Yếu tố ảnh hưởng đến thanh khoản của các ngân hàng thương mại tại Việt Nam

Chuyên khảo phân tích Factors influencing the liquidity of commercial banks in vietnam, đánh giá các khía cạnh quan trọng, đề xuất hướng nghiên cứu tiếp theo.

• Tác giả: Hoang Dang Khai
• Người hướng dẫn: Dr. Nguyen Duy Linh
• Trường học: Ho Chi Minh University of Banking
• Chuyên ngành: Banking and Finance
• Đề tài: Factors Influencing The Liquidity Of Commercial Banks In Vietnam
• Loại tài liệu: Graduation Thesis
• Năm xuất bản: 2022
• Địa điểm: Ho Chi Minh City

Mục lục chi tiết

• ABSTRACT
• DECLARATION OF AUTHENTICITY
• LIST OF ABBREVIATIONS
• LIST OF TABLES
• LIST OF GRAPHS
• 1. CHƯƠNG 1: INTRODUCTION
• 1.1. THE NOVELTY OF THE TOPIC
• 1.2. THE AIM OF THE THESIS
• 1.3. THE RESEARCH QUESTIONS
• 1.4. SUBJECT AND SCOPE OF THE RESEARCH
• 1.5. METHODOLOGY
• 1.6. RESEARCH CONTENT
• 1.7. CONTRIBUTION OF THE THESIS
• 1.8. THE PROPOSED LAYOUT OF THE THESIS
• 2. CHƯƠNG 2: THEORETICAL FRAMEWORK
• 2.1. LIQUIDITY OF COMMERCIAL BANKS
• 2.1.1. Liquidity concept
• 2.1.2. Bank liquidity
• 2.2. SUPPLY AND DEMAND OF LIQUIDITY AND NET LIQUIDITY POSITION
• 2.2.1. Supply and demand of liquidity
• 2.2.2. Net liquidity position
• 2.3. LIQUIDITY MEASUREMENT METHOD
• 2.3.1. Liquidity gap measurement method
• 2.3.2. Liquidity ratio measurement method
• 2.4. FACTORS INFLUENCING BANK LIQUIDITY
• 2.4.1. Group of factors inside the bank
• 2.4.2. Group of factors outside the bank
• 2.5. EMPIRICAL RESEARCH OVERVIEW
• 2.5.1. The research gaps
• 3. CHƯƠNG 3: RESEARCH MODEL
• 3.1. SAMPLES AND RESEARCH DATA
• 3.2. RESEARCH MODEL AND HYPOTHESIS
• 3.2.1. Description of variables and hypotheses
• 4. CHƯƠNG 4: RESEARCH RESULTS
• 4.1. REGRESSION RESULTS OF THE RESEARCH MODEL
• 4.1.1. Comparison of regression results between two models, Pooled OLS and FEM
• 4.1.2. Comparison of regression results between two models, FEM and REM
• 4.2. Loan-to-deposit ratio (LDR)
• 4.3. Return on equity (ROE)
• 4.4. Non-performing loan ratio (NPL)
• 4.5. Economic growth rate (GDP)
• 5. CHƯƠNG 5: CONCLUSION AND POLICY IMPLICATIONS
• 5.1. For commercial banks
• 5.2. For the State Bank of Vietnam
• 5.3. LIMITATIONS OF THE THESIS
• 5.4. PROPOSING DIRECTIONS FOR FURTHER RESEARCH
• LIST OF COMMERCIAL BANKS IN VIETNAM IN THE RESEARCH SAMPLE
• APPENDIX B CALCULATED DATASET
• APPENDIX C REGRESSION RESULTS WITH STATA 16

Tóm tắt

I. Tổng quan về các yếu tố ảnh hưởng đến thanh khoản ngân hàng thương mại tại Việt Nam

Thanh khoản của ngân hàng thương mại là khả năng đáp ứng nhu cầu tiền mặt ngay lập tức, bao gồm việc rút tiền gửi và giải ngân tín dụng. Các yếu tố ảnh hưởng đến thanh khoản không chỉ liên quan đến hoạt động nội bộ của ngân hàng mà còn bị tác động bởi các yếu tố bên ngoài như môi trường kinh tế và quy định pháp lý. Nghiên cứu này sẽ phân tích các yếu tố chính ảnh hưởng đến thanh khoản của ngân hàng thương mại tại Việt Nam trong giai đoạn 2012-2021.

