Monetary policy shocks and peer-to-peer lending in China
| Title: | Monetary policy shocks and peer-to-peer lending in China |
| Author: | Funke, Michael ; Li, Xiang ; Tsang, Andrew |
| Organization: | Bank of Finland |
| Department / Unit: | Institute for Economies in Transition (BOFIT) |
| Series: | BOFIT Discussion Papers |
| Series number: | 23/2019 |
| Year of publication: | 2019 |
| Publication date: | 5.12.2019 |
| Pages: | 24 |
| Subject (yso): | rahapolitiikka; luotonanto; luotot; rahoitus |
| Keywords: | Bofit-kokoelma; Kiina |
| JEL: | E52; E43; G23; C22 |
| Other keywords: | non-bank financial institutions; peer-to-peer lending; financial intermediation; granger causality; spectral analysis; China; P2P |
| Abstract: | This paper studies monetary policy transmission in China’s peer-to-peer lending market. Using spectral measures of causality, we explore the impacts of Chinese monetary policy shocks on China’s P2P market interest rates and lending amounts. The estimation results indicate significant spectral Granger causality from monetary policy surprises to P2P lending rates for borrowers, but not the reverse. Unlike the lending channel for traditional banks, monetary policy shocks do not Granger-cause the credit amount in the P2P lending market. |
| Table of contents: | Abstract .. 4 1 Introduction .. 5 2 Data and variables .. 7 2.1 P2P lending in China .. 7 2.2 Monetary policy surprises in China .. 12 3 Empirical methodology and estimation results .. 13 3.1 Empirical methodology .. 13 3.2 Estimation results .. 15 4 Conclusions and extensions .. 19 References .. 21 |
| Rights: | https://helda.helsinki.fi/bof/copyright |
Files in this item
Total number of downloads: Loading...
| Files | Size | Format | View |
|---|---|---|---|
| dp2319.pdf | 958.9Kb |
View/ |