Research On The Relationship Between Bank Credit And Business Cycle

Since the US subprime lending crisis, the academia and the supervision circlefocus on the relationship of commerical bank credit and business cycles. If bank credithas cyclicality, it not only influences the supervision department’s correct assessmenton commerical bank credit, but also affects the commerical bank’s credit policyadjustment when it faces different economic conditions. Thus the commerical bankcan deal with macroeconomic pressure positively, improve credit service ability andpromote market competition. With14listed banks from2003to2012as the researchobjects, the thesis analyzes the relevance between economic cycle and commericalbank credit.Firstly, the thesis adopts macro-economic data from2003to2012, selects sixindexes: GDP, CPI, total fixed asset investment，total retail sales of Chineseconsumer goods, total export-import volume and unemployment rate. The authoreuses principal components method, extracts macro-economic pricipal componentsindex and caculate its synthesis scores. Based on this, the author makes the H-P filteranalysis and divides the corresponding economic cycle.Secondly, on the basis of division of economic cycle, the author studies therelevance between commerical bank credit and economic cycle from the perspectiveof total credit and credit structure.On the level of overall bank credit, the author selects loan-to-deposit ratio, totalloan growth rate, total deposit growth rate, net interest margin as explantory variables,constructs panel data model of commerical bank credit scale, emperically analyzes therelations between the commerical bank credit scale and economic cycle. The researchshows that China’s commerical bank credit scale and economic cycle have positivecorrelation, which means the expansion of China’s commerical bank credit scalebenfits the development of macro-economy. Moreover, it shows that economic cycleis the cause of changes of loan-to-deposot ratio in commerical bank. There existscasuality between economic cycle and commerical bank total loan growth rate.On the level of bank credit structure, the thesis analyzes credit quality, credit riskand credit orientation, applies dynamic panel GMM model to study the relationsbewteen bank credit quality, credit risk and economic cycle. The research shows thatChina’s the integral improvement of credit quality promotes the development ofmacro-ecomomy and China’s commerical bank credit quality and economic cycle have positive correlation. China’s commerical bank credit risk and economic cyclehave obvious negative correlation, which means the reduction of credit risk benefitsthe development of macro-economy. The credit ceiling of China’s commerical bankfor manufacturing, wholesale and retail industry, real estate, gas and water,construction industry and development of macro-economy have positive correlation,which means that increasing the loan lending for manufacturing, wholesale and retailindustry, real estate, finanical industry can promote macro-economy into economicupturn.Finally, on the basis of theoretical analysis and empirical analysis, the thesis putsforward suggestions in the aspects of credit quota, credit quality, credit risk and creditorientation.