1.1. Khái niệm thanh khoản ngân hàng thương mại

Thanh khoản ngân hàng thương mại được định nghĩa là khả năng đáp ứng các nghĩa vụ tài chính kịp thời. Theo Basel, thanh khoản là khả năng tăng cường tài sản và đáp ứng các nghĩa vụ nợ mà không phải chịu tổn thất lớn.

1.2. Tầm quan trọng của thanh khoản trong hệ thống ngân hàng

Thanh khoản đóng vai trò quan trọng trong việc đảm bảo sự ổn định của hệ thống tài chính. Một ngân hàng thiếu thanh khoản có thể dẫn đến khủng hoảng tài chính, ảnh hưởng đến toàn bộ nền kinh tế.

II. Các thách thức đối với thanh khoản ngân hàng thương mại tại Việt Nam

Ngành ngân hàng Việt Nam đang đối mặt với nhiều thách thức trong việc duy trì thanh khoản. Các yếu tố như lãi suất, rủi ro tín dụng và cạnh tranh trên thị trường đều có thể ảnh hưởng đến khả năng thanh khoản của ngân hàng. Việc quản lý thanh khoản hiệu quả là cần thiết để đảm bảo sự phát triển bền vững của ngân hàng.

2.1. Ảnh hưởng của lãi suất đến thanh khoản

Lãi suất cao có thể làm giảm nhu cầu vay mượn, từ đó ảnh hưởng đến khả năng huy động vốn và thanh khoản của ngân hàng.

2.2. Rủi ro tín dụng và tác động đến thanh khoản

Rủi ro tín dụng gia tăng có thể dẫn đến việc ngân hàng phải trích lập dự phòng lớn, ảnh hưởng đến khả năng thanh khoản và lợi nhuận.

III. Phương pháp quản lý thanh khoản hiệu quả cho ngân hàng thương mại

Để quản lý thanh khoản hiệu quả, ngân hàng cần áp dụng các phương pháp như phân tích dòng tiền, dự báo nhu cầu thanh khoản và tối ưu hóa cấu trúc tài sản. Việc này không chỉ giúp ngân hàng duy trì thanh khoản mà còn nâng cao hiệu quả hoạt động.

3.1. Phân tích dòng tiền và dự báo nhu cầu thanh khoản

Phân tích dòng tiền giúp ngân hàng hiểu rõ hơn về các nguồn và nhu cầu tiền mặt, từ đó đưa ra các quyết định hợp lý trong quản lý thanh khoản.

3.2. Tối ưu hóa cấu trúc tài sản để cải thiện thanh khoản

Ngân hàng cần cân nhắc giữa các loại tài sản có tính thanh khoản cao và thấp để đảm bảo khả năng đáp ứng nghĩa vụ tài chính kịp thời.

IV. Ứng dụng thực tiễn và kết quả nghiên cứu về thanh khoản ngân hàng

Nghiên cứu đã chỉ ra rằng các yếu tố như tỷ lệ cho vay trên tiền gửi (LDR) và tỷ lệ nợ xấu (NPL) có ảnh hưởng tiêu cực đến thanh khoản ngân hàng. Ngược lại, quy mô ngân hàng và tỷ lệ vốn chủ sở hữu có tác động tích cực. Những phát hiện này có thể giúp các nhà quản lý ngân hàng đưa ra các quyết định chính xác hơn trong việc quản lý thanh khoản.

4.1. Kết quả nghiên cứu về các yếu tố ảnh hưởng đến thanh khoản

Nghiên cứu cho thấy LDR và NPL có tác động tiêu cực đến thanh khoản, trong khi SIZE và CAP có tác động tích cực.

4.2. Ứng dụng các kết quả nghiên cứu vào thực tiễn

Các ngân hàng có thể áp dụng các khuyến nghị từ nghiên cứu để cải thiện khả năng thanh khoản và đảm bảo sự ổn định tài chính.

