摘要
P2P网贷利率作为互联网金融市场价格体系核心,其溢出效应在很大程度上反映了互联网金融发展演进影响下的宏观经济运行状态。本文在系统回顾P2P网贷利率微观机制与宏观效应文献基础上,通过Granger因果关系检验并构建多元DCC-GARCH模型,实证分析了我国P2P网贷利率与正规金融市场利率的动态关联关系。研究发现:首先,P2P网贷利率波动具有聚集性特征,相对较高的利率水平并未明显改善非金融企业部门的融资困境;其次,Shibor基准利率对于P2P网贷利率与中债国债利率都具有引导作用,然而与中债国债利率存在双向溢出效应,且动态相关性更强,与P2P网贷利率仅存在单向溢出效应;第三,P2P网贷利率与中债国债利率动态关系不显著,表明我国正规金融市场与非正规金融市场之间仍然存在着结构失衡与人为分割;最后,本文从健全外部监管体制、完善内部运营机制两个层面提出针对性建议。
As the core of price system of internet financial market,the spillover effect of P2P lending interest rate reflects the state of macroeconomic operation to a certain extent under the influence of the evolution of Internet financial development. Based on the systematic review of the literature on the micro-mechanism and Macro-effect of P2P lending interest rate,this paper empirically analyzes the dynamic relationship between P2P lending interest rate and the interest rate of formal financial market in China by Granger causality test and constructing a multivariate DCC-GARCH model. And the following conclusions are achieved:Firstly,the fluctuation of P2P lending interest rate has the characteristics of agglomeration. Relatively high interest rate does not significantly reduce the financing costs of non-financial sector. Secondly,the benchmark interest rate has a guiding effect on both P2P lending interest rate and national debt interest rate. However,there is a two-way spillover effect on national debt interest rate,and the dynamic correlation is stronger. There is only one-way spillover effect with P2P lending interest rate. Thirdly,the dynamic relationship between P2P lending interest rate and national debt interest rate is not obvious,which indicates that structural imbalance and artificial segmentation still exist between the formal and informal financial markets in China. Finally,this paper puts forward targeted suggestions from the two perspectives of perfecting the external supervision system and improving the internal operation mechanism.
作者
徐云松
Xu Yunsong(Postdoctoral Program,Central University of Finance and Economics,Beijing 100081)
出处
《金融发展研究》
北大核心
2019年第1期55-61,共7页
Journal Of Financial Development Research
基金
国家社会科学基金重点项目"当代垄断资本金融化研究"(12AJL002)
作者简介
徐云松,男,贵州凯里人,中央财经大学博士后科研流动站,中央财经大学经济学院理论经济学在站博士后,中央财经大学金融学院金融学博士,研究方向为金融理论与政策。
