FED升降息對P2P借貸平台之影響－以Lending Club為例

本研究旨在探討2008年至2016年間兩個 FED 利率調整事件，與Lending Club線上 P2P 借貸市場信用成本之關係。結果發現 2008年FED 降息事件所傳遞出經濟悲觀的預期，使得降息期間與降息後階段次貸信用市場融資成本顯著提高；對具高風險特徵的借款人而言，於降息後利率上漲更加明顯。反觀，2015年年底傳遞經濟前景樂觀訊息的FED升息事件，對線上信用市場而言，並未蘊含違約風險降低的正向訊息，除線上借款成本並未顯著下降外，對具高風險特徵的借款者，於升息後，更顯著提高其借款成本。顯示FED的升降息事件，對次貸信用市場的價格呈現不對稱影響；此結果透過不同風險特徵子樣本與州經濟變數的穩健性分析後，結果仍維持不變。

This paper focuses on the relation between two FED funds rate change events during 2008~2016 period and the borrowing cost of peer-to-peer lending subprime market. This study finds that FED funds rate fall-event in year 2008 reveals pessimistic expectation about economic prospect and significantly raises the borrowing cost during-event and post-event period. Moreover, the effect is more pronounced for borrowers with higher risk. In contrast to the rise-event at the end of 2015, which delivers an optimistic information about future economic prospect, however does not contain a positive signal and reduce credit cost for borrowers on online lending market. Moreover, the rise-event significantly increases borrowing costs for borrowers with higher risk at post-event period. The results indicate the asymmetric effects of FED funds rate fall-event and rise-event on borrowing cost. The results hold after comparing different subsample and replace FED rate by state macroeconomic variables.