V. Kết luận và triển vọng tương lai về thanh khoản ngân hàng thương mại

Việc quản lý thanh khoản ngân hàng thương mại tại Việt Nam cần được chú trọng hơn trong bối cảnh kinh tế biến động. Các ngân hàng cần áp dụng các biện pháp quản lý thanh khoản hiệu quả để đảm bảo sự phát triển bền vững. Tương lai, nghiên cứu có thể mở rộng để xem xét các yếu tố mới ảnh hưởng đến thanh khoản trong bối cảnh toàn cầu hóa.

5.1. Tóm tắt các phát hiện chính

Nghiên cứu đã xác định các yếu tố chính ảnh hưởng đến thanh khoản và đề xuất các giải pháp quản lý hiệu quả.

5.2. Triển vọng nghiên cứu trong tương lai

Cần có thêm các nghiên cứu sâu hơn để hiểu rõ hơn về các yếu tố ảnh hưởng đến thanh khoản trong bối cảnh kinh tế toàn cầu.

Trích đoạn nội dung tài liệu

THE STATE BANK OF VIETNAM MINISTRY OF EDUCATION AND TRAINING HO CHI MINH UNIVERSITY OF BANKING HOANG DANG KHAI FACTORS INFLUENCING THE LIQUIDITY OF COMMERCIAL BANKS IN VIETNAM GRADUATION THESIS MAJOR: BANKING AND FINANCE CODE: 7340201 SUPERVISOR: DR. NGUYEN DUY LINH HO CHI MINH CITY – 2022 THE STATE BANK OF VIETNAM MINISTRY OF EDUCATION AND TRAINING HO CHI MINH UNIVERSITY OF BANKING HOANG DANG KHAI STUDENT CODE: 050606180154 HQ6-GE04 FACTORS INFLUENCING THE LIQUIDITY OF COMMERCIAL BANKS IN VIETNAM GRADUATION THESIS MAJOR: BANKING AND FINANCE CODE: 7340201 SUPERVISOR: DR. NGUYEN DUY LINH HO CHI MINH CITY – 2022 ABSTRACT The topic " FACTORS INFLUENCING THE LIQUIDITY OF COMMERCIAL BANKS IN VIETNAM" is based on previous researches related to factors affecting the liquidity of Vietnamese commercial banks; The scope of the study is 25 Vietnamese commercial banks in the period 2012-2021. Besides, research data is secondary data collected from audited consolidated financial statements of commercial banks, General Statistics Office and World Bank.

The topic uses a univariate regression model with the dependent variable being bank liquidity and the independent variables being Bank size (SIZE), Equity ratio (CAP), Loan-to-deposit ratio (LDR), Return on equity (ROE), Non-performing loan (NPL), Economic growth (GDP), Inflation rate (INF). Through the regression models Pooled-OLS, FEM, REM, FGLS, along with some tests to find a complete model and have statistical significance. The model estimation results show that the variables LDR, NPL, and GDP have a negative impact on the liquidity of the bank; in contrast, the variables SIZE, CAP, ROE, and INF have a positive impact on the liquidity of banks. However, only variables such as LDR, ROE, and INF are statistically significant.

Based on the research results, the study contributes to providing suggestions and policy implications for bank administrators to both manage the liquidity of Vietnamese banks and meet both profitability. TABLE OF CONTENTS ABSTRACT. TABLE OF CONTENTS. DECLARATION OF AUTHENTICITY.

LIST OF ABBREVIATIONS. LIST OF TABLES. LIST OF GRAPHS .2 THE NOVELTY OF THE TOPIC .3 THE AIM OF THE THESIS .4 THE RESEARCH QUESTIONS .5 SUBJECT AND SCOPE OF THE RESEARCH.8 CONTRIBUTION OF THE THESIS.9 THE PROPOSED LAYOUT OF THE THESIS. 5 SUMMARY OF CHAPTER 1.

7 CHAPTER 2: THEORETICAL FRAMEWORK .1 LIQUIDITY OF COMMERCIAL BANKS .3 Supply and demand of liquidity and net liquidity position .2 LIQUIDITY MEASUREMENT METHOD .1 Liquidity gap measurement method .2 Liquidity ratio measurement method .3 FACTORS INFLUENCING BANK LIQUIDITY .1 Group of factors inside the bank .2 Group of factors outside the bank .4 EMPIRICAL RESEARCH OVERVIEW .3 The research gaps. 19 SUMMARY OF CHAPTER 2. 20 CHAPTER 3: RESEARCH MODEL .2 SAMPLES AND RESEARCH DATA .4 RESEARCH MODEL AND HYPOTHESIS .2 Description of variables and hypotheses. 26 SUMMARY OF CHAPTER 3.

