Monetary policy shocks and peer-to-peer lending in China

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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

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