金融雙周論壇

學術講座：風險承擔、逐利行為與貨幣政策： 來自P2P借貸的證據(jù)

講座題目：Risk Taking, Reaching for Yield, and Monetary Policy: Evidence from Peer-to-Peer Lending

風險承擔、逐利行為與貨幣政策： 來自P2P借貸的證據(jù)。

時間：12月21日周四12:20-1:20

地點：博學925

主講人信息：鄧筱瑩，2010年本科畢業(yè)于西南財經(jīng)大學，2014年獲新加坡國立大學地產(chǎn)金融博士學位，現(xiàn)為上海財經(jīng)大學房地產(chǎn)學與金融學助理教授。主持國家自科基金青年項目。主要研究領域為房地產(chǎn)，公司金融，家庭金融，金融中介，她的研究成果發(fā)表于Journal of Real Estate Finance and Economics等國際期刊。

講座摘要：This paper examines whether and how monetary policy affects risk taking and reaching for yield behavior by individual investors in the peer-to-peer lending market. The setting and data of the peer-to-peer lending market enable a cleaner identification by controlling the demand side factors. Using the data of Prosper.com from 2007 to 2013, we show that easy monetary policy induces investors in the peer-to-peer lending market to fund riskier loans and to fund loans with higher expected returns. The transmission of quantitative easing programs to real economy depends crucially on borrower characteristics. By employing a two-stage model that analyzes both loan applications and outcomes, we further document that a lower interest rate induces more loan grants to ex ante risky borrowers, with a higher likelihood of default ex post. This relationship is more pronounced during periods of financial distress.

本文考察了貨幣政策如何影響個人投資者在P2P信貸市場上的風險承擔和逐利行為。P2P信貸市場的特征以及數(shù)據(jù)讓我們通過控制需求側(cè)的因素解決內(nèi)生性問題。 利用Prosper.com2007至2013年間的數(shù)據(jù)，我們發(fā)現(xiàn)寬松的貨幣政策引導著個人投資者對P2P信貸市場中高風險的借款者提供貸款，并相應收取較高的貸款利率。量化寬松的貨幣政策對實體經(jīng)濟的傳導影響則在很大程度上取決于借款人的特點。通過兩階段模型分析貸款申請和結(jié)果，我們進一步發(fā)現(xiàn)，低利率導致更多的高風險貸款與更高的事后違約。這種關系在經(jīng)濟蕭條時期更為明顯。