Abstract: The limitation of micro-prudential supervision and the increase of systemic financial risk contagion make the macro and micro prudential coordination supervision of commercial banks the trend of current financial supervision reform.This paper selects the semi-annual data of 14 listed commercial banks in China from 2008 to 2017 as a sample. Based on the analysis of the macro and micro prudential supervision mechanism in different stages of the bank credit cycle, the panel vector autoregressive (PVAR) model is used to study the coordination of macro and micro prudential supervision of China′s banking industry. The results show that the impact of non-performing loan ratio on the stability of China′s commercial banks will exist for a long time and is obvious,and the impact of liquidity ratio and core capital adequacy ratio on bank stability exists but is not significant in the long run; two regulatory indicators in macro-prudential supervision, the generalized credit/GDP deviation and the concentration of banking industry, have obvious effect on the stability of commercial banks and will exist for a long time;the coordinated operation of macro and micro-prudential supervision can alleviate the impact of single policy implementation on the financial and economic systems, and contribute to the long-term stability of the financial system. Therefore, China′s banking supervision should not only strengthen the prevention of internal credit default risk in the micro aspect, but also focus on the risk of spillovers from the credit structure adjustment and bank wealth management business.

Key words: macro-prudential supervision, micro-prudential supervision, commercial banks, PVAR model, coordination