The Impact Of Credit Risk Control On Macroeconomic In China Banking Industry

Credit risk is one of the main risks for commercial bank. In the United States,during the period of economic prosperity from 1993 to 1998,the default rate of Enterprise Credit was lower. After 2000, American economy entered into a recession period, and the default rate increased significantly. This shows that the pro-cyclical of commercial banks makes it over credit delivery during economic prosperity. So all kinds of credit risk often are shown in an economic recession and ultimately lay some hidden dangers to the unstable financial system. This instability will be brought the whole macroeconomic directly to recession. All kinds of Credit risk are often shown in the economic recession to aggravate the macroeconomic volatility. On the contrary, in times of economic recession, in order to stimulate economic growth, the central bank will adopt an expansionary monetary policy. However, as a result of over-estimated to credit risk of commercial banks, they will reduce the credit, which also reduces the effect of the expansion policy. This will cause the entire macroeconomic further recession. With the acceleration of the world economic integration trend and the end of the transition period for China's accession to the WTO, China's banking industry will face more intense competition. In this context, it is very important to strengthen research about the relationship between credit risk and macroeconomic.This article uses the theories information economic and options to analyze credit risk in China. In empirical analysis, this article uses the credit risks of the two main models: Multiple Discriminant Analysis and Principal Component Logistic regression model to estimate and forecast corporate default probability. A sample is from China's two stock exchanges in Shanghai and Shenzhen from the second quarter of 2007 to the first quarter of 2008, including 50 ST and 50 non-ST companies, and covered 18 industries, 25 provinces and cities. Then this paper also used the financial data of 50 ST and 50 non-ST companies in the Shanghai and Shenzhen Stock Exchanges from 1994 to 2007 to get the time-series data of default rate, and at the same time this paper used the GDP data from 1994 to 2007 as the study samples. Then I study default rate impact on GDP using SVAR model, and finally conclude: GDP growth rate and default rate is not strictly a change in the opposite direction in consecutive years. The average default rate and an average GDP growth rate is changing in the opposite direction, but also from the impulse response function in the SVAR Model, we can see that the impact of GDP growth rate on default rate is reverse from the first two to eight , and the impact of default rate on GDP growth rate is reverse from the first one to three, which is identical with economic theory.