IMPACT OF MACRORCONOMIC FACTORS ON CREDIT RISK OF CHINESE STATE-OWNED COMMERCIAL BANKS

Abstract

In the process of China's economic development, there has been a problem of credit risk in commercial banks in the macroeconomic environment. Based on the data base from 2012 to 2021th, this paper establishes a regression model model with five Chinese state-owned commercial banks' non-performing loan ratios as the explanatory variables and five macroeconomic factors as the explanatory variables, with the aim of studying the influence of macroeconomic factors on the credit risk of Chinese commercial banks. Through the empirical evidence, it is proved that (NPLR) is significantly influenced by Growth rate of fixed asset investment (FAI), money supply growth rate (M2), Producer Price Index (PPI) and Social However, the effect of China real estate climate index (CRECI) on NPLR is not significant enough. Finally, the results of the empirical analysis suggest suggestions to reduce the credit risk and NPLR of Chinese commercial banks