Abstract: Online lending has been developed into a new stage, drawing great attention from the relevant academic circle. Interest rate pricing mechanism is considered as the most important factor in designing online lending mechanism because it reflects the nature of financial capital, that is, to price risks and decrease information asymmetry. Wei and Lin(2016)have recorded and analyzed the change of the online lending mechanism in the United States. This paper researches relevant data from a typical online lending platform in an effort to see the difference in its transaction behavior after its rate pricing mechanism changes. The result is that when the platform narrows the range of interest rate and gives permission to few potential borrowers, the default rate goes up with more herd behavior of the investors, and investors bid less percentage in the latter period. Since the change of the platform mainly reflects in the decrease of interest rate range, the paper explains the reason for the change by employing the interest rate weekly standard deviation as the proxy variable. Such decrease makes it difficult for people to differ good loan quality form bad loan quality. Thus, both the platform and the investors cannot identify the risk and the platform does not run at its best.

Key words: interest interval, loan quality, trading performance, herding

摘要： 随着网络借贷的发展,学术界对网络借贷的研究逐渐深入。利率定价机制是网络借贷机制设计的核心,体现了金融的本质——对风险的定价,并逐渐成为学术研究的话题。Wei和Lin^[1]曾记录和分析了美国网络借贷机制变更的过程。本文选用国内一家代表性的网络借贷平台数据,用倾向性分数匹配法对其利率定价机制变化前后的交易行为进行研究,发现当平台收窄了利率区间且降低了合格借款人的审核通过率,违约率反而更高。狭窄的利率区间降低了利率区分度,而利率区分度是投资人判断具体贷款所处风险水平的重要依据,实际上恶化了信息不对称,影响投资人投资行为,具体表现为满标时间延长、单笔贷款投标占比减少,并且投资人羊群行为加重。本文以期限利率周度标准差为利率区间的代理变量,解释了上述变化产生的原因。平台收窄利率区间,降低了贷款质量优劣的区分度,使得平台和投资人风险识别效率降低,未能达到平台运营优化的结果。本文丰富了网络借贷的学术研究,为网络借贷利率定价机制的发展提供参考。

关键词: 利率区分度, 贷款质量, 交易效率, 羊群效应