MINISTRY OF EDUCATION AND TRADING THE STATE BANK OF VIETNAM BANKING UNIVERSITY OF HO CHI MINH CITY GRADUATE THESIS SPEACIALITY FINANCE – BANKING TOPIC BANK SPECIFIC AND MACRO ECONOMIC FACTORS AFFECT T[.]
MINISTRY OF EDUCATION AND TRADING THE STATE BANK OF VIETNAM BANKING UNIVERSITY OF HO CHI MINH CITY GRADUATE THESIS SPEACIALITY: FINANCE – BANKING TOPIC: BANK-SPECIFIC AND MACRO-ECONOMIC FACTORS AFFECT THE LIQUIDITY RISKS OF COMMERCIAL BANKS IN VIETNAM Author: Vo Thi Hoang Thu Student code: 050606180400 Instructor: Dr Le Ha Diem Chi HO CHI MINH CITY, JULY 2022 MINISTRY OF EDUCATION AND TRADING THE STATE BANK OF VIETNAM BANKING UNIVERSITY OF HO CHI MINH CITY GRADUATE THESIS SPEACIALITY: FINANCE – BANKING TOPIC: BANK-SPECIFIC AND MACRO-ECONOMIC FACTORS AFFECT THE LIQUIDITY RISKS OF COMMERCIAL BANKS IN VIETNAM Author: Vo Thi Hoang Thu Student code: 050606180400 Instructor: Dr Le Ha Diem Chi HO CHI MINH CITY, JULY 2022 ABSTRACT SUMMARY The thesis "Bank-specific and macroeconomic factors affect the liquidity risks of commercial banks in Vietnam" conducts a study on the group of micro factors and the group of macro factors affecting the liquidity risk of Vietnamese commercial banks in the period period 2010 – 2020, including Dependence on external financing source ratio (EFD); Loan to total assets ratio (TLA); Earning quality (NIITA); Loan to total deposit ratio (LDR); Size of the bank (SIZE); Return on equity (ROE); Money supply growth (M2); Economic growth rate (GDP) and Inflation rate (INF) The research topic applies Pooled-OLS, FEM, and REM models, but the obtained results show that the research model encounters autocorrelation and variable variance, so the author continues to apply the model FGLS model to overcome the research model Then, the author applies the GMM model to test the endogenous phenomenon occurring in the research model and receives high accuracy research results, so the author receives the analysis results from the GMM model as the final result The research results show that the research factors affect bank liquidity risk, in which the variables NIITA, SIZE, and M2 have a negative impact on bank liquidity risk, on the contrary, the variables EFD, TLA, LDR, ROE, GDP, and INF have the same effect on liquidity risk, only variable M2 is not statistically significant After receiving the research results from the GMM model, the author discusses the research results affecting the liquidity risk of Vietnamese commercial banks in the period 2010 - 2020 and makes recommendations for the bank Commercial banks and risk managers can limit the weak liquidity position of Vietnamese banks i DISCLOSURE I hereby declare that the thesis "Bank-specific and macro-economic factors affect the liquidity risks of commercial banks in Vietnam" is the author's research work, and the research results received are truthful The information, data, and content cited are collected by the author from many different sources, have high reliability, and are cited in the reference section Ho Chi Minh City,…… 2022 Author Vo Thi Hoang Thu ii THANK YOU First of all, with deep sincere gratitude, I would like to thank the teachers who are lecturers at the Banking University of Ho Chi Minh City, and the school's management board for creating favorable conditions for teaching and guiding me a lot of knowledge about the banking industry, teaching both soft skills and ethical training during my study here I would like to express my deep gratitude to the person who guided me in the process of completing my thesis – Dr Le Ha Diem Chi, who oriented, guided, supported, and encouraged me throughout the process of completing my research thesis Finally, I would like to express my gratitude to my family and friends around me for helping me, sharing my experiences, and encouraging me when I faced difficulties in completing my essay Ho Chi Minh City,…… 2022 Author Vo Thi Hoang Thu iii CONTENTS ABSTRACT SUMMARY i DISCLOSURE ii THANK YOU iii CONTENTS iv LIST OF ACRONYMS vii LIST OF TABLES viii LIST OF GRAPHICS ix CHAPTER INTRODUCTION TO THE RESEARCH TOPIC 1.1 Reasons for choosing the topic 1.2 Research objectives 1.3 Research question 1.4 Subject and scope of the