The Nexus of Peer-to-Peer Lending and Monetary Policy Transmission: Evidence from the People’s Republic of China

Table of Contents

• Abstract 4
• 1. Introduction 5
• 2. Data and empirical methodology 10
• 2.1 Identification of unanticipated changes in monetary policy 11
• 2.2 Data 14
• 2.3 Econometric methodology 14
• 2.4 Definition of the P2P lending market states 16
• 3. Empirical results 17
• 3.1 Macroeconomic effects of unanticipated changes in monetary policy 17
• 3.2 Responses of P2P lending markets to unanticipated monetary policy changes 18
• 3.3 State-dependent effects of unanticipated monetary policy changes 21
• 3.4 Robustness 23
• 3.4.1 Alternative measure of unanticipated monetary policy changes 23
• 3.4.2 Alternative measure of the P2P lending market states 25
• 4. Conclusions 29
• Appendix 31
• A.1 Data definitions and sources 31
• A.2 P2P lending in selected Asian economies 32
• References 33
• Figures 6
• 1: Trends in P2P Lending Market Share in the People’s Republic of China 6
• 2: Monthly Series of Unanticipated Monetary Policy Changes 13
• 3: Impulse Responses of Macroeconomic Variables to an Unexpected Contractionary Monetary Policy Change 17
• 4: Impulse Responses of P2P Lending Market Variables to an Unexpected Contractionary Monetary Policy Change 20
• 5: State-Dependent Impulse Responses to an Unexpected Contractionary Monetary Policy Change 22
• 6: State-Dependent Impulse Responses to an Unexpected Contractionary Monetary Policy Change: Narrative-Based Monetary Policy Indexes 24
• 7: State-Dependent Impulse Responses to an Unexpected Contractionary Monetary Policy Change: Alternative State Variable of P2P Lending Market 26
• 8: State-Dependent Impulse Responses to an Unexpected Contractionary Monetary Policy Change: Conditioning on Economic Policy Uncertainty 28