A Research On The Influence Of Macroeconomic Fluctuations To The Credit Risk Of Chinese Commercial Banks

As one kind of financial institutions, Commercial Banks are essential to the macroeconomic development of our country. It serves as the credit intermediary, playing a decisive rolein the development of the real economy. The commercial banks will operate safely and stably ifthe macroeconomic runs well. Credit business is the most fundamental and important forCommercial Banks and the credit risk which follows credit business is a special risk thatCommercial Banks must face and guard actively. The thesis mainly explores the impact of themacroeconomic fluctuations on the credit risk of Commercial Banks. We introduce severaltheories including the macroeconomic cycle theory, the credit risk theory of Commercial Banksand the formation mechanism of macroeconomic fluctuations of credit risk, all of which aresupported by the empirical analysis. We treat the non-performing loan ratio as explained variable,which can functionalize as the credit risk indicators; The representative indicators inmacroeconomic are selected as explanatory variables; we also collect quarterly data from2004to2013and make an empirical analysis by using autoregressive distributed lag model. The resultsshow that the macroeconomic cyclical fluctuations have significant negative influence on thenon-performing loans of Commercial Banks with the lag of the1-4Q. And the influence on thenon-performing loan ratio of the Joint-stock Commercial Banks is weaker than that of theState-owned Commercial Banks. At the end of the paper, we propose some practical guidingsuggestions to prevent the credit risk.