P2P网贷市场与正规金融市场间的波动溢出效应

发布时间：2018-03-19 11:51

本文选题：P2P网络借贷　切入点：波动溢出效应　出处：《山东大学》2017年硕士论文　论文类型：学位论文

【摘要】：谢平和邹传伟于2012年提出了"互联网金融"的概念,这一概念一时间引起了政府和学者们的广泛关注,互联网金融也被多次写入政府工作报告当中。P2P网贷作为互联网金融市场的重要组成部分,其兴衰成败关系着整个互联网金融市场的稳定与发展。我国于2007年成立了第一家P2P网贷平台,并在随后几年时间里得到了迅速的发展。P2P网贷市场的迅速发展,是由于P2P网贷平台具备多种融资优势:相较于民间借贷,P2P网贷利用互联网技术大大提高了借贷效率,降低了借贷成本;相较于银行借贷,P2P网贷门槛更低,交易更加方便。但P2P网贷市场仍存在众多发展障碍。信息不对称、缺少抵押担保、相关法律法规不健全、监管不到位等问题使得近年来P2P网贷平台的跑路事件频发,问题平台数量居高不下。国内学者对如何促进P2P网贷市场的健康发展,从平台本身制度的完善、法律法规的制定、监管的有效性等方面做出大量的研究。但对P2P网贷的研究多侧重于理论分析,较少有学者利用P2P网贷的真实数据进行实证分析。而P2P网贷利率是认识和了解网贷市场的主要突破口,其波动性能够反映网贷市场的风险水平,对该波动规律进行研究,有利于从根本上把握P2P网贷利率的特征。本文首先分析了 P2P网贷利率的典型化事实,初步探究了 P2P网贷利率的特征。其次对P2P网贷利率与正规金融市场利率的溢出机制进行了分析。在实证研究方面,本文选取了 P2P网贷利率2013-2016年间的数据,借助VAR和GARCH类模型,在分析P2P网贷利率自身波动性的基础上,进一步探究其与正规金融市场利率之间的波动溢出效应。通过研究发现,P2P网贷利率明显高于正规金融市场利率,P2P网贷市场的无法为资金需求者提供成本较低的融资。其次,P2P网贷利率存在波动性集聚,其前期波动会对自身造成一个持久性的影响,并且P2P网贷利率不存在明显的不对称效应。这些特征都表明P2P网贷市场较不成熟,市场参与者缺乏风险防范意识和风险识别的能力。此外,P2P网贷利率与正规金融市场利率之间存在着波动溢出效应,且在本文研究的前后两个时间段内,其作用机制略有不同。针对上述结论,本文提出了相关政策建议,以期为投资者提供一定的决策依据,并且为金融当局引导P2P网贷市场稳健发展提供有益的借鉴。
[Abstract]:In 2012, Xie Ping and Zou Chuanwei put forward the concept of "Internet finance", which has attracted extensive attention from the government and scholars. Internet finance has also been written many times into the government work report. P2P network lending is an important part of the Internet financial market. In 2007, our country established the first P2P network loan platform, and got the rapid development in the following years. This is because P2P lending platforms have a variety of financing advantages: compared with private lending, P2P network lending has greatly improved lending efficiency and reduced borrowing costs compared with private lending, and the threshold of P2P loans is lower than that of banks. Transaction is more convenient. However, there are still many obstacles to the development of P2P network loan market. The information asymmetry, lack of mortgage guarantee, imperfect laws and regulations, inadequate supervision and other problems make the P2P network loan platform run the road events frequently in recent years. The number of problem platforms is high. Domestic scholars on how to promote the healthy development of P2P network loan market, from the platform itself system perfection, the formulation of laws and regulations, A lot of research has been done on the effectiveness of supervision, but the research on P2P network loan is mainly focused on the theoretical analysis. Few scholars use the real data of P2P network loan to carry on the empirical analysis, but the P2P net loan interest rate is the main breakthrough to know and understand the net loan market, its volatility can reflect the risk level of the network loan market. It is beneficial to grasp the characteristics of P2P network loan interest rate fundamentally. Firstly, this paper analyzes the typical facts of P2P network loan interest rate. This paper probes into the characteristics of P2P net loan interest rate. Secondly, it analyzes the spillover mechanism between P2P net loan rate and formal financial market interest rate. In the empirical research, this paper selects the data of P2P network loan interest rate from 2013 to 2016. With the help of VAR and GARCH model, based on the analysis of the volatility of P2P lending rate, Through the research, it is found that the P2P net loan interest rate is obviously higher than the formal financial market interest rate P2P net loan market can not provide low cost financing for the capital demanders. Secondly, the interest rate of P2P network loan exists volatility agglomeration, These characteristics indicate that the P2P network loan market is relatively immature. Market participants lack the awareness of risk prevention and the ability to identify risks. In addition, there is volatility spillover effect between P2P loan rate and formal financial market interest rate, and in the two time periods before and after this study, The mechanism is slightly different. In view of the above conclusions, this paper puts forward some relevant policy suggestions, in order to provide some decision basis for investors, and provide useful reference for financial authorities to guide the steady development of P2P network loan market.
【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F724.6;F832

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