30 CHAPTER 4: RESEARCH RESULTS.3 REGRESSION RESULTS OF THE RESEARCH MODEL .1 Comparison of regression results between two models, Pooled OLS and FEM 37 4.2 Comparison of regression results between two models, FEM and REM.3 Loan-to-deposit ratio (LDR) .4 Return on equity (ROE).5 Non-performing loan ratio (NPL) .6 Economic growth rate (GDP). 43 SUMMARY OF CHAPTER 4. 44 CHAPTER 5: CONCLUSION AND POLICY IMPLICATIONS .1 For commercial banks .2 For the State Bank of Vietnam .3 LIMITATIONS OF THE THESIS .4 PROPOSING DIRECTIONS FOR FURTHER RESEARCH. 49 SUMMARY OF CHAPTER 5.

LIST OF COMMERCIAL BANKS IN VIETNAM IN THE RESEARCH SAMPLE. 53 APPENDIX B CALCULATED DATASET. 55 APPENDIX C REGRESSION RESULTS WITH STATA 16. 69 DECLARATION OF AUTHENTICITY I declare that this is my independent thesis.

The data used in the thesis are of clear origin and published following the law. The research results in the thesis are my research and analysis, honestly, objectively, and by following the reality of Vietnam. These results have not been published in any previous papers. Ho Chi Minh City, November 2022 The Author Hoang Dang Khai ACKNOWLEDGEMENT Firstly, I would like to send my profound gratitude to all the lecturers at Banking university, in the Office of Academic Affairs, and especially to the Department of Finance and the Department of Banking lecturer while studying for a bachelor’s degree at the Ho Chi Minh University of Banking Secondly, I would like to express my sincerest and most profound thankfulness to Dr.

Nguyen Duy Linh for his guidance and patience in giving me valuable recommendations during my study period. I am happy and fortunate to carry out this study under his supervisor. Lastly, I would like to thank my family for their support during my study and life. Without encouragement and sacrifice, I would not have finished this thesis, so I express my special love and gratitude to them.

In the implementation process, mistakes are inevitable despite consulting, exchanging, and absorbing suggestions from teachers and friends. With the effort to improve more and more, I look forward to receiving valuable advice from teachers and friends. I sincerely thank! LIST OF ABBREVIATIONS CPI Consumer Price Index FEM Fixed Effects Model FGLS Feasible Generalized Least Squares GSO General Statistics Office JSCBs Joint Stock Commercial Banks NLP Net Liquidity Position POLS Pooled Ordinary Least Square REM Random Effects Model SBV State Bank Of Vietnam VIF Variance Inflation Factor LIST OF TABLES Table 2.1: Banking activities forming the supply and demand for liquidity.1: Description of variables in the research model .4: Regression results of models .7: Modified Wald test .9: Regression result of FGLS .10: Summary of expected hypothesis and experimental results. 40 LIST OF GRAPHS Graph 3.1 Introduction In theory, the liquidity of commercial banks is considered as the ability to meet the immediate needs of commercial banks for money, such as withdrawing deposits and disbursing committed credits, paying the costs of operations, or other needs to be paid by cash.

Liquidity is a crucial factor determining the safety of commercial banks. A bank default due to the lack of liquidity will cause a domino effect on other commercial banks. A typical example of this is the global financial crisis in 2008 due to the weakness of the financial system, specifically the lack of liquidity at commercial banks. During the global financial crisis, many banks had to find ways to maintain liquidity.

Despite the financial help of the central bank, many banks still had to declare bankruptcy, and some were forced to merge with other banks. Many commercial banks, although profitable, can still face difficulties in asset and capital management, which has led to a liquidity crisis. After the banking system crisis in 2008, Basel III was officially introduced in 2013, with regulations relating to liquidity factors in order to minimize the economic damage caused by banks may cause. In Vietnam, the state bank also imposed some regulations to ensure more liquidity for commercial banks.

