Shibor、网贷利率及民间借贷利率间的波动溢出效应
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摘要
以网络借贷为代表的互联网金融发展势不可挡,监管层需要正视这种趋势,加强监管并防范金融风险。在规范分析Shibor、网贷利率及民间借贷利率波动溢出机理基础上,运用三元VAR-GARCH-BEKK模型,实证分析了Shibor、网贷利率及民间借贷利率三者之间的互动关系及溢出效应。研究发现:Shibor与网贷利率之间呈现出互动性;Shibor与网贷利率间具有双向均值溢出效应和单向波动溢出效应;Shibor与民间借贷利率存在单向的均值溢出效应,不存在波动溢出效应;民间借贷利率受网贷利率的波动影响较为显著,网贷利率对民间借贷利率有单向均值溢出效应和波动溢出效应。为了监测和防范互联网金融及传统民间金融的风险,应加强对网贷利率、民间借贷利率的引导和监管。
The development of Internet financing,primarily through online lending,is unstoppable. Regulatory authorities must understand this trend,strengthen supervision,and prevent financial risks. Based on a normative analysis of the mechanism of volatility spillover between Shibor,online lending rates,and private lending rates,a trivariate VAR-GARCH-BEKK model was used to explore and verify the interaction and spillover effect between Shibor,online lending rates,and private lending rates. The study found interaction,a two-way mean spillover effect,and a one-way volatility spillover effect between Shibor and online lending rates. There was also a one-way mean spillover effect between Shibor and private lending rates,but no volatility spillover effect. Private lending rates are significantly affected by the fluctuation of online lending rates,which have a one-way mean spillover effect and a volatility spillover effect. The guidance and supervision of online and private lending rates should be strengthened to monitor and prevent risks in Internet financing and traditional private sector financing.
The development of Internet financing,primarily through online lending,is unstoppable. Regulatory authorities must understand this trend,strengthen supervision,and prevent financial risks. Based on a normative analysis of the mechanism of volatility spillover between Shibor,online lending rates,and private lending rates,a trivariate VAR-GARCH-BEKK model was used to explore and verify the interaction and spillover effect between Shibor,online lending rates,and private lending rates. The study found interaction,a two-way mean spillover effect,and a one-way volatility spillover effect between Shibor and online lending rates. There was also a one-way mean spillover effect between Shibor and private lending rates,but no volatility spillover effect. Private lending rates are significantly affected by the fluctuation of online lending rates,which have a one-way mean spillover effect and a volatility spillover effect. The guidance and supervision of online and private lending rates should be strengthened to monitor and prevent risks in Internet financing and traditional private sector financing.
引文
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[2]曹凤岐.互联网金融对传统金融的挑战[J].金融论坛,2015(1).
[3]谢平,邹传伟,刘海二.互联网金融的基础理论[J].金融研究,2015(8).
[4]廖天虎.论我国民间金融监管制度的演变——基于新中国成立后的相关制度变迁的分析[J].经济社会体制比较,2017(1).
[5]于明春,于志明.关注从紧货币政策背景下的民间借贷[J].中国金融,2008(4).
[6]陈康济.论中国民间借贷发展的机理与治理——基于温州案例的分析[J].湖南科技大学学报(社会科学版),2014(3).
[7]范建军.我国民间借贷危机形成的原因和对策[J].经济纵横,2012(4).
[8]李建军,薛莹.中国影子银行部门系统性风险的形成、影响与应对[J].数量经济技术经济研究,2014(8).
[9]俞林,康灿华,王龙.互联网金融监管博弈研究:以P2P网贷模式为例[J].南开经济研究,2015(5).
[10]李旸,余梦娇.我国银行系P2P发展现状与困境分析[J].国土资源科技管理,2016(5).
[11]何启志,彭明生.基于互联网金融的网贷利率特征研究[J].金融研究,2016(10).
[12]阮素梅,何浩然.中国P2P网贷收益率波动及其溢出效应研究[J].经济问题,2016(12).
[13]刘镜秀,门明.P2P网络借贷市场对资本市场的风险溢出效应[J].技术经济,2016(11).
[14]潘彬,金雯雯.货币政策对民间借贷利率的作用机制与实施效果[J].经济研究,2017(8).
[15]Engle R.F.,and K.F.Kroner,1995.Multivariate Simultaneous Generulized ARCH.Econometric Theory,Vol.11,No.1:122-150.