Research On The Influence Factors Of Credit Spreads On Internet Financial Products

The concept of the Internet financial is put forward for the first time in April 2012 at the "Finance 40 annual meeting".In June 2013,the ant financial "balance of treasure" made the Internet financial products more widely known.P2 P and crowdfunding developed rapidly in 2014.By the end of 2015,China's Internet financial total size of more than 12 trillion,nearly 20% of GDP.The number of Internet financial users exceeds 500 million,ranking first in the world.To the end of December 2016,the number of net lending industry platform has reached 2448,the Internet consumer finance market scale is expected to exceed 1 trillion in 2017,and is expected to reach 3.4 trillion by 2019,the compound growth rate of close to 100% in the last three years.Under the Internet environment,financial products have the advantage of low cost,wide variety,low threshold,good liquid,make up the shortfall of traditional financial products.At the same time,it combines the systematic and unsystematic risk of traditional financial products and the specific risks of the Internet financial environment.Therefore research on credit spreads of Internet financial products through analysis of the influence factors is of good significance,we can find out the influence factors and influence degree,then find out the key factors influencing the financial product benefits under the Internet environment.Thus we can put forward reasonable decisions for financial regulators,internet financial products distribution platform and investors.On the basis of the analysis of present situation of domestic and foreign related research,combining the actual situation of internet financial products,we can study on the perspective of systemic risk factor,the idiosyncratic risk factors,Internet risk factor.We select the samples of financial products of copper street,micro lending network Internet financial companies since January 2,2017 to June 30,2017,totally119 Internet financial products,based on which we study on the influence factors of the credit spreads.To calculate the credit spread of financial products,we use the Nelson-Siegel-Svensson model(1995)to get the term structure of interest rates,nonlinear programming method to get the risk-free interest rate based on the Treasury yield,zero volatility spread method(z-spread)to get internet credit spreads of financial services products.In this paper,the influence factors of credit spreads of Internet finance products are divided into three aspects: systemic risk factor,non-systematic risk factor and Internet risk factor.In terms of systemic risk factor selection,the bond index yield after term structure adjustment,banking climate index,the purchasing managers' index,consumer price index,the Shanghai composite index,broad money supply are selected as systemic risk factors.We use RESSET database,Ifund database to get samples,obtain daily sequence through spline interpolation method.By regression analysis,the Shanghai composite index and broad money supply are excluded,for which have no significant linear relationship with credit spreads.It is determined that the bond index yield after term structure adjustment,banking climate index,the purchasing managers' index,consumer price index are the systemic risk factors of credit spreads.In the selection of idiosyncratic risk factors,unsystematic bond volatility and unsystematic stock volatility are the idiosyncratic risk factors.By regression analysis,unsystematic stock volatility is eliminated because it has no significant linear relationship with credit spreads.It is determined that unsystematic bond volatility is the idiosyncratic risk factor of credit spreads.In the selection of Internet risk factors,the Internet financial development index of Ifund database is used as the Internet risk factor.After regression analysis,the Internet financial development index is considered as the Internet risk factor of credit spreads.Consider credit spreads of internet financial products as the explained variable,the above selection of systemic risk factor,the idiosyncratic risk factors,internet risk factor as explanation variables,establish multiple regression model,use the least square method,parameter significance test for static study,use vector autoregression model and pulse corresponding analysis for dynamic research,the model's goodness of fit is 0.8652,through the model we conclude that the bond index yield after term structure adjustment,banking climate index,the purchasing managers' index,the consumer price index,the unsystematic bond volatility,Internet financial development index are important influence factors of credit spreads of financial services products.Through the research process,this paper conclude that the bond index yield after term structure adjustment increase 1 unit,credit spread widens 0.41 units,the pulse corresponds to a positive impact,shows that the systemic risk of bond market widens credit spreads;Banking climate index increase 1 unit,credit spread widens 2.41 units,the pulse corresponds to a significantly positive impact,indicates that the development of traditional banking,to some extent,has a "crowd out" effect on financial products of small and medium internet finance companies;Purchasing managers' index increase 1 unit,the credit spread increases 0.10 units,but the dynamic negative pulse is obvious,showing the lagging characteristic of the PMI,and indicating that the development of manufacturing industry narrows the credit spread.The consumer price index CPI increases 1 unit,credit spread decreases 0.19 per unit,but the dynamic positive pulse is obvious,showing the lagging characteristic of the CPI,and indicating that CPI is a good explanation of the inflation part of the credit spreads and CPI widens credit spread.Unsystematic bond volatility increases 1 unit,credit spread increases 0.41 units,and the dynamic pulse response generates a positive impact,indicating that the risk of non-systemic bonds widens credit spreads.Internet financial development index increase 1 unit,credit spread increases 2.36 units,but it has a significant negative impact on the dynamic pulse,illustrating that the development of internet financial environment narrows credit spreads.According to the empirical results,this paper put forward some suggestions:forecast and analysis of macro environment,the systemic risk identification,prevention and management,and the development of the Internet financial environment are the important factors of the Internet financial services products.Internet financial companies need to strengthen the internal risk management,and improve the ability of Internet financial risk identification,risk decision-making,risk control,regulatory agencies need to strengthen the supervision and management of the Internet financial services products,to promote the development and stability of internet finance.