Số 222 | Tháng 9/2024
Ảnh hưởng của bất định đến rủi ro tín dụng của ngành ngân hàng Việt Nam
Nguyễn Tấn Phúc, Đặng Văn Dân
Tóm tắt:
Nghiên cứu này đặt mục tiêu đánh giá tác động của bất định ngân hàng lên chất lượng của hoạt động cho vay, biểu thị thông qua rủi ro tín dụng (RRTD) sử dụng mẫu gồm 40 ngân hàng thương mại (NHTM) Việt Nam trong giai đoạn 2010–2023. Phương pháp ước lượng moment tổng quát (GMM) hệ thống hai bước đã được sử dụng để hồi quy mô hình động và giải quyết vấn đề nội sinh. Kết quả nghiên cứu cho thấy có mối quan hệ ngược chiều giữa bất định ngân hàng và RRTD, hàm ý rằng có sự cải thiện chất lượng tín dụng trong thời gian bất định. Từ kết quả này, một số hàm ý hữu ích được đưa ra.
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The Impact of Uncertainty on Credit Risk of the Vietnamese Banking Industry
Abstract:
This study aims to evaluate the impact of banking uncertainty on the quality of lending activities, explicitly focusing on credit risk. A sample of 40 Vietnamese commercial banks from 2010 to 2023 was analyzed to achieve this goal. The two-step system generalized method of moments (GMM) estimation technique was employed to estimate the dynamic model and address the endogeneity issue. The findings indicate a negative relationship between banking uncertainty and credit risk, suggesting that increased uncertainty improves credit quality. Based on these results, several valuable policy implications are proposed.