| With the rapid development of modern society, finance becomes more and more important to a country. Not only can developed financial market improve the capital utility efficiency, but also improve people's livelihood and promote the economic development. In our country, the capital scale of commercial banks is far ahead in the financial industry, which makes commercial banks become the pillar of the financial industry. The 30 years' economic miracle of China could not come true without the financial support of commercial banks and the rapid economic growth promoted the rapid expansion of commercial banks in turn. However, the high profit and rapid growth covered the problem that commercial banks only had a single means to make their profit. For a long time, the development of banks depended too much on interest rather than intermediate business and innovative business, particularly some small banks, such as urban commercial banks. The most important reason for this phenomenon is that making profit was too easy in the past ten years, which made the commercial banks lack of motivation of transformation. When the economy is growing, China's commercial banks tend to expand their capital scale, which is proven by the development of commercial banks in the past ten years, because the profit is in proportion to loan scale.In 2007, the America's subprime crisis burst, and then caused the global financial crisis. The root of the crisis was the excessive credit expansion of the United States financial institutions at all levels. The economic globalization enforced its influence and caused catastrophic consequences to the whole world. However, the crisis only had a weak impact on China's commercial Banks. There are two reasons. On the one hand, the depth of China's commercial Banks' participating in the international market business was not fairly enough. On the other hand, Chinese economy was growing steadily. But the crisis made China's commercial Banks begin to realize destruction of financial crisis. As a result, China's commercial Banks began to build their own risk system based on the new capital accord. In the Basel new capital accord, Basel committee emphasized the management on credit risk, market risk and operational risk.According to a large number of studies across the world, credit activities of commercial banks are periodic. This characteristic result in a close relevance between commercial banks'credit risk and the economic cycles. Some theories indicate that when the economy was growing, commercial banks were optimistic to the economic growth. Driven by the profit, they tended to enlarge their loan scale, sometimes they even lowered lending standards. Consequently, those who had a poor credit got their loan. Those risk loan was growing with the rapid growth of loan scale, the credit risk of commercial Banks was in continuous accumulation. When the economy suffered an adverse impact, the assets of Banks began to deteriorate, non-performing loans rised. Banks began to decrease their lending scale based on their own risk considerations, which increased enterprises and individuals' financing cost. As a result, the default rate increased further, and the quality of banks' asset decreased dramatically. The consequence of this chain reaction was economic recession. Fruitful scientific achievements has been made by a large number of scholars across the world about the relevant of economic cycle and commercial banks' credit risk. This paper further discussed the impact of economic cycle on urban commercial banks based on previous studies.Chapter one -- This chapter elaborated the topic background and the practical significance, and then analyzed the achievements and methods of the relevant between economic cycle and commercial banks' credit risk. Further, the author put forward his own ideas and methods about this problem with reference and innovation.Chapter two -- this chapter analyzed our country's commercial banks'credit risk from some different aspects. The first part is the connotation of the commercial banks' credit risk, including the definition, characteristics and the main constitute factors of credit risk. The second part is a retrospect of our country's commercial banks' credit rating and manage development. The third part elaborated the current status of our country's urban commercial banks' credit risk management. The author first analyzed the outstanding problems of the current urban commercial banks'credit risk management in detail, and then analyzed the backward technology of our country's urban commercial banks'credit risk management.Chapter three -- This chapter analyzed the relevant between commercial banks'credit risk and economic cycle. First of all, the author analyzed the forming mechanism of commercial banks'credit risk combining with foreign classical theory. And then expounded the pro-cyclicality of commercial banks as well as its internal cause and external cause. At the end of this chapter, the author analyzed the impact of economic cycle on commercial banks'credit risk from the risk perspective. In particular, the author analyzed the impact of economic cycle on commercial banks'default probability and default loss rate according to previous theories. The analysis indicated that the adverse impact of economic cycle tended to increase commercial banks'default probability and default loss rate. The analysis of the relevant between commercial banks' credit risk and economic cycle in this chapter provided a theoretical basis for the next chapter.Chapter four -- This chapter was an empirical study of the impact of economic cycle on commercial banks' credit risk. Considering the poor availability of data, this paper only studied the impact of economic cycle on the systemic part of commercial banks'credit risk, without considering the non-systemic risk caused by individual. This hypothesis was based on the premise that commercial Banks could eliminate such risks by decentralized management of asset. In order to depict the operation of the economic cycle, macroeconomic variables, including the volatile component of GDP growth rate, the consumer price index, the broad money supply growth rate, and the 1-3 years'benchmark lending rate, to reflect the economic cycle fluctuation. In recent years, our country's economic growth presented an obvious trend, so the author used the HP filter method to filter the GDP growth rate, leaving the volatile components of the GDP growth rate. Through this treatment, a true economic growth was presented. In addition, this paper established a thinking that quantizing the fluctuation of economic cycle:the main quantitative variable was the fluctuation component of GDP growth rate, the auxiliary quantitative variables were the consumer price index, broad money growth rate and 1-3 years benchmark lending interest rate. As for the quantification of our country's urban commercial banks'credit risk variables, the author selected the non-performing loans. But given each Bank's statistical caliber for non-performing loans did not match with each other, the author selected another variable to confirm the conclusion which was the more than 90 days overdue loans. The characteristics of a bank would also have certain effects on its credit risk, so it was necessary to control impact of the bank's own variable on the its credit risk. According to this thought, this article selected the total loans, capital adequacy ratio, loan-to-deposit ratios and return on equity index as the control variables. The last of this article was the modeling part, the author has established three models. In the first model, the author studied the effect of the current impact of the economic cycle on our country's urban commercial banks'credit risk. According to the model which established by the data of 2007-2014 of 13 typical urban commercial banks in our country, the current impact of the economic cycle had no significant influence on our country's urban commercial banks. In the second model, the impact of the lag of economic cycle on commercial banks was studied. The results indicated that the volatile component of the lag of the GDP growth rate had a significant influence on our country's urban commercial banks' credit risk. And the volatile component of the lag of the GDP growth rate had a negative correlation relationship with the growth rate of non-performing loans. Not only did this result indicated that the impact of economic cycle on our country's urban commercial banks' credit risk was lagged but also indicated that our country's urban commercial banks'credit risk was pro-cyclical. In third model, more than 90 days overdue loans was selected as the explained variable to quantify our country's urban commercial banks' credit risk. The results indicated that the symbols of estimated coefficient and the relative size of the estimated coefficient were consistent with the results of the second model. The second model's steadiness was further confirmed by this method.Chapter five -- The author summarized the conclusions of chapter four and then came out some suggestions. On one hand, our country's urban commercial banks should always focus on the change of the external economic environment and attach importance to the influence of economic cycle on their own credit risk. Especially, they should pay more attention to the lag influence of economic cycle on their credit risk and prevent the outbreak of non-performing loans. On the other hand, they should strengthen the speed and momentum of reform. Firstly, they should strengthen the diversity and innovation of their business, and increase the middle income proportion, and minimize the severe dependence on credit business and credit spreads, thus reducing the impact of profitability on credit risk. Moreover, they should also improve their information system and then introduce risk management techniques and methods which were based on Basel new capital agreement, such as internal rating on products, and analyze and manage their own credit risk scientifically and objectively. The loan interest rate is an important part of enterprise cost, so our country should make all aspects of macroeconomic into consideration when making monetary policy. |
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