Tạp chí đã xuất bản
2004
ISSN
ISSN 2615-9813
ISSN (số cũ) 1859-3682

Số 182 | Tháng 5/2021

Ảnh hưởng liên kết của rủi ro tín dụng và thanh khoản đến sự ổn định của hệ thống ngân hàng thương mại Việt Nam

Võ Thị Thúy Kiều, Lê Thông Tiến, Nguyễn Trung Dũng

Tóm tắt: Sự gắn liền của rủi ro tín dụng (RRTD) với rủi ro thanh khoản (RRTK) đặt ra nhiều thách thức đối với sự ổn định của hệ thống ngân hàng. Dựa trên bộ dữ liệu 22 ngân hàng thương mại (NHTM) Việt Nam giai đoạn 2006–2019, bài nghiên cứu xem xét mối quan hệ giữa RRTD và thanh khoản thông qua ước lượng GMM hai giai đoạn và phân tích nhân quả bằng mô hình véc tơ tự hồi quy cho dữ liệu bảng (PVAR). Kết quả nghiên cứu tìm thấy được bằng chứng thống kê về ảnh hưởng tích cực của thanh khoản đến RRTD. Đồng thời, ảnh hưởng liên kết của thanh khoản và RRTD đối với sự ổn định của hệ thống ngân hàng, được đo lường bởi Z-score, cũng được xác nhận thông qua mô hình dữ liệu bảng động. Một trong những đóng góp của nghiên cứu là tìm ra ngưỡng thanh khoản xấp xỉ 13,44%. Ảnh hưởng tiêu cực của RRTD có khả năng bị triệt tiêu khi thanh khoản vượt xa giá trị ngưỡng 13,44%.  

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The Reciprocal Impact of Credit Risk and Liquidity on the Stability of Vietnamese Banking System

Abstract: The reciprocal relationship between credit risk and liquidity risk has recently posed many challenges to the stability of the banking system. With a panel dataset of 22 Vietnamese commercial bank over the 2006-2019 period, this article considers the causal relationship between liquidity and credit risk by two-step system GMM, and Granger test for Panel Autoregression model (PVAR). The empirical findings provide statistical evidence that positive impact of liquidity on credit risk proved to be significant. Simultaneously, its reciprocal effect on banking stability, as proxied by Z-score, was verified by dynamic panel data analysis. Besides, the other important contribution was about threshold of liquidity, approximately 13,44%. The negative effect of credit risk was inclined to be weakened or eliminated when the liquidity is much higher than 13,44%.