民间借贷利率期限结构之谜——基于温州民间借贷利率监测数据的解释

发布时间：2018-04-13 09:40

本文选题：民间借贷 + 利率期限结构　；参考：《财贸经济》2012年10期

【摘要】：与以往文献中单一形态的利率期限结构不同,民间借贷利率期限结构存在递增形、U形、倒U形和波浪形等多种形状,长期利率低于短期利率成为通胀高企、经济下行时期一种持续的常态。我们将这种难以按常理解释的现象称为民间借贷的利率期限结构之谜。本文围绕民间借贷利率形成机制对其进行分析,认为"偏好习性理论"的"期限升水"是理解民间借贷利率结构多样性与异常性的关键,而"市场分割假说"则有助于说明异常现象为何能持续存在。此外,与"格林斯潘之谜"显示经济疲软一样,民间借贷利率期限结构持续异常可能也是民间金融系统性风险生成的重要表征。实证分析表明,民间借贷利率不存在长记忆性,并且有两类期限的民间借贷利率与CPI存在协整关系。这些结论对民间金融的监管具有重要启示。
[Abstract]:Different from the single form of term structure of interest rate in the previous literature, the term structure of private lending interest rate has many shapes, such as increasing U shape, inverted U shape and wave shape, etc. The long term interest rate is lower than the short term interest rate and the inflation is high.The economic downturn is a constant normality.We call this inexplicable phenomenon the riddle of the term structure of private lending rates.Based on the analysis of the formation mechanism of private lending interest rate, this paper holds that "term rise water" of "preference habit theory" is the key to understand the diversity and heterogeneity of private lending interest rate structure.The market segmentation hypothesis helps explain why anomalies persist.In addition, as the Greenspan puzzle shows economic weakness, the continued anomaly in the term structure of private lending rates may also be an important sign of systemic risk generation in private finance.The empirical analysis shows that there is no long-term memory of the private lending interest rate and there is a cointegration relationship between the private loan interest rate and CPI with two kinds of maturities.These conclusions have important enlightenment to the supervision of private finance.
【作者单位】：浙江财经学院金融学院;浙江财经学院数学与统计学院;
【基金】：教育部人文社会科学研究青年基金项目(10YJC790046、12YJA910003) 浙江省自然科学基金项目(Y6110615、LY12G03022) 浙江省哲学社会科学规划课题(12YD42YB) 浙江省社科联研究项目(2010N28) 温州大学金融研究院基金的资助
【分类号】：F224;F832.4

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