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t to ng ep hi UNIVERSITY OF ECONOMICS HO CHI MINH CITY VIETNAM INSTITUTE OF SOCIAL STUDIES THE HAGUE THE NETHERLANDS w n VIETNAM – NETHERLANDS a lo d PROGRAMME FOR M.A IN DEVELOPMENT ECONOMICS ju y th yi pl ua al n IMPACT OF MONETARY POLICY ON THE SUPPLY OF BANK LOAN: BANK’S BALANCE SHEET APPROACH va n oi m ll fu at nh z BY z vb k jm ht Ms NGUYEN NHU Y l.c gm om MASTER OF ARTS IN DEVELOPMENT ECONOMICS an Lu n va y te re th HO CHI MINH CITY, DECEMBER 2013 t to ng UNIVERSITY OF ECONOMICS INSTITUTE OF SOCIAL STUDIES ep hi THE HAGUE VIETNAM THE NETHERLANDS HO CHI MINH CITY w n a lo d VIETNAM – NETHERLANDS y th ju PROGRAMME FOR M.A IN DEVELOPMENT ECONOMICS yi pl n ua al va IMPACT OF MONETARY POLICY ON THE SUPPLY OF BANK LOAN: BANK’S BALANCE SHEET APPROACH n oi m ll fu at nh z The thesis submitted in partial fulfillment of the requirements for the degree of z vb MASTER OF ARTS IN DEVELOPMENT ECONOMICS k jm ht om l.c Ms NGUYEN NHU Y gm By n va DR NGUYEN HOANG BAO an Lu Academic Supervisor: y te re th HO CHI MINH, DECEMBER 2013 Page t to ng ep hi ACKNOWLEDGEMENT w There are a number of people without whom this thesis might not have written, and to n a lo whom I am greatly indebted d y th Firstly, I would like to express the deepest appreciation to my family, without their ju encouragement and support, I would not have a chance to be finished the thesis yi pl ua al Secondly, I would like to express my sincere thanks to my supervisor, Dr Nguyen Hoang Bao, for the patient guidance, encouragements, comments, and advices he has n va provided throughout the thesis process n fu oi econometric guidance and advices m ll Thirdly, I would like to express my sincere thanks to Dr Truong Dang Thuy for the nh at Fourthly, I am very grateful to all lecturers of the Vietnam-Netherlands Programme for z giving me knowledge and guidance to fulfill the thesis Besides, I would like to thank z ht vb all the academic and technical support from the staffs of Vietnam – Netherlands k jm Programme during the course om l.c support for my thesis but are not above-mentioned gm Finally, I would like to thank my friends and people, who have any help and an Lu n va y te re th Page t to ng ABSTRACT ep hi This study researches the impact of monetary policy onthe supply of bank loan in w Vietnam during the period from 2008 to 2012 The impact is examined by using the n a lo Generalized Methods of Moments (GMM) approach The estimation results indicate d that monetary policy change has negative impact on the supply of bank loan and the y th ju magnitude is different among banks Bank characteristics i.e asset size, liquidity, and yi capitalization depress the negative impact of monetary policy change on the supply of pl ua al bank loan The purpose of this study is to hope policy maker take into consideration when using monetary policy to regulate the supply of bank loan in the context that n va different bank react and absorb the monetary transmission differently n fu oi Vietnam m ll Key words: Monetary policy, supply of bank loan, bank characteristics, GMM, at nh z z k jm ht vb om l.c gm an Lu n va y te re th Page t to ng LIST OF FIGURES ep hi Figure 2.1: The bank – lending channel mechanism 23 w Figure 4.1: Analytical framework .50 n a lo Figure 5.1: The correlation among dependent variable and independent variables .55 d Figure 5.2: The correlation among independent variables and cross-term variables 56 ju y th Figure A.1: Overview of the transmission mechanism (Égert & MacDonald, 2006) 92 yi pl n ua al va n oi m ll fu at nh z z k jm ht vb om l.c gm an Lu n va y te re th Page t to ng LIST OF TABLES ep hi Table 3.1: The short-term three months interbank deposit offer rate from 2008 to 2012 34 w Table 4.1: Variables definition and sources 36 n a lo Table 4.2: Expected signs of variables in equation (21) 44 d Table 5.1: Summary statistics of the variables used in the regressions 54 y th Table 5.2: The empirical regression results of GMM estimation .59 ju Table A.1: The base rate of VND in the year 2008 .74 yi pl Table A.2: The base rate of VND in the year 2009 .75 ua al Table A.3: The base rate of VND in the year 2010 .76 n Table A.4: The required reserve rate of VND in the year 2008 77 va n Table A.5: The required reserve rate of VND in the year 2009 77 m ll fu Table A.6: The required reserve rate of VND in the year 2010 78 Table A.7: The required reserve rate of VND in the year 2011 78 oi nh Table A.8: List of commercial banks 79 at Table A.9: Correlation matrix 81 z z Table A.10: The empirical regression results of GMM estimation 85 ht vb Table A 11: Wooldridge test for autocorrelation in panel data 87 jm Table A 12 : White’s test for Heteroskedasticity in panel data 87 k Table A 13 : Test the relevance of instrument varible 87 gm Table A.14: Summary of empirical literature reviews .88 om l.c an Lu n va y te re th Page C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an t to ng TABLE OF CONTENTS ep hi CHAPTER 1: INTRODUCTION 1.1 Problem statement w n Research objective 11 1.3 Research questions 