基于VAR模型P2P网络借贷与传统金融市场之间的动态变化

基于P2P网络借贷市场2013年4月-2017年10月每日的综合利率数据进行脉冲响应分析，结果表明:P2P网络借贷利率与10年期国债收益率相互影响；P2P网络借贷利率与沪深300指数收益率不存在因果关系；P2P网络借贷利率与上海同业拆借利率（SHIBOR）存在相互影响。P2P网络借贷综合利率对于整体金融市场响应趋于零响应；10年期国债收益率对于P2P网络借贷利率正响应；上海同业拆借利率收益率对于P2P网络借贷利率是负响应；沪深300指数收益率对于P2P网络借贷利率是趋于零响应。最后，通过实证研究提出P2P网络借贷利率风险管理的建议。

The Impulse Response of P2P Network Borrowing based on VAR Model

In this paper,the impulse response is analyzed based on daily composite rate of P2P network lending market from April 2013 to October 2016. The results show that the lending rate of P2P network and the 10-year treasury yield are mutually affected; and causal relationship is not existed between the lending rate of P2P network and Shanghai-Shenzhen 300 index; but the lending rate of P2P network and Shanghai Interbank Offered Rate(SHIBOR)are in interaction effect. In addition, the response of borrowing composite rate of P2P network to overall financial market approaches to zero; the response of 10-year treasury yield to the P2P network borrowing rate is positive; while the response of Shanghai Interbank Offered Rate(SHIOR)yield is negative for the P2P network lending rate; and Shanghai-Shenzhen 300 approaches zero response to P2P network lending rate. Finally, suggestions on risk management of P2P network borrowing rate are puts forward through empirical research.