Table 5.
Vector autoregression (VAR) model
| Dependent variable | ECF amount raisedt | P2P loan amountst | Net consumer loanst | Nasdaq returnst |
|---|---|---|---|---|
| Independent variables | ||||
| ECF Amount Raisedt-1 | 0.2339*** | −0.0466 | 0.0197 | 0.0869 |
| (0.0654) | (0.0457) | (0.0638) | (0.0761) | |
| ECF Amount Raisedt-2 | 0.2832*** | −0.0321 | 0.0342 | 0.0299 |
| (0.0655) | (0.0457) | (0.0639) | (0.0762) | |
| P2P Loan Amountst-1 | 0.0045 | 0.4641*** | 0.2082** | −0.0829 |
| (0.0910) | (0.0636) | (0.0888) | (0.1059) | |
| P2P Loan Amountst-2 | − 0.1023 | 0.3501*** | − 0.1617* | 0.1107 |
| (0.0906) | (0.0633) | (0.0885) | (0.1055) | |
| Net Consumer Loanst-1 | − 0.0738 | 0.0348 | 0.2936*** | − 0.0416 |
| (0.0682) | (0.0477) | (0.0666) | (0.0795) | |
| Net Consumer Loanst-2 | − 0.1248* | 0.0670 | 0.3580*** | −0.1175 |
| (0.0682) | (0.0477) | (0.0666) | (0.0795) | |
| NASDAQ Returnst-1 | − 0.0998* | − 0.0163 | − 0.0548 | − 0.0801 |
| (0.0599) | (0.0419) | (0.0585) | (0.0698) | |
| NASDAQ Returnst-2 | − 0.0159 | 0.0340 | 0.0612 | 0.0345 |
| (0.0600) | (0.0419) | (0.0586) | (0.0699) | |
| Constant | 0.0041 | − 0.0065 | 0.0024 | −0.0068 |
| (0.0574) | (0.0401) | (0.0560) | (0.0668) | |
| Observations | 214 | 214 | 214 | 214 |
| Chi2 | 89.07 | 411.88 | 107.56 | 10.78 |
| P > chi2 | 0.00 | 0.00 | 0.00 | 0.21 |
| R-Squared | 0.2939 | 0.6581 | 0.3345 | 0.0479 |
This table reports the results of the vector autoregression (VAR) model aimed at assessing the relationship between the ECF market in the United States, peer-to-peer loan markets, consumer banking loans, and NASDAQ returns. The normalized weekly ECF amounts, weekly Prosper loan amounts, weekly net consumer loans, and weekly NASDAQ returns are regressed on up to two lagged terms of each of these variables. Data correspond to the period between May 12th, 2016 and June 30th, 2020
*p < 0.10, **p < 0.05, ***p < 0.01