Research On The Dynamic Relationship Between Economic Fluctuations Of China And Non-performing Loans Of Commercial Banks

With the constant improvement of the Basel agreement,the risk management of commercial bank proposed by the Basel ? countercyclical regulation,has received more and more attention,shows that the commercial bank credit behavior brought the pro-cyclical links between credit quality and economic development.Non-performing loans are the key indicators to reflect on credit quality,which can measure the safety and stability of financial institutions,and reflect the operational efficiency and systemic risk of Banks.Therefore,the dynamic relationship between the economic situation and non-performing loans becomes the important point.Since the beginning of the 21 st century,China's economy has been growing steadily and volatility has become a good starting point for investigating the economic situation.As the economy enters the new normal,the growth rate slows down,and the non-performing loan ratio increases,and the non-performing loan ratio increases,which is a problem that must be faced.The change lets us consider about whether the economic fluctuation affects the non-performing loan changes,and whether the non-performing loan changes have an impact on China's macroeconomic fluctuations?Firstly,this paper expounds the relationship between economic fluctuation and non-performing loan from a theoretical point of view.The statistical analysis of present situation elaborated our country commercial bank non-performing loans from aspects of endogenous and exogenous reasons analysis on credit behavior pro-cyclical of commercial bank.From economic theory,interest rate marketization,macroeconomic policy three Angle analysis of non-performing loans on economic fluctuation mechanism,deduce the non-performing loans between economic fluctuation and the influence of time dependence.Then based on the balance of non-performing loans in 2004-2004 and GDP growth rate to empirically quarterly data,the original value of the balance of non-performing loans,volatility and the GDP growth rate of the VAR model are established through the cointegration test,granger causality test,impulse response function analysis and variance analysis methods,as well as bad loan balance and dynamic correlation between economic fluctuation.The specific performance includes:(1)the economic fluctuation is affected obviously by the non-performing loan,in the early performance,economic fluctuations have the negative effects on the non-performing loan,and then it turns to be the positive effect,which gradually decreases over time.(2)non-performing loans are affected by economic fluctuations,first showing that they are in the same direction with economic fluctuations,and then turn to be reverse effects on the economy,which gradually decrease over time.(3)the effect of economic fluctuations on the non-performing loan is reflected on the impact of economic fluctuations on the fluctuations of non-performing loans.Finally,according to the conclusion,from the perspective of central bank and commercial bank and credit market,the author puts forward some suggestions to improve the marketization of credit market.