Số 223 | Tháng 10/2024
Tác động của chính sách tiền tệ đến rủi ro tín dụng: Trường hợp các ngân hàng thương mại Việt Nam
Lê Duy Khánh*
Tóm tắt:
Nghiên cứu này đánh giá tác động của chính sách tiền tệ (CSTT) đến rủi ro tín dụng (RRTD) của các ngân hàng thương mại Việt Nam (NHTM) giai đoạn 2009–2022. Sử dụng mức lãi suất tái cấp vốn đại diện cho CSTT và tỷ lệ nợ xấu đại diện cho RRTD, ước lượng hồi quy FGLS cho thấy rằng mức lãi suất tái cấp vốn có tác động cùng chiều đến RRTD của các NHTM. Như vậy, khi Ngân hàng Nhà nước Việt Nam (NHNN) tăng lãi suất tái cấp vốn có thể khiến cho tỷ lệ nợ xấu ở các NHTM tăng lên. Kết quả này yêu cầu các NHTM phải nâng cao công tác dự báo để phản ứng một cách phù hợp với các hành động chính sách của NHNN. Bên cạnh đó, NHNN cũng cần có sự thận trọng trong những quyết định điều chỉnh lãi suất điều hành của mình, bởi có thể tác động đến tỷ lệ nợ xấu và qua đó ảnh hưởng đến sự ổn định của hệ thống ngân hàng.
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The Impact of Monetary Policy on Credit Risk: The Case of the Vietnamese Commercial Banks
Abstract:
This study evaluates the impact of monetary policy on the credit risk of Vietnamese commercial banks from 2009 to 2022. Using the refinancing rate as a proxy for monetary policy and the non-performing loan ratio as a proxy for credit risk, FGLS regression estimates indicate that the policy interest rate positively impacts commercial banks’ credit risk. Thus, when the State Bank of Vietnam increases the policy interest rate, it may lead to a rise in the non-performing loan ratio among commercial banks. These results necessitate that commercial banks enhance their forecasting capabilities to appropriately respond to the policy actions of the State Bank of Vietnam. Additionally, the State Bank of Vietnam needs to exercise caution in its decisions to adjust the policy interest rate, as such adjustments can affect the non-performing loan ratio and, consequently, the banking system's stability.