An Empirical Analysis On The Relationship Between Non-performing Loans Of Commercial Banks And Macro-economic Factors

China's economy continues to grow at a high rate after the reform and opening up,the development of the financial industry has also achieved considerable success,and bank credit is also growing.In real economy,commercial bank credit asset security concerns overall economic security.The outbreak of the US subprime mortgage crisis shows the great danger of bad loans to the real economy.At present,China is in the period of economic and social transformation.The massive banks' credit means huge credit risks.It is of great practical significance to delve deeply into the causes and theoretical mechanism of non-performing loans in commercial banks,as well as the impact of macro-economic factors on non-performing loans.This paper firstly reviews the theoretical basis of non-performing loan formation in commercial banks,then,it analyzes the characteristics and causes of non-performing loans in commercial banks in China,it analyzes the interaction mechanism between non-performing loans and macro-economic factors of commercial banks,and put forward the corresponding theoretical hypotheses.Finally,we construct the VAR model,and empirically test the correlation between non-performing loans and macroeconomic factors.The main conclusions of this paper are: First,the development of non-performing loans of commercial banks in China has experienced four stages,such as peak period,smooth period,declining period and double rise period.The non-performing loan balance shows the trend of falling first and then rising.The non-performing loan ratio decreases year by year and tends to be between 1% and 2%.The balance of all kinds of non-performing loans has been increasing year by year,and subprime loans,doubtful loans,and loss rate loans have the characteristics of successive decline.Large commercial banks and joint-stock commercial banks have the highest non-performing loans,followed by urban and rural commercial banks,with the lowest foreign banks.Second,there is a one-way cause-and-effect relationship between macroeconomic factors and non-performing loans,i.e.granger causes of non-performing loans.Third,in the short term,the increase of non-performing loan ratio may deepen the vicious circle of non-performing loans,but in the long term,it will show a stable state.Fourth,in the short term,macroeconomic growth,fiscal expenditure and the rise in the overall supply of money can effectively reduce the non-performing loan ratio,but in the long term this effect will be attenuated and may even lead to an increase in non-performing loans.Fourth,macroeconomic factors are basically consistent with the variance decomposition path of non-performing loans,and show the trend characteristics of short-term rise and long-term maintenance.The significance of theoretical analysis and empirical research is:(1)Macroeconomic factors are external factors and cannot be ignored.We will further strengthen macro-control and improve relevant laws and regulations to protect economic and financial security.(2)The non-performing loan problem of commercial banks in China is mainly caused by the factors of both sides of credit.We should further improve the bank credit evaluation mechanism and establish a more effective risk prevention and control system.