A Macro Stress Test Research On China Listed Bank’s Credit Risk

To strengthen the credit risk of macro stress testing is the core problem of macro prudential supervision in the post crisis era. In2008the international financial crisis has exposed the defect that the traditional risk management mode was unable to warn financial systemic risk in time. To remedy this defect, the financial regulators made a financial regulatory reform, of which macro prudential supervision was the core. Because of effectively identifying systemic riskand timely warning, the macro stress testing gradually become a core tool of macro prudential regulation. Since Chinese bank sector is facing with severe macroeconomic situation, to carry out the macro stress testing on China bank’s credit risk will help us recognize the changes of future credit risk and the vulnerable point of financial stability, which playing an important role in preventing financial systemic risk and maintaining financial stability.Firstly, since the traditional VAR model requires too long time series and is unable to identify the individual effect, this paper apply the panel VAR model in recognizing the linkage law inside macroeconomic variables, to try to build a more realistic practical macro background for macro stress testing. The panel VAR estimation results show that the model results are almost significant, which means the model accurately identified linkage rules inside the macroeconomic variables. There is a non symmetric relation between economic growth and M2growth:the expansionary monetary policy will promote the future short-term economic growth,but too fast economic growth will reduce the future growth rate of M2. Similarly, the economic growth and the national real estate prosperity index, interest rate spreads are non symmetric:the national real estate prosperity index rose or interest rate spreads widened will decrease the speed of economic growth, on the contraryeconomic growth rose will increase the national real estate prosperity index and interest rate spreadsThen, in the transmission bridge between the shocks of macroeconomic variables and internal pressure variable aspect, most of the literature apply multivariate OLS regression on all macroeconomic variables and internal pressure variable directly, which is easy to appear the problem thatsome variables are not significant and the results beinginaccurate. This paper uses dynamic panel data model to measure the dynamic relationship between the non-performing loan ratio and GDP growth rate. The results shows, the previous period of non-performing loan ratio playing a positive role in itself, the previous three period of GDP growth playing a negative role in non-performing loan ratio.Finally, unlike most of the literature, this paper design reference scenario and the pressure scenario in the method of combing the historical scenariomethod and associated scenarios method, and perform the pressure test to get the test results. In the monetary policy tightening and GDP growth rate reducedcircumstances, compared with the baseline scenario, the rate of non-performing loans increased obviously. Deposit and loan spreads narrowed impact on non-performing loans ratio of the effect is not obvious, compared with the baseline scenario, although the rate of bad loansdecrease a little, the impact effect of deposits rate marketization on commercial bank credit risk is still not clear; In the impact of the real estate market situation, the non-performing loans ratio decreases instead of increasing, indicating that the impact of the national real estate prosperity indexdeclining on commercial bank credit risk will not be negative significantly.