金融双周论坛

学术讲座：风险承担、逐利行为与货币政策： 来自P2P借贷的证据

讲座题目：Risk Taking, Reaching for Yield, and Monetary Policy: Evidence from Peer-to-Peer Lending

风险承担、逐利行为与货币政策： 来自P2P借贷的证据。

时间：12月21日周四12:20-1:20

地点：博学925

主讲人信息：邓筱莹，2010年本科毕业于西南财经大学，2014年获新加坡国立大学地产金融博士学位，现为上海财经大学房地产学与金融学助理教授。主持国家自科基金青年项目。主要研究领域为房地产，公司金融，家庭金融，金融中介，她的研究成果发表于Journal of Real Estate Finance and Economics等国际期刊。

讲座摘要：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.

本文考察了货币政策如何影响个人投资者在P2P信贷市场上的风险承担和逐利行为。P2P信贷市场的特征以及数据让我们通过控制需求侧的因素解决内生性问题。 利用Prosper.com2007至2013年间的数据，我们发现宽松的货币政策引导着个人投资者对P2P信贷市场中高风险的借款者提供贷款，并相应收取较高的贷款利率。量化宽松的货币政策对实体经济的传导影响则在很大程度上取决于借款人的特点。通过两阶段模型分析贷款申请和结果，我们进一步发现，低利率导致更多的高风险贷款与更高的事后违约。这种关系在经济萧条时期更为明显。