是否包含违约风险隐含信息?——来自人人贷交易数据的实证分析

Online P2P Lending: Does the Spread Contain Hidden Information about Default Risk?——An Empirical Study Based on Transaction Data from Renrendai. com

基于Probit和Tobit模型,以人人贷2011年1月1日至2015年9月30日交易数据为基础,研究网络借贷P2P利差即包含借款人与投资人之间不对称信息的利率部分是否隐含借款人的违约风险信息。研究发现,浮动区间型利率机制下,利差与借款人违约风险具有正向相关关系,利差越大,借款人违约概率越高,表明利差确实包含借款人违约风险隐含信息。进一步探究借款人愿意增加借款资金成本的原因发现,利差与借款人获得借款的急切程度相关,具体表现为利差与满标所需时间呈反向相关关系,即利差越大,满标所需时间越短。

Based on Probit and Tobit models, and by using transaction data from Janu- ary 1st 2011 to September 30th 2015 on Renrendai. corn, this paper tries to investigate whether the spread between the borrower and investors can reflect the default risk of the borrower on online P2P lending. The results show that there is a positive relationship be- tween the spread and default risk of the borrower in the floating mechanism of interest rate determining： The larger the spread, the higher the probability that the borrower defaults. This shows the spread does contain hidden information of borrower~ default risk. The paper does further research on the reason why borrowers are willing to increase the cost of borrow- ing money, finding spreads are relevant to the borrower~ degree of urgency to obtain the bor- rowing money. Specifically, the spread is inversely correlated with the time required for the completion of a list, which means the greater the spread, the shorter the time required for the completion of a list.