Tác động của tăng trưởng cho vay bất thường đến rủi ro ngân hàng thương mại Việt Nam
Nội dung chính của bài viết
Tóm tắt
Nghiên cứu này nhằm đánh giá ảnh hưởng của tăng trưởng cho vay bất thường đối với rủi ro của ngân hàng Việt Nam, sử dụng dữ liệu bảng cân bằng, bao gồm 390 quan sát của 30 ngân hàng từ năm 2007 đến năm 2019. Bằng phương pháp hồi quy gộp (Pooled OLS), mô hình hiệu ứng cố định (Fixed effects model), mô hình hiệu ứng ngẫu nhiên (Random effects model) và phương pháp GMM (Generalized method of moments. Kết quả cho thấy, tăng trưởng cho vay bất thường bước đầu đã giúp các ngân hàng giảm bớt rủi ro. Tuy nhiên, mối quan hệ này là hình phi tuyến tính và không đồng nhất. Kết quả cho thấy, việc theo đuổi cho vay quá nhiều có nhiều khả năng dẫn đến việc ngân hàng phải chấp nhận rủi ro lớn hơn. Từ kết quả nghiên cứu bài viết đưa ra một số gợi ý nhằm hạn chế rủi ro ngân hàng đó là việc theo đuổi cho vay quá nhiều có nhiều khả năng dẫn đến việc ngân hàng phải chấp nhận rủi ro lớn hơn.
Chi tiết bài viết
Từ khóa
Ngân hàng thương mại, Rủi ro, Tăng trưởng cho vay bất thường
Tài liệu tham khảo
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Amador, J. S., Gómez-González, J. E., & Pabón, A. M. (2013). Loan growth and bank risk: new evidence. Financial Markets and Portfolio Management, 27(4), 365-379.
Arellano, M. (2002). Sargan's intrumental variables estimation and the generalized method of moments. Journal of Business & Economic Statistics, 20(4), 450-459. doi: https://doi.org/10.1198/073500102288618595
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Dell’Ariccia, G., Igan, D., & Laeven, L. U. (2012). Credit booms and lending standards: Evidence from the subprime mortgage market. Journal of money, credit and banking, 44(2‐3), 367-384.
Foos, D., Norden, L., & Weber, M. (2010). Loan growth and riskiness of banks. Journal of Banking & Finance, 34(12), 2929-2940.
García-Herrero, A., Gavilá, S., & Santabárbara, D. (2009). What explains the low profitability of Chinese banks?. Journal of Banking & Finance, 33(11), 2080-2092.
García-Suaza, A. F., Gómez-González, J. E., Pabón, A. M., & Tenjo-Galarza, F. (2012). The cyclical behavior of bank capital buffers in an emerging economy: Size does matter. Economic Modelling, 29(5), 1612-1617.
Ghosh, S. (2010). Credit growth, bank soundness and financial fragility: Evidence from Indian banking sector. South Asia Economic Journal, 11(1), 69-98.
Gorton, G. (2009). Information, liquidity, and the (ongoing) panic of 2007. american economic review, 99(2), 567-572.
Gourinchas, P. O., Valdes, R. O., & Landerretche, O. (2001). Lending Booms: Latin America and the World. Economía, 1(2), 47-99.
Hansen, L. P. (1982). Large sample properties of generalized method of moments estimators. Econometrica: journal of the Econometric Society, 50(4), 1029-1054.
Hess, K., Grimes, A., & Holmes, M. (2009). Credit losses in Australasian banking. Economic Record, 85(270), 331-343.
Kashif, M., Iftikhar, S. F., & Iftikhar, K. (2016). Loan growth and bank solvency: evidence from the Pakistani banking sector. Financial Innovation, 2(1), 1-13.
Keeton, W. R. (1999). Does faster loan growth lead to higher loan losses? Economic review-Federal reserve bank of Kansas City, 84(2), 57-75.
Kindleberger, C. P., & Aliber, R. Z. (2011). Manias, panics and crashes: a history of financial crises: Palgrave Macmillan.
Köhler, M. (2012). Which banks are more risky? The impact of loan growth and business model on bank risk-taking (No. 33/2012). Deutsche Bundesbank.
Laeven, L., & Majnoni, G. (2003). Loan loss provisioning and economic slowdowns: too much, too late? Journal of Financial Intermediation, 12(2), 178-197.
Le, T. (2019). The interrelationship between liquidity creation and bank capital in Vietnamese banking. Managerial Finance, 45(2), 331-347.
Le, T. D. (2020). The interrelationship among bank profitability, bank stability, and loan growth: Evidence from Vietnam. Cogent Business & Management, 7(1), 1840488.
Lepetit, L., Nys, E., Rous, P., & Tarazi, A. (2008). The expansion of services in European banking: Implications for loan pricing and interest margins. Journal of Banking & Finance, 32(11), 2325-2335.
Minsky, H. P. (1977). A theory of systemic fragility. Financial crises: Institutions and markets in a fragile environment, 138-152.
Rossi, S. P., Schwaiger, M. S., & Winkler, G. (2009). How loan portfolio diversification affects risk, efficiency and capitalization: A managerial behavior model for Austrian banks. Journal of Banking & Finance, 33(12), 2218-2226.
Saunders, A., Strock, E., & Travlos, N. G. (1990). Ownership structure, deregulation, and bank risk taking. The journal of finance, 45(2), 643-654.
Schularick, M., & Taylor, A. M. (2012). Credit booms gone bust: Monetary policy, leverage cycles, and financial crises, 1870-2008. american economic review, 102(2), 1029-1061.
Sinkey, J. F., & Greenawalt, M. B. (1991). Loan-loss experience and risk-taking behavior at large commercial banks. Journal of Financial Services Research, 5(1), 43-59.
