聪明的投资者：非完全市场化利率与风险识别——来自P2P网络借贷的证据
阅读全文
下载全文 |
| Title | The Intelligent Investor: Not-Fully-Marketized Interest Rate and Risk Identify——Evidence from P2P Lending
|
| 作者 | 廖理 李梦然 王正位 |
| Author | Liao Li,Li Mengran and Wang Zhengwei |
| 作者单位 | 清华大学 |
| Organization | Tsinghua University |
| 作者Email | liaol@pbcsf.tsinghua.edu.cn;limr.10@sem.tsinghua.edu.cn;wangzhw@pbcsf.tsinghua.edu.cn |
| 中文关键词 | 非完全市场化利率 违约风险 风险识别 P2P借贷 |
| Key Words | Not-fully-marketized interest rate; Default risk; Risk identify; P2P lending |
| 内容提要 | 利率市场化是我国金融改革的重要举措，但是目前我们还缺乏从微观数据角度探索利率市场化市场基础的研究。本文借助人人贷网络借贷平台的数据，实证结果表明：非完全市场化的利率部分反映了借款人的违约风险，但仍有相当高比例的违约风险未被反映在利率当中。进一步地，我们发现市场中的投资者是比较聪明的，他们能够借助借款人的公开信息识别相同利率背后所包含的不同违约风险。在本文中，我们发现投资者这种风险识别能力能够直接反映在一个成功订单的参与人数上，间接反映在订单募资成功所需的竞标时间上。这些结果说明，我国信贷市场中的投资者具有良好的风险判断能力，这为我国的利率市场化提供了良好的市场基础。 |
| Abstract | Interest rate marketization is a very important step in China's financial reform. However there is little research on exploring the market foundation of interest rate marketization from a micro-data perspective. Using data from a peer-to-peer lending website, this paper finds that the not-fully-marketized interest rate only can predict a small proportion of borrower's default risk. Furthermore, the paper finds that investors are intelligent enough to identify these different default risks indicated by the same interest rate, via evaluating borrowers' public information. This paper also finds that the risk identify ability is directly reflected in numbers of participants in completed biddings, and indirectly reflected in time required to raise these biddings. The results suggest investors in China's credit market have the basic ability in risk identifying, which can form the market basis of China's interest rate marketization. |
| 文章编号 | WP589 |
| 登载时间 | 2014-01-27 |
|