SỐ 205 | THÁNG 4/2023
Chính sách an toàn vĩ mô và ổn định ngân hàng: Bằng chứng tại Việt Nam
Hồ Thủy Tiên
Tóm tắt:
Nghiên cứu nhằm đánh giá tác động của chính sách an toàn vĩ mô (CSATVM) đến ổn định ngân hàng tại Việt Nam. Thông qua thuật toán mô phỏng Bayes, nghiên cứu đã cung cấp các bằng chứng về vai trò của các công cụ CSATVM, bao gồm: Giới hạn tăng trưởng tín dụng nội địa (Limits on Domestic Currency Loans - CG), Dự phòng tổn thất theo chu kỳ (Time-Varying/Dynamic Loan-Loss Provisioning - DP), và Giới hạn cho vay bằng ngoại tệ (Limits on Foreign Currency Loans - FC) trong việc duy trì sự ổn định các ngân hàng thương mại (NHTM). Kết quả nghiên cứu chỉ ra, quy mô ngân hàng có tác động tích cực rõ nét đối với đến ổn định hệ thống ngân hàng, trong khi các yếu tố vĩ mô như tốc độ tăng trưởng GDP, lạm phát tác động không thật sự rõ ràng. Cuối cùng, nghiên cứu tìm thấy bằng chứng về tác động tiêu cực của đại dịch Covid-19 đối với ổn định ngân hàng.
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Macroprudential Policy and Bank Stability: Empirical Evidence in Vietnam
Abstract:
The study was conducted to evaluate the impact of macroprudential policy on the stability of the banking system in Vietnam. Using the Bayesian simulation algorithm, the study has provided empirical evidence on the role of macroprudential policy tools, including Limits on Domestic Currency Loans (CG), Time-Varying/Dynamic Loan-Loss Provisioning (DP) and Limits on Foreign Currency Loans (FC) in maintaining the stability of commercial banks. The study also shows that bank size positively impacts banking stability. Meanwhile, macro factors, including GDP growth rate and inflation, did not obviously impact banking stability. Finally, the study also found evidence of a negative impact of the Covid-19 pandemic on banking stability.