Alessi, L., & Detken, C. (2011). Quasi real time early warning indicators for costly asset price boom/bust cycles: A role for global liquidity. European Journal of Political Economy, 27(3), 520-533.
Altunbas, Y., Gambacorta, L., & Marques-Ibanez, D. (2012). Do bank characteristics influence the effect of monetary policy on bank risk? Economics Letters, 117(1), 220-222.
Amador, J. S., Gómez-González, J. E., & Pabón, A. M. (2013). Loan growth and bank risk: new evidence. Financial Markets and Portfolio Management, 27(4), 365-379.
Arellano, M. (2002). Sargan's intrumental variables estimation and the generalized method of moments. Journal of Business & Economic Statistics, 20(4), 450-459. doi: https://doi.org/10.1198/073500102288618595
Arellano, M., & Bover, O. (1995). Another look at the instrumental variable estimation of error-components models. Journal of econometrics, 68(1), 29-51.
Bikker, J. A., & Metzemakers, P. A. (2005). Bank provisioning behaviour and procyclicality. Journal of International Financial Markets, Institutions and Money, 15(2), 141-157.
Blundell, R., & Bond, S. (1998). Initial conditions and moment restrictions in dynamic panel data models. Journal of econometrics, 87(1), 115-143.
Bond, S. R. (2002). Dynamic panel data models: a guide to micro data methods and practice. Portuguese economic journal, 1(2), 141-162. doi: https://doi.org/10.1007/s10258-002-0009-9
Cecchetti, S., & Kharroubi, E. (2012). Reassessing the impact of finance on growth (No. 381). Bank for International Settlements.
Clair, R. T. (1992). Loan growth and loan quality: some preliminary evidence from Texas banks. Economic Review, Federal Reserve Bank of Dallas, Third Quarter, 1992, 9-22.
C Cornelli, G., Frost, J., Gambacorta, L., Rau, R., Wardrop, R., & Ziegler, T. (2020). Fintech and big tech credit: a new database (No. 887). Bank for International Settlements.
Dell’Ariccia, G., Igan, D., & Laeven, L. U. (2012). Credit booms and lending standards: Evidence from the subprime mortgage market. Journal of money, credit and banking, 44(2‐3), 367-384.
Foos, D., Norden, L., & Weber, M. (2010). Loan growth and riskiness of banks. Journal of Banking & Finance, 34(12), 2929-2940.
García-Herrero, A., Gavilá, S., & Santabárbara, D. (2009). What explains the low profitability of Chinese banks?. Journal of Banking & Finance, 33(11), 2080-2092.
García-Suaza, A. F., Gómez-González, J. E., Pabón, A. M., & Tenjo-Galarza, F. (2012). The cyclical behavior of bank capital buffers in an emerging economy: Size does matter. Economic Modelling, 29(5), 1612-1617.
Ghosh, S. (2010). Credit growth, bank soundness and financial fragility: Evidence from Indian banking sector. South Asia Economic Journal, 11(1), 69-98.
Gorton, G. (2009). Information, liquidity, and the (ongoing) panic of 2007. american economic review, 99(2), 567-572.
Gourinchas, P. O., Valdes, R. O., & Landerretche, O. (2001). Lending Booms: Latin America and the World. Economía, 1(2), 47-99.
Hansen, L. P. (1982). Large sample properties of generalized method of moments estimators. Econometrica: journal of the Econometric Society, 50(4), 1029-1054.
Hess, K., Grimes, A., & Holmes, M. (2009). Credit losses in Australasian banking. Economic Record, 85(270), 331-343.
Kashif, M., Iftikhar, S. F., & Iftikhar, K. (2016). Loan growth and bank solvency: evidence from the Pakistani banking sector. Financial Innovation, 2(1), 1-13.
Keeton, W. R. (1999). Does faster loan growth lead to higher loan losses? Economic review-Federal reserve bank of Kansas City, 84(2), 57-75.
Kindleberger, C. P., & Aliber, R. Z. (2011). Manias, panics and crashes: a history of financial crises: Palgrave Macmillan.
Köhler, M. (2012). Which banks are more risky? The impact of loan growth and business model on bank risk-taking (No. 33/2012). Deutsche Bundesbank.
Laeven, L., & Majnoni, G. (2003). Loan loss provisioning and economic slowdowns: too much, too late? Journal of Financial Intermediation, 12(2), 178-197.
Le, T. (2019). The interrelationship between liquidity creation and bank capital in Vietnamese banking. Managerial Finance, 45(2), 331-347.
Le, T. D. (2020). The interrelationship among bank profitability, bank stability, and loan growth: Evidence from Vietnam. Cogent Business & Management, 7(1), 1840488.
Lepetit, L., Nys, E., Rous, P., & Tarazi, A. (2008). The expansion of services in European banking: Implications for loan pricing and interest margins. Journal of Banking & Finance, 32(11), 2325-2335.
Minsky, H. P. (1977). A theory of systemic fragility. Financial crises: Institutions and markets in a fragile environment, 138-152.
Rossi, S. P., Schwaiger, M. S., & Winkler, G. (2009). How loan portfolio diversification affects risk, efficiency and capitalization: A managerial behavior model for Austrian banks. Journal of Banking & Finance, 33(12), 2218-2226.
Saunders, A., Strock, E., & Travlos, N. G. (1990). Ownership structure, deregulation, and bank risk taking. The journal of finance, 45(2), 643-654.
Schularick, M., & Taylor, A. M. (2012). Credit booms gone bust: Monetary policy, leverage cycles, and financial crises, 1870-2008. american economic review, 102(2), 1029-1061.
Sinkey, J. F., & Greenawalt, M. B. (1991). Loan-loss experience and risk-taking behavior at large commercial banks. Journal of Financial Services Research, 5(1), 43-59.
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