An Empirical Study On The Impact Of Macroeconomic Factors On The Non - Performing Loan Rate Of Commercial Banks

As the interest rate marketization is put forward, commercial bank squeezed LD’s profit margins will reduce the profitability of banks and ROE, which makes the commercial banks facing the growing credit risk. NPL ratio as a measure indicators of credit risk is to be valued.Fistly, it makes a summary of the factors which can impact on NPL ratio, which concludes the macro and micro factors that affect the rate of non-performing loans: GDP, M2, capital adequacy ratio, provision coverage,loan-to-deposit ratio, the relative size of banks, ROE and GDP, M2 are negatively correlated to non-performing loans ratio. Then using GVAR model analyses the impact of macroeconomic factors on the non-performing loan ratio of commercial banks. Conclusions as follows:(1)With the increase of M2 growth rate, the NPL ratio of city commercial banks decline accelerate and fall fastestly, the NPL ratio of state-owned commercial banks also decline but fall slower, national stock commercial banks declined uniform and fall slowestly.(2)With the increase of GDP growth rate, the NPL ratio of national stock commercial banks decline accelerate and fall fastestly, state-owned commercial banks’ non-performing loan ratio fall uniform and decline slower, the NPL ratio of city commercial banks decline decelerate and fall slowestly.(3)With the increase of the non-performing loans of ICBC, the NPL ratio of city commercial banks significantly accelerate grow, but there is a lag period.The state-owned commercial banks’ s and national stock commercial banks’ s non-performing loan ratio have a slower growth, but they are still significantly grow.National stock commercial banks’ s non-performing loan ratio grow slowestly.