Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/258343 
Year of Publication: 
2022
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 10 [Issue:] 2 [Article No.:] 32 [Publisher:] MDPI [Place:] Basel [Year:] 2022 [Pages:] 1-17
Publisher: 
MDPI, Basel
Abstract: 
China has accelerated its banking sector reform in recent years, paying particular attention to non-performing loans (NPLs). The paper's scope is to analyse the relationship between NPLs and macroeconomic variables in China using quarterly data from 2008/Q1 to 2021/Q1 applying wavelet analysis, which allows the study to scan both short- and long-term causal relationships and connections. The analysis produces interesting results. The GDP does not appear to be as important and as much of a driving force in the dynamics of NPLs as in other emerging countries. On the other hand, inflation shows a highly dynamic dependence on NPLs as it varies over time; however, the most interesting data is the relationship between NPLs and economic policy uncertainty. In the short term, the variables are in phase. In the long term, an increase of EPU has a reduction effect on NPLs, indicating that it affects commercial bank loan sizes by reducing enterprise demand for and bank supply of credit resources.
Subjects: 
non-performing loans
China
wavelet analysis
GDP
EPU
CPI
Persistent Identifier of the first edition: 
Creative Commons License: 
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Document Type: 
Article
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