study 1.4.1 Subject of the study 1.4.2 Scope of the study 1.5 Contribution of research 1.6 Structure of research CONCLUSION CHAPTER CHAPTER THEORETICAL BASIS AND OVERVIEW OF PRIOR STUDIES 2.1 Basic concept overview 2.1.1 The concept of liquidity and liquidity risk 2.1.2 Measure liquidity risk 2.2 Factors impacting liquidity risk 2.2.1 Bank – specific factors 2.2.2 Macroeconomic factors 2.3 An overview of previous studies 10 iv 2.3.1 Review of domestic research 10 2.3.2 Review of foreign research 12 CONCLUSION CHAPTER 14 CHAPTER RESEARCH MODELS AND METHODS 15 3.1 Research model 15 3.2 Measurement of research variables 16 3.2.1 FGAP (Funding Gap) 16 3.2.2 EFD (Dependence on external financing source ratio) 16 3.2.3 TLA (Loan-to-total assets ratio) 16 3.2.4 NIITA (Earning quality) 16 3.2.5 LDR (Loan to total deposit ratio) 17 3.2.6 SIZE (Size of the bank) 17 3.2.7 ROE (Return on Equity) 17 3.2.8 M2 (Money Supply) 17 3.2.9 GDP (Economic Growth Rate) 18 3.2.10 INF (Inflation Rate) 18 3.3 Research hypothesis 18 3.4 Research data and research methods 22 3.4.1 3.4.1 Research data 22 3.4.2 Research Methods 23 CONCLUSION CHAPTER 26 CHAPTER RESEARCH RESULTS AND DISCUSSION 27 4.1 Descriptive statistical analysis 27 4.2 Correlation analysis 29 4.3 Estimating the regression model and testing the regression hypotheses 30 4.3.1 Compare Pooled model – OLS and Fixed Effects Model (FEM) 30 4.3.2 Compare the FEM model and the REM model 32 v 4.3.3 Check for multicollinearity 32 4.3.4 Check for autocorrelation 33 4.3.5 Test for the phenomenon of autocovariance change 34 4.4 Overcoming the research model and GMM regression model method 35 4.4.1 The results of overcoming the research model 35 4.4.2 GMM Regression Model Method 36 4.5 Summarize and discuss research results 38 CONCLUSION CHAPTER 46 CHAPTER CONCLUSIONS AND RECOMMENDATIONS 48 5.1 Conclusion of the results obtained from the research 48 5.2 Recommendations on bank liquidity risk 49 5.2.1 The bank should have a policy on the development and use of capital in each period 49 5.2.2 The bank need to control lending activities and control the use of lending sources 49 5.2.3 The bank needs to increase total existing assets 50 5.2.4 The bank need to develop a policy to use reasonable profits 50 5.2.5 Vietnamese commercial banks need to manage liquidity in the face of changes in lending interest rates and money supply growth 50 5.2.6 In addition to the liquidity risk control policies, the bank has built a team to monitor, forecast, and promptly handle signs of liquidity risk occurring 51 5.3 Limitations of the research and suggestions for new research directions 51 5.3.1 Limitations of the research topic 51 5.3.2 Proposing new research directions 51 CONCLUSION CHAPTER 52 REFERENCES 53 APPENDIX 56 vi LIST OF ACRONYMS No Acronym Meaning OLS Pooled OLS regression model FEM Fixed Effects Model REM Random Effect Model FGLS Feasible generalized least squares model GMM Generalized Method of Moments vii LIST OF TABLES Table 3.1 Statistics of expected signs of variables in the model 22 Table 4.1 Statistics of variables used in the research model 27 Table 4.2 Correlation coefficients between research variables 29 Table 4.3 Results of Pooled - OLS Model 30 Table 4.4 Results of Fixed Effects Model 31 Table 4.5 Results of the Hausman test 32 Table 4.6 Results of multicollinearity test 33 Table 4.7 Wooldridge test results 34 Table 4.8 Modified Wald test 34 Table 4.9 FGLS model troubleshooting results 35 Table 4.10 GMM endogenous test results 36 Table 4.11 Summary of results of model analysis methods 38 viii ... thesis "Bank- specific and macroeconomic factors affect the liquidity risks of commercial banks in Vietnam" conducts a study on the group of micro factors and the group of macro factors affecting the. .. limit the weak liquidity position of Vietnamese banks i DISCLOSURE I hereby declare that the thesis "Bank- specific and macro- economic factors affect the liquidity risks of commercial banks in Vietnam" ... the above factors affected the liquidity risk of Vietnamese commercial banks? • What is the direction of the impact of the above factors on the liquidity risk of Vietnamese commercial banks? •