The impacts of borrowers' risk characteristics and macroeconomic variables on the interest rates of Fintech lending
| Autor: | Ying-Chun Chen, 陳映均 |
|---|---|
| Rok vydání: | 2019 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 107 This study evaluates the impacts of borrowers’ risk characteristics and macroeconomic environment on the P2P Lending rates and further analyzes whether there is a competitive or complementary relationship between the P2P Lending platform and traditional banks. Empirically, the borrower data of the Lending Club, the largest P2P lending platform in the US, are used. The sample period spans from 2016: Q1 to 2018: Q2, with a total of 1,014,791 observations. Eight explanatory variables are used to measure individual risk characteristics, including debt-to-income ratio, working years, loan amount, annual income, credit rating, loan purpose, loan term, and housing living status, and the return rate of S&P 500 and Federal funds rate are used to measure macroeconomic environments. This study first performed a cross-sectional heterogeneity test to determine whether there was a heteroskedasticity in the error term. To resolve the problem of heteroskedasticity, the generalized least squares (GLS) method is used to estimate the determination model of P2P lending rates. The empirical results show that the four risk characteristics－borrower''s housing status, debt-to-liability ratio, credit rating, and loan period－have a positive impact on the P2P lending rates while the remaining four risk characteristics have a negative impact on the P2P lending rates. In addition, in terms of overall economic changes, both the S&P500 return rate and Federal funds rate have a positive impact on the lending rates. The associated policy suggestions for P2P lending platforms, governments, and traditional banks to make decisions on pricing are reported as follows. For the P2P lending platforms, the eight individual risk characteristic variables and two macroeconomic environment variables can be used to determine the rates of the P2P lending. For the governments, in the case of effective risk control, it is necessary to maintain the stability of interest rates and the stock markets and to supervise the risk assessment of the P2P lending platforms so as not to expand the risk of the lending market. For the traditional banks, the pricing model of the P2P lending analyzed in the study can be used as a reference for their loan pricing strategies. Furthermore, the traditional banks also can assess whether new business models can be created through technical cooperation or data sharing with the P2P lending platforms. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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