摘要
互联网理财产品信用价差受到了广泛关注,本文从探究系统性、非系统性和互联网等风险因子所隐含的信息出发,分析各风险因子对互联网理财产品信用价差大小的贡献程度,找出影响信用价差大小的关键因素.其中,互联网金融理财产品的信用价差利用Nelson-Siegel-Svensson模型构建无风险收益序列并结合零波动率价差法计算得到,并根据文献建立了系统性、非系统性和互联网等风险因子体系.实证结果表明,互联网金融发展指数对互联网金融理财产品信用价差存在显著影响;利率期限结构调整的债券市场收益率、银行业景气指数、采购经理人指数、居民消费指数、非系统性债券指数波动率也对互联网金融理财产品信用价差存在显著影响.然而,反映股票市场系统性风险因子的上证综指、非系统性股票波动率、广义货币供应量对互联网金融理财产品信用价差无显著影响.
The credit spregad of financial products under Internet environment has received extensive attention. This paper starts with the analysis of information implied by risk factors such as systematic,non-systematic,and Internet. Then,the degrees of contribution of various risk factors to the size of credit spread of financial products under Internet environment have been investigated. Precisely, the NelsonSiegel-Svensson model is applied to construct a risk-free return sequence, and then Zero volatility spread method is applied to calculate credit spreads of Internet financial products. According to the literature,a system of systematic, non-systematic, and Internet risk factors is established. The empirical results show that the Internet financial development index has a significant impact on the credit spread;the bond market rate of return for adjusted term structure of the interest rate, the banking industry climate index,the purchasing manager index, the resident consumer index, and the non-system bond index volatility also have significant impacts on the credit spread of Internet financial products. However, the Shanghai Composite Index, non-systematic stock volatility, and broad money supply(M2) have no significant effect on the credit spread of Internet financial products.
作者
陈荣达
杜和佳
肖德云
林祺
金骋路
余乐安
CHEN Rongda;DU Hejia;XIAO Deyun;LIN Qi;JIN Chenglu;YU Lean(School of Finance,Zhejiang University of Finance and Economics,Hangzhou 310018,China;Coordinated Innovation Center of Wealth Management and Quantitative Investment,Zhejiang University of Finance and Economics,Hangzhou 310018,China;Zhejiang Branch,Agricultural Development Bank of China,Hangzhou 310004,China;Economics College,Wuhan University of Technology,Wuhan 430070,China;School of Economics and Management,Beijing University of Chemical Technology,Beijing 100029,China)
出处
《系统工程理论与实践》
EI
CSSCI
CSCD
北大核心
2019年第2期273-285,共13页
Systems Engineering-Theory & Practice
基金
国家自然科学基金重点项目(71631005)
国家自然科学基金(71471161)
国家自然科学基金青年项目(71703142)~~
关键词
互联网理财产品
信用价差
系统性风险因子
非系统性风险因子
互联网风险因子
Internet financial products
credit spreads
systematic risk factors
idiosyncratic risk factors
Internet financial risk factor
