The Impact Of Macroeconomic Shocks On The Stability Of Commercial Banks In China

Bank industry is the core of financial system,the steadiness of the banking system affects the whole financial system healthy.The outbreak of the financial crisis has aroused the attention of all walks of life to the sound operation of the banking industry,however,the soundness of the banks is affected by the cyclical fluctuation of macroeconomic,the deteriorating macroeconomic may exacerbate the vulnerability of the banking system.The banking crisis not only will cause serious impact on the financial system,but also involve all aspects of social economy,affect the smooth development of the whole economic system.Therefore making a systematic research on the impact of macroeconomic shocks on the stability of commercial banks in China has a very theoretical and practical significance.This paper reviews the literatures on the stability of bank industry in the domestic and foreign.From the theoretical analysis of macroeconomic factors impact on the banking soundness and also introduces the factor-augmented vercor autoregressive model,on the basis of available literature,this article from the commercial bank of liquidity,profitability and safety,the construction of a commercial bank soundness index system,with the median bank as the representative bank,empirically analyses how macroeconomic shocks affect bank soundness,then,the corresponding policy recommendations is based on in the empirical analysis of the test results.Given the shortage of the data and adequate samples,this paper selects 16 business banks'and macroeconomic quarterly dates of 2007-2017 to build FAVAR model,integrating the characterization of the bank soundness micro data with macro data reflects the economic situation of China by building the model.Impulse responses show that:Firstly,after house price shock,supply shock,demand shock,bank stability decreases,while increases after tightening monetary policy.Secondly,bank security indexes responses largest,liquidity and profitability response less.Thirdly,bank stability responses larger after supply shock and demand shock than after monetary policy and house price shock.