基于GARCH-Vine-Copula模型的P2P网贷市场区域利率相依性研究

Research on Regional Dependence of P2P Lending Interest Rate Based on GARCH-Vine-Copula Model

文章从区域角度出发,考虑"宽监管"与"严监管"两个时段,引入藤Copula模型,对P2P利率市场的相依结构进行刻画。研究结果表明:(1)R藤Copula相比C藤Copula更适合用来刻画P2P区域间的相依结构;(2)由"宽监管"进入"严监管"时期,P2P市场利率区域间相依性整体减弱,表明趋严的监管对于降低区域间风险传递是有效的;(3)发达区域的利率引导作用较弱。本文对于P2P监管方向以及监管侧重点的选择具有一定的参考价值。

Under the coverage of Internet technology, P2 P lending has broken through geographical restrictions to a certain extent. Is there some relationship between regions in terms of P2 P interest rate? In view of the shortcomings of previous research, this paper takes the 'loose supervision' and 'strict supervision' into account,introducing the vine Copula model to describes the dependent structure of the P2 P markets based on regional data.The results show that:(1) R-Vine Copula is more suitable for depicting the interdependent structure between P2 P regions than C-Vine Copula.(2) From the period of 'loose supervision' to 'strict supervision', the inter-regional dependence of P2 P interest rates is weakened overall, indicating that strict supervision is effective for reducing inter-regional risk infection.(3) the developed regions is weak in interest rate guidance. This paper has certain reference value for the direction of P2 P supervision and the choice of supervision focus.