P2P网贷市场与正规金融市场——基于溢出效应的分析

P2P Internet Lending Market and the Formal Financial Market——An Empirical Analysis Based on the Spillover Effects

以P2P网贷利率作为研究中国互联网金融市场的切入点,在分析中国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,通过构建自相关VAR模型和多变量动态条件DCC-GARCH模型,对P2P网贷利率与传统金融市场利率以及正规金融市场基准利率的互动关系进行研究。研究结果验证了上海银行间同业拆放利率Shibor的基准利率地位:不仅对传统金融市场利率有影响,并且对新型互联网金融市场利率也具有前瞻引导作用,均存在溢出效应;随着互联网金融市场的不断发展,P2P网贷利率的作用正逐渐凸显,但P2P网贷利率尚处于发展初期,对其他利率的影响作用有限,正规金融市场基准利率对于P2P网贷市场利率仅存在单项溢出效应,但两者之间相关性不断提高。最后根据实证研究提出一系列针对性建议。

Taking P2P lending interest rate as an important starting point to study the internet finance in China, based on the mechanism of the volatility spillover between China＇s P2P lending interest rate and the traditional financial market interest rates, we build the VAR model and multivariable dynamic condition DCC-GARCH model to analyze the typical characteristics of P2P internet lending interest rate and its interaction with the traditional financial market interest rates.The results show that the benchmark interest rate position of Shibor has been verified：It has volatility spillover effects on both the P2P internet lending interest rate and the traditional financial market interest rates;With the continuous development of the Internet financial markets, the role of P2P internet lending interest rate is gradually highlighted, but the P2P internet lending interest rate still stays in the early developing stage,having few effect on other interest rates. The benchmark interest rate of formal financial markets has one-way spillover effects on P2P internet credit market interest rates, but the corelation between the two rises increasingly. Finally,a series of recommendations based on the research results are put forward.