The Impulse Response of P2P Network Borrowing based on VAR Model

In this paper,the impulse response is analyzed based on daily composite rate of P2P network lending market from April 2013 to October 2016. The results show that the lending rate of P2P network and the 10-year treasury yield are mutually affected; and causal relationship is not existed between the lending rate of P2P network and Shanghai-Shenzhen 300 index; but the lending rate of P2P network and Shanghai Interbank Offered Rate(SHIBOR)are in interaction effect. In addition, the response of borrowing composite rate of P2P network to overall financial market approaches to zero; the response of 10-year treasury yield to the P2P network borrowing rate is positive; while the response of Shanghai Interbank Offered Rate(SHIOR)yield is negative for the P2P network lending rate; and Shanghai-Shenzhen 300 approaches zero response to P2P network lending rate. Finally, suggestions on risk management of P2P network borrowing rate are puts forward through empirical research.