P2P网贷双轨制定价模式下收益率波动研究——来自拍拍贷的经验证据

Research on the Yield Rate Fluctuation of P2P Lending Based on Double-track Pricing——Evidence from Paipaidai

基于拍拍贷平台的网贷交易数据,采用GARCH类模型分析了平台定价与市场定价两种利率定价模式下,投资人的实际收益率之间及其与投资人风险偏好之间的波动溢出效应。研究结果表明:(1)两种定价模式下投资人的收益率均具有明显的波动聚集性,平台集中定价下收益率波动不具有杠杆效应,而市场定价下收益率波动具有与传统金融市场不同的"放大利好,缩小利空"的反杠杆特征;(2)两种定价模式下的投资人实际收益率具有明显的双向波动溢出效应,网贷平台可通过平台定价产品的收益率波动有效引导市场定价产品的收益率的波动;(3)受投资人信息处理能力的限制,反映投资人风险偏好的预期收益率对两种定价模式下的实际收益率波动并不敏感。

Based on paipaidai＇s transaction data, We use GARCH model to analyze the volatility spillover effect between two kinds of real yield rate fluctuation and risk appetite （expected yield） of investors in both patterns of platform centralized pricing and market pricing. The results show that ： （ 1 ） Both of the yield rate fluctuation in two pricing patterns have obvious clustering, and the yield rate of platform pricing doesn＇t have leverage feature, but market pricing shouts the reverse leverage features which enlarge bull and reduce bear. （2） There＇re obviously bidirectional volatility spillover effect between the two kinds of real yield. P2P Lending platform can guide the yield priced by market through adjusting the yield priced by platform, which explained the validity of double-track pricing system in P2P lending. （ 3 ） Because of the weak ability of dealing with rich infnormation, the expected yield indicating risk appetite of investors is insensitive to fluctuation of two kinds of real yield.