| With the rapid development of modern information and Internet technology,peer-to-peer lending(P2P lending)has emerged in response to the needs of times as a typical internet financial model.In 2007,PPDAI,the first P2 P lending platform in China,was officially established and put into operation.P2 P lending was unknown to the public until the first financial year of 2013,when it completely entered the public's awareness.However,due to the fact that relevant laws and regulations were imperfect and the supervision was lacking,the good and bad were intermingled in the P2 P lending industry,all kinds of frauds and illegal fund-raising operated in a big way with the mask of P2 P,and runaway and bankruptcies happened occasionally.Until the end of 2015,Ezubao event broke out and damaged the interests of the vast investors,and the state supervision took action timely and promulgated a series of measures and guidelines,making the P2 P lending industry have laws to abide by,have rules to follow and gradually be purified.By the end of 2017,the number of normally operating platforms in the P2 P lending industry was 1,931,the nationwide transaction volume of P2 P lending was 3 trillion 895 billion and 235 million yuan,with the year-on-year growth of 38.87%,and the accumulative transaction volume of P2 P lending was 8 trillion and 330 billion yuan.Thus it can be seen that,the P2 P lending industry has become an important component of China's financial market,besides,the interest rate of P2 P lending to a certain extent reflects China's economic operation status and macro policies.Therefore,the dynamic characteristic of the interest rate of P2 P lending is one of the important research directions in the industry.Based on the theoretical analysis of P2 P lending,this paper discussed the dynamic characteristic of the interest rate of China's P2 P lending.In the process of preliminary discussion,this paper analyzed the current situation of the interest rate of P2 P lending in China,and found that in the interest rate pricing model of China's P2 P lending platform,the platform plays various degrees of leading roles in determining the interest rate,the P2 P lending interest rate did not fully reflect the credit rating or the power orientation for capital supply and demand,and has not yet completely realized marketization,and the interest rate of P2 P lending in China shows a down trend on the whole and has gradually shifted to the reasonable range.In addition,there is a difference in the interest rate ofP2 P lending in platforms in different regions and with different backgrounds,but the difference is reducing and its overall changing tendency is the same with that of the P2 P lending industry.In order to make an in-depth analysis of the overall characteristics of the interest rate of P2 P lending in China,this paper has established the GARCH model and BEKK-GARCH model.Through the volatility test,it was found that the interest rate of the P2 P lending market is easily affected by its volatility in early stages,and has features of volatility cluster and risk accumulation.By testing ARCH effect and leverage effect,it was found that the interest rate distribution of the P2 P lending market has sharp peak and heavy tail and is skewed,and the volatility of the interest rate has a leverage effect.However,the influence of decreased interest rate of the P2 P lending market on the market is smaller than that of increased interest rate,which is opposite to the performance of leverage effect in mature financial markets.Through interactive effect test,it was found that Shibor has a bilateral spillover effect on the maturity yield of national debt,as well as a one-way influence on the volatility of the interest rate of P2 P lending.Meanwhile,the interest rate of P2 P lending has a one-way spillover effect on Wenzhou index.According to the results obtained,this paper analyzed the investor behaviors,economic phenomena and existing problems reflected by different characteristics of the interest rate of P2 P lending,and put forward corresponding countermeasures and suggestions.In terms of policy supervision,the concrete aspects of the supervisory policies in P2 P lending industry in China need to be clarified,China's credit system construction should be speeded up,the information disclosure system of the P2 P lending market should be improved,and the P2 P lending interest rate observation system should be established.In terms of platform operation,the P2 P lending platforms in China need to improve the P2 P lending interest rate pricing mechanism,and establish a risk control and evaluation system with specific responsibilities.In terms of investors,rational investors should be cultivated and the protection of investors' rights and interests should be laid emphasis on. |
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