财贸经济
財貿經濟
재무경제
Finance & Trade Economics
2012年
10期
48~56
,共null页
民间借贷 利率期限结构 偏好习性理论 市场分割假说 长记忆性
民間藉貸 利率期限結構 偏好習性理論 市場分割假說 長記憶性
민간차대 리솔기한결구 편호습성이론 시장분할가설 장기억성
Informal Finance, Term Structure of Interest Rate, Preferred Habitat Theory, MarketSegmentation Hypothesis, Long Memory
与以往文献中单一形态的利率期限结构不同，民间借贷利率期限结构存在递增形、U形、倒U形和波浪形等多种形状，长期利率低于短期利率成为通胀高企、经济下行时期一种持续的常态。我们将这种难以按常理解释的现象称为民间借贷的利率期限结构之谜。本文围绕民间借贷利率形成机制对其进行分析，认为“偏好习性理论”的“期限升水”是理解民间借贷利率结构多样性与异常性的关键，而“市场分割假说”则有助于说明异常现象为何能持续存在。此外，与“格林斯潘之谜”显示经济疲软一样，民间借贷利率期限结构持续异常可能也是民间金融系统性风险生成的重要表征。实证分析表明，民间借贷利率不存在长记忆性，并且有两类期限的民间借贷利率与CPI存在协整关系。这些结论对民间金融的监管具有重要启示。
與以往文獻中單一形態的利率期限結構不同，民間藉貸利率期限結構存在遞增形、U形、倒U形和波浪形等多種形狀，長期利率低于短期利率成為通脹高企、經濟下行時期一種持續的常態。我們將這種難以按常理解釋的現象稱為民間藉貸的利率期限結構之謎。本文圍繞民間藉貸利率形成機製對其進行分析，認為“偏好習性理論”的“期限升水”是理解民間藉貸利率結構多樣性與異常性的關鍵，而“市場分割假說”則有助于說明異常現象為何能持續存在。此外，與“格林斯潘之謎”顯示經濟疲軟一樣，民間藉貸利率期限結構持續異常可能也是民間金融繫統性風險生成的重要錶徵。實證分析錶明，民間藉貸利率不存在長記憶性，併且有兩類期限的民間藉貸利率與CPI存在協整關繫。這些結論對民間金融的鑑管具有重要啟示。
여이왕문헌중단일형태적리솔기한결구불동，민간차대리솔기한결구존재체증형、U형、도U형화파랑형등다충형상，장기리솔저우단기리솔성위통창고기、경제하행시기일충지속적상태。아문장저충난이안상리해석적현상칭위민간차대적리솔기한결구지미。본문위요민간차대리솔형성궤제대기진행분석，인위“편호습성이론”적“기한승수”시리해민간차대리솔결구다양성여이상성적관건，이“시장분할가설”칙유조우설명이상현상위하능지속존재。차외，여“격림사반지미”현시경제피연일양，민간차대리솔기한결구지속이상가능야시민간금융계통성풍험생성적중요표정。실증분석표명，민간차대리솔불존재장기억성，병차유량류기한적민간차대리솔여CPI존재협정관계。저사결론대민간금융적감관구유중요계시。
Based on the analyses using monitoring data of the interest rate of informal finance provided by a rural credit association in Wenzhou, it ~s found that the term structures present four features, which are different from the single structure described in related literatures. The term structure exhibits monotonic increasing shape, U shape, inverted U shape, and undulate shape. The phenomenon that long-term rate is lower than short-term rate occurs persistently in the period of high inflation and decline in economy. This phenomenon is called term structure conundrum of informal finance interest rate. By analyzing the mechanism of the interest rate of informal finance, the term premium in preferred habitat theory is the key to understand the variability and the abnormal phenomenon of the term structure. Market segmentation hypothesis is helpful to interpret why the abnormal phenomenon exists persistently. Furthermore, just as Greenspan~s conundrum indicates the recession, the persistently abnormal phenomenon of the interest rate probably presages systematic risk of informal finance. The empirical analysis shows that long memory doesn＇t exist in the interest rate of informal finance. Moreover, the interest rate and CPI are highly correlated, which is demonstrated by the cointegration between two kinds of interest rates and CPI. The conclusions of this paper are significant to the administration of informal finance.
