Effects of Macroeconomic Determinants on the Non-performing Loans of Chinese Commercial Banks

Abstract

The aim of this thesis is to research the impact of selected macroeconomic determinants on aggregate credit risk of China. Although there are many ways how to measure credit risk, this thesis uses the non-performing loans ratio of commercial banks as an indicator of aggregate credit risk. Therefore, the aim of this thesis could also be seen as investigating the impact of macroeconomic factors on the non-performing loans ratio of Chinese commercial banks. The data selected in this thesis cover the period from 2004 to 2018. This thesis builds a model based on the ARDL model framework, and estimates the long-run and short-run effects of macroeconomic determinants on non-performing loans ratio.