本文選題：P2P網(wǎng)絡(luò)借貸　切入點：波動溢出效應(yīng)　出處：《山東大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

【摘要】：謝平和鄒傳偉于2012年提出了"互聯(lián)網(wǎng)金融"的概念,這一概念一時間引起了政府和學(xué)者們的廣泛關(guān)注,互聯(lián)網(wǎng)金融也被多次寫入政府工作報告當(dāng)中。P2P網(wǎng)貸作為互聯(lián)網(wǎng)金融市場的重要組成部分,其興衰成敗關(guān)系著整個互聯(lián)網(wǎng)金融市場的穩(wěn)定與發(fā)展。我國于2007年成立了第一家P2P網(wǎng)貸平臺,并在隨后幾年時間里得到了迅速的發(fā)展。P2P網(wǎng)貸市場的迅速發(fā)展,是由于P2P網(wǎng)貸平臺具備多種融資優(yōu)勢:相較于民間借貸,P2P網(wǎng)貸利用互聯(lián)網(wǎng)技術(shù)大大提高了借貸效率,降低了借貸成本;相較于銀行借貸,P2P網(wǎng)貸門檻更低,交易更加方便。但P2P網(wǎng)貸市場仍存在眾多發(fā)展障礙。信息不對稱、缺少抵押擔(dān)保、相關(guān)法律法規(guī)不健全、監(jiān)管不到位等問題使得近年來P2P網(wǎng)貸平臺的跑路事件頻發(fā),問題平臺數(shù)量居高不下。國內(nèi)學(xué)者對如何促進(jìn)P2P網(wǎng)貸市場的健康發(fā)展,從平臺本身制度的完善、法律法規(guī)的制定、監(jiān)管的有效性等方面做出大量的研究。但對P2P網(wǎng)貸的研究多側(cè)重于理論分析,較少有學(xué)者利用P2P網(wǎng)貸的真實數(shù)據(jù)進(jìn)行實證分析。而P2P網(wǎng)貸利率是認(rèn)識和了解網(wǎng)貸市場的主要突破口,其波動性能夠反映網(wǎng)貸市場的風(fēng)險水平,對該波動規(guī)律進(jìn)行研究,有利于從根本上把握P2P網(wǎng)貸利率的特征。本文首先分析了 P2P網(wǎng)貸利率的典型化事實,初步探究了 P2P網(wǎng)貸利率的特征。其次對P2P網(wǎng)貸利率與正規(guī)金融市場利率的溢出機(jī)制進(jìn)行了分析。在實證研究方面,本文選取了 P2P網(wǎng)貸利率2013-2016年間的數(shù)據(jù),借助VAR和GARCH類模型,在分析P2P網(wǎng)貸利率自身波動性的基礎(chǔ)上,進(jìn)一步探究其與正規(guī)金融市場利率之間的波動溢出效應(yīng)。通過研究發(fā)現(xiàn),P2P網(wǎng)貸利率明顯高于正規(guī)金融市場利率,P2P網(wǎng)貸市場的無法為資金需求者提供成本較低的融資。其次,P2P網(wǎng)貸利率存在波動性集聚,其前期波動會對自身造成一個持久性的影響,并且P2P網(wǎng)貸利率不存在明顯的不對稱效應(yīng)。這些特征都表明P2P網(wǎng)貸市場較不成熟,市場參與者缺乏風(fēng)險防范意識和風(fēng)險識別的能力。此外,P2P網(wǎng)貸利率與正規(guī)金融市場利率之間存在著波動溢出效應(yīng),且在本文研究的前后兩個時間段內(nèi),其作用機(jī)制略有不同。針對上述結(jié)論,本文提出了相關(guān)政策建議,以期為投資者提供一定的決策依據(jù),并且為金融當(dāng)局引導(dǎo)P2P網(wǎng)貸市場穩(wěn)健發(fā)展提供有益的借鑒。
[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.
【學(xué)位授予單位】：山東大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F724.6;F832

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