Study On The Control Effect To The Credit Risk Of The Commercial Banks In China

Triggered by the commercial bank procyclicality,the global financial crisis hit the global economy and financial seriously. As a warning for the future, from the regulators to the commercial banks, they are all rethinking, trying to find a path of effective control of credit risk and mitigate the procyclicality, The new macro prudential supervision framework has introduced risk control tools to counter the cyclical, such as the counter cyclical capital buffers in the<Basel Ⅲ> and the dynamic pull production system, number of countries are marching forward along this road, and China is no exception. The paper is just at this foothold to study the control effect of these two Inverse cycle mechanisms,and analyzes their applicability in china.On the basis of the reference of the domestic and foreign scholars’ study, Part one, the paper firstly describes what the procyclicality of the credit risk is and what the performance it is. Secondly, the paper describes the reason of the procyclicality from the theoretical level and system level,and then based on the carrying of the concept of the inverse cycle management, the paper systemly analyses the reverse cycle mechanism of the capital system and the system of provision for loan losses; Part two,the paper firstly carry a analysis on the credit risk’s status of the commercial banks in our country under the procyclicality business model,and find that the commercial banks of our country operates procyclically,then the part analyses the bad effect when all kinds of the credit risk get together; Part three,based on the unbalanced panel data of Chinese Listed Commercial Banks from2006to2012, the paper uses the unbalanced panel data regression model to research the inverse cycle control effect on credit risk of the two reverse cycle mechanism, on the basis of the introduction of the economic cycle which is a dummy variable, firstly, from the effect of capital adequacy ratio on the loan growth rate, the rate of non-performing loans and the ratio of the loan to the deposit, the paper study the periodic effect of the capital provision which can smooth the loan growth, reduce the periodic effect of non-performing loans and weaken the risk preference ratio for commercial banks. Secondly, from the effect of loan loss provision ratio on the loan growth rate, the rate of non-performing loans and the ratio of the loan to the deposit, the paper carry a research on the periodic effect of the loan loss provision ratio to restrain the commercial bank loan growth and offset the risk; Part four, the paper carry a analysis on the status,the applicability and the effect of this two reverse cycle mechanism’s implementation in our country, and use the method of HP filter to carry an empirical analysis on the countercyclical capital provision. In addition, the paper give an technological analysis on the dynamic loan loss provision.Through the study,the paper find the counter-cyclical capita system has the effect which can smooth the growth of the loan, weaken the risk preference of commercial banks and reduce credit risk accumulation; The loan loss reserve mechanism can curb the excessive credit growth and has the effect of "make up for possible shortages with surpluses" cross cycle. But we find its compensation for risk is some time delay. Through these effects, the commercial bank procyclicality can be weakened in a certain extent, and then can control the bind growth of the loan,and it is helpful for reducing systemic risk in banking of our country, also is helpful for the risk management of the commercial banks. But in the process of the implementation of the two mechanisms will also encounter some difficulties and adverse effects, the paper also gives the corresponding policy recommendations.