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

SỐ 183 | THÁNG 6/2021

Tác động chính sách kinh tế vĩ mô đến nợ xấu: Bằng chứng thực nghiệm tại Việt Nam

Lê Đình Hạc

Tóm tắt: Thông qua dữ liệu của 30 ngân hàng thương mại (NHTM) giai đoạn 2008–2018, tác giả đánh giá tác động của chính sách kinh tế vĩ mô (CSKTVM) đến nợ xấu của hệ thống NHTM tại Việt Nam. Kết quả nghiên cứu cho thấy, khi Ngân hàng Nhà nước (NHNN) tăng lãi suất chính sách để kiềm chế lạm phát thì tỷ lệ nợ xấu ngân hàng của ngân hàng cũng có xu hướng tăng. Đối với chính sách tài khóa (CSTK), khi Chính phủ tăng chi tiêu ngân sách, gây ra hiệu ứng lấn át đối với khu vực tư nhân, hậu quả là nợ xấu tăng lên. Ngoài ra, nghiên cứu cũng tiến hành phân tích tác động của hai công cụ chính sách an toàn vĩ mô (CSATVM) là giới hạn tăng trưởng tín dụng và dự phòng tổn thất theo chu kỳ. Kết quả cho thấy cả hai công cụ này khá hiệu quả trong việc kiểm soát nợ xấu hệ thống NHTM. Bên cạnh đó, nghiên cứu cũng xem xét sự ảnh hưởng của hai yếu tố kinh tế vĩ mô là tăng trưởng kinh tế và lạm phát. Kết quả cho thấy cả hai yếu tố này đều có quan hệ nghịch chiều đối với tỷ lệ nợ xấu. Cuối cùng, tác giả cũng phân tích tác động của tỷ lệ vốn chủ sở hữu trên tổng tài sản (VCSH/TTS) như là một yếu tố nội tại của NHTM đối với nợ xấu. Kết quả cho thấy, những ngân hàng có tỷ lệ VCSH/TTS thấp hơn thì tỷ lệ nợ xấu có xu hướng giảm nhanh hơn trong thời gian nghiên cứu.  

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Impacts of Macroeconomic Policies on Non-Performing Loans: Empirical Evidence in Vietnam

Abstract: Through data of 30 Vietnamese commercial banks for the 2008-2018 period, the author assesses the impacts of macroeconomic policies on non-performing loans (NPL) of the commercial banking system. Research results show that when the State Bank of Vietnam (SBV) increases the policy interest rate to curb inflation, the banks NPL ratio also tends to increase. For fiscal policy, when the government increases the budget spending, it will cause an overwhelming effect on the private sector, resulting in increased NPL ratio of the banking system. In addition, the study also conducted an impact analysis of two macroprudential policy instruments are Limits on Domestic Currency Loans and Time-Varying/Dynamic Loan-Loss Provisioning. The research results demonstrate that both of these tools are quite effective in controlling the NPL of the commercial banking system. Besides, the study also considers the effects of two macroeconomic factors, economic growth and inflation. The results show that both factors have negative relationships with the NPL ratio. Finally, the author also analyzes the effect of equity on total assets as an intrinsic factor of commercial banks on NPL. The result reveals that banks have lower equity/total assets, the NPL ratio tends to decrease faster during the study period.