中国P2P网贷人气与发展的跨期关系——基于非线性Granger因果检验的研究

The Inter-temporal Relationship Between the Popularity and Development of China's P2P Network Lending——Based on the Nonlinear Granger Causality test

从P2P网贷系统的资金端和资产端出发,运用非线性Granger因果检验方法实证分析了中国P2P网贷人气与发展的跨期关系。研究表明:中国P2P网贷的人气与发展之间存在着显著的双向非线性Granger因果关系。不同样本期的动态递归结果显示在5%的显著性水平下,从2014年6月16日起,网贷市场开始表现出由人气到发展的显著非线性Granger因果关系,并且当前网贷人气对发展的牵引作用趋于稳定;从2014年10月5日起,网贷市场开始表现出由发展到人气的显著非线性Granger因果关系,并且当前网贷发展对人气的牵引作用呈显著增强趋势。与此同时,通过对中国12个省市的情况进行考察,发现各个地区网贷人气与发展的跨期关系差异明显。上海、广东、深圳等P2P网贷业务量靠前的省市当前只存在着发展对人气的单向非线性Granger因果关系;河南、湖北、四川等省份当前则存在着人气与发展的双向非线性Granger因果关系。最后通过方差分解,发现中国P2P网贷发展对人气的贡献率超过了人气自身的贡献率,达到73.68%;而中国P2P网贷人气对发展的贡献率有限,仅为20.15%。研究结论说明:中国P2P网贷平台在运营中应该把握好"两点论"即"人气与发展同时兼顾"和"重点论"即"发展才是硬道理"这两大信条,两手都要抓的同时不能本末倒置,避重就轻。

Starting from the two ends-capital and asset of the P2P network lending-and using the method of nonlinear Granger causality test, the inter-temporal relationship between the popularity and development of China＇ s P2P network lending has been analyzed. The finding shows that a bi-directional nonlinear Granger causality relationship exists between the popularity and development of China＇ s P2P network lending. The dynamic recursion results derived from different sampling periods show that at the 5% significance level and starting from June 16, 2014, the network lending market began to demonstrate a significant nonlinear Granger causality relationship between its popularity and development besides the indication that the leading role of the development for the popularity of the network lending market remains stable. Since October 5, 2014, a significant nonlinear Granger causality relationship have been observed between the development and popu- larity of the network lending market; and the development of the current network lending has been increas- ingly affecting its popularity. Meanwhile, an investigation was conducted in China＇ s twelve provinces and cities, which reveals that different inter-temporal relationships between the popularity and development of network leading in different regions do exist. In Shanghai, Guangdong, and Shenzhen where P2P network lending market is active, one-direction nonlinear Granger causality relationship exists between the develop- ment and popularity; meanwhile in Henan, Hubei, Sichuan the current network lending market demonstrates a bidirectional nonlinear Granger causality relationship between the development and popularity. In the end, through variance decomposition, it is found that the development of China＇ s network lending does more con- tribution to the increase of its popularity rather than vice versa, with the former rating 73.68% and the latter 20.15%. It is concluded that in China＇ s P2P network lending business dualism should be emphasized, namely ＂popularity and development are equally important＂ and ＂development is absolute＂; meanwhile effort should be made to avoid paying too much attention to trifle details at the cost of holistic pictures and future vision.