The Study on Cointegration of Macro-Economy and Bank Credit Risk

Qian Gao; Hui Ling Wu; Xian Bin Wu

doi:10.4028/www.scientific.net/AMM.618.578

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HomeApplied Mechanics and MaterialsApplied Mechanics and Materials Vol. 618The Study on Cointegration of Macro-Economy and...

The Study on Cointegration of Macro-Economy and Bank Credit Risk

Abstract:

This paper, after excluding the impact of structural factors, studes the relationship between macroeconomic variables and bank credit risk by using the concept of cointegration time series. It finds that the co-integration between time of loans issuance and economic cycle does not exist. The economic cycle has a significant impact to the level of non-performing loans in point, and the co-integration relationship between the two is obvious. Credit scale has a significant long-run equilibrium relationship with economic cycle.

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Periodical:

Applied Mechanics and Materials (Volume 618)

Pages:

578-582

DOI:

https://doi.org/10.4028/www.scientific.net/AMM.618.578

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Online since:

August 2014

Authors:

Qian Gao, Hui Ling Wu, Xian Bin Wu*

Keywords:

Cointegration, Credit Risk, Credit Scale, Economic Cycle, Macroeconomic

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