According to Circular No. 22/2019/TT-NHNN, dated November 15, 2019, of the State Bank of Vietnam stipulating the limits and ratios to ensure safety in operations of banks and foreign bank branches, from on January 1, 2020 (the effective date of the circular), the maximum loan-to-deposit ratio (LDR) is at 85%. The maximum rate of short-term capital used for medium and long-term loans of banks and foreign bank branches currently applied by the State Bank is 34% from October 1, 2021, to the end of May 30, September 2022, then reduced to 30% from October 1, 2022, according to the latest revised Circular 22/2019/TT-NHNN. 1 In the face of the constantly changing and volatile situation of Vietnam's financial sector in general and the banking industry in particular, the study was conducted to determine the factors affecting the liquidity of Vietnam's commercial banking system in the current context.

Banks are one of the vital components of each country's economy; they play a crucial role in regulating the macroeconomy through credit financing, facilitating the process of integration of economic and production activities. Along with its essential role, banking governance is also an extremely important issue for governments in monitoring and management, in which liquidity is the top priority in banking governance. Liquidity has long played an essential role in deciding the existence and development of each commercial bank in particular and the commercial banking system in general. In recent times, the world economy and global financial markets have been continuously negatively affected by the Russia-Ukraine conflict, which has pushed up the prices of oil, gold, and other essential commodities due to sanctions, embargos from the West, and retaliatory measures from Russia.

Inflation has been running high for over a decade, prompting major central banks to race to raise interest rates to cool it down. In Vietnam, after the pandemic passed and the economy reopened, commercial banks disbursed at full capacity to boost production and accelerate economic recovery. Therefore, the depletion of the credit room occurred from the beginning of 2022 and caused commercial banks to apply and request the State Bank to lose the credit room to be able to disburse credit. Continuous hot credit growth will create many difficulties and obstacles in meeting liquidity needs in the future as well as in banking governance in a volatile world economy like today.

Liquidity issues of commercial banks in Vietnam are always a hot topic of interest at the beginning of each year. The goal of liquidity is to ensure the bank's continuous and stable operation. If banks have good liquidity, it will help stabilize the financial market as well as promote the smooth operation of the economy. Therefore, 2 the author has chosen to study the topic "Factors affecting liquidity at commercial banks in Vietnam" for the graduation thesis.2 The novelty of the topic The topic was written in the post-covid context when the SBV was stimulating the economy to recover after years of a stagnant pandemic.

Through monetary policies and interest rate support packages to encourage industries affected by covid-19, commercial banks quickly disbursed at full capacity, reaching the limit of credit room that the State Bank had applied at the beginning of 2022. Since the outbreak of the pandemic, the economy has been shut down, but banks have made even better profits than in previous years while keeping liquidity at a good level. Therefore, this topic focuses on analyzing how the factors affecting the bank's liquidity have changed before and during the covid pandemic while still maintaining outstanding profitability. From there, creating a premise for bank administrators to apply the recommendations and suggestions given by the author to help banks increasingly improve their safety under the Basel framework along with the ability to profitability, creating prestige and position for Vietnamese commercial banks.3 The aim of the thesis 1.1 Overall objectives The overall objective of the study is to identify the factors affecting the liquidity of commercial banks in Vietnam, thereby providing solutions and recommendations to effectively manage the bank's liquidity.2 Particular objectives  Determining the factors impacting the liquidity of commercial banks in Vietnam.

 Measuring and assessing the impact direction of each factor influencing the liquidity of commercial banks in Vietnam. 3  Proposing recommendations to manage the liquidity of Vietnamese commercial banks to ensure both liquidity and profitability.4 The research questions Based on the particular objectives mentioned above, the thesis will, in turn, answer the following questions:  What factors affect the liquidity of commercial banks in Vietnam?  What is the impact level and direction of these factors on the liquidity of Vietnam's commercial banks?  What are suggestions that can manage the liquidity of Vietnamese commercial banks to meet both liquidity and profitability? 1.5 Subject and scope of the research  Research subject: Factors influencing the liquidity of commercial banks.  Research scope: samples were collected from financial statements of 25 Vietnamese commercial banks listed on the Stock Exchange in the period 2012 - 2021. The criteria needed for the study are shown in the financial statements of the banks.