基于互联网金融的网贷利率特征研究

Research on the Characteristics of P2P Lending Interest Rate Based on Internet Finance

P2P网贷利率是研究中国互联网金融特征的重要切入点。本文在探究中国P2P网贷利率典型化事实和分析P2P网贷利率与传统金融市场利率之间波动溢出机理的基础上,通过运用单元和多元GARCH类模型对P2P网贷利率的典型特征以及与传统金融市场利率的互动关系进行研究。研究结果表明:第一,网贷利率波动具有集聚性、风险累积效应,同时不具备杠杆效应,对利好、利空信息反应大体一致,这意味着网贷市场风险性强而市场参与者风险意识不强。第二,验证了Shibor的基准利率地位,其对网贷利率、中债国债利率都有波动溢出效应,中债国债利率对网贷利率没有波动溢出效应。第三,网贷利率尚处于发展初期,对其他利率的影响作用有限,对Shibor和中债国债利率都没有波动溢出效应。最后根据实证研究结果提出系列针对性建议。

P2P lending interest rate is an important starting point of internet finance research in China. We analyze the typical characteristics of P2P lending interest rate and the interaction with the traditional financial market interest rates based on the stylized facts of the China＇s P2P lending interest rate and the mechanism of the volatility spillover between the China＇s P2P lending interest rate and the traditional financial market interest rates. The results show that China ＇s P2P lending interest rate volatility has clustering and risk accumulating effect,and simultaneously leverage features is not obvious and bad news or good news have the equal effect on the net lending interest,and this means that strong risk in the net loan market but the risk awareness of market participant is not strong. The benchmark interest rate position of Shibor has been verified,because it has volatility spillover to both the net lending interest rate and the national debt interest rate,and the national debt interest rate has not volatility spillover to the net lending interest rate. The net lending interest rate is still in the early developing stage,and it has little effect to the other interest rates,and has not volatility spillover to the Shibor and the national debt interest rate. Finally,we put forward a series of targeted recommendations based on the results of the research.