12 a lo 1.2 d y th Research methodology 12 1.5 Structure of thesis 13 ju 1.4 yi pl ua al CHAPTER 2: LITERATURE REVIEW 14 Theoretical literature .14 2.2 Empirical studies .24 n 2.1 va n m ll fu CHAPTER 3: STYLIZED FACT ON VIETNAMESE MONETARY POLICY AND oi BANKING SYSTEM 28 nh Monetary policy system 28 at 3.1 z Legal framework 28 3.1.2 Monetary policy strategy .29 3.1.3 Monetary policy instrument 30 z 3.1.1 k jm ht vb gm 3.2 Monetary policy and the supply of bank loan change in the period 2008 – 2012 31 4.1 om l.c CHAPTER 4: METHODOLOGY, MODEL SPECIFICATION AND DATA RESOURCES 36 Data and econometric model 36 an Lu Data and variables .36 4.1.2 Econometric model 40 Analytical framework 50 Descriptive and comparative data analysis .53 Page Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn th 5.1 y CHAPTER 5: FINDINGS .53 te re 4.2 n va 4.1.1 C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an t to ng ep hi w 5.1.1 General picture of data for variables of empirical model 53 5.1.2 General relationship among variables 55 5.1.3 Data analysis discussion 58 n a lo 5.2 Econometric results 59 d y th CHAPTER 6: CONCLUSION 66 Summarize of methodology .66 6.2 Summarize of major findings 66 6.3 Policy implications 68 6.4 Shortcomings of the study .69 6.5 Suggestions for further study 69 ju 6.1 yi pl n ua al va n m ll fu REFERENCES 70 oi at nh APPENDIX 74 z z k jm ht vb om l.c gm an Lu n va y te re th Page Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an t to ng CHAPTER 1: INTRODUCTION ep hi This chapter begins the thesis research by introducing the research topic and states the w research problems in terms of social and scientific point of view This chapter also n a lo includes research objective which is what the paper intends to study and states the d y th research questions The next part is research methodology, which presents briefly the ju method will be used in the paper to solve the research objectives and obtains the yi answers for research questions The final part of this chapter presents the organization pl va 1.1 Problem statement n ua al of the thesis n fu m ll Banking system plays a significant role in economic development process in Vietnam oi Banks are considered the capital transmission channel of the economy and its activity at nh covers all economic and social activities Banks are financial intermediaries between z savers and borrowers It provides capital for the economy and bridges the companies z vb with market Therefore, it will be an effective tool for government to regulate the jm ht economy The government manages the macro-economy by implementing monetary k policy, fiscal policy, foreign capital control policy, and trade policy Among the above gm policies, the study focuses on the monetary policy and its effect on banking system l.c om Banking system leads the market through credit operations and payments between commercial banks in the system following the government regulation Thereby, the an Lu banking system expands the volume of money supply in circulation by supplying credit n va to sectors in the economy and controls them effectively One of the most important bank makes inactive capital into active capital, stimulates the circulation of the Page Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn th the continuity of production process and production expansion With this function, the y has an important role in promoting the economic growth by satisfying capital needs for te re functions of banking system is financial intermediary For the economy, this function C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an t to ng capital,and promotes business growth.The supply of bank loan represents for the ep hi financial intermediary function of the bank The amount of the supply of bank loan indicates how much money relatively goes into the economy Theoretically, the loan w n supply of bank is influenced by several factors as capital input cost, monetary policies, a lo d economic situations, loan demand, etc Within the boundary of the study, the impact of ju y th monetary policy on loan supply will be solely discussed in detail Understanding the mechanism and factors, which determine the loan supply of a bank has important yi pl implications for strength and distributional effects of monetary policy Understanding ua al how monetary policy influent the loan supply also strengthens the link between n stabilization and regulatory policy from the government and the state bank of Vietnam va n as well as business decision of bankers m ll fu B S Bernanke and Blinder (1989)suggested bank intermediation is seen to be oi nh especially crucial in a situation of asymmetric information and moral hazard since only at bank specializes in monitoring their borrowers Moreover, bonds and bank loans are z z assumed not perfectly substitute so then many firms would turn into bank dependent vb ht Thus, the existence of bank lending channel becomes importance in monetary k jm transmission mechanism In this case, monetary policy affects bank assets and bank gm liabilities It is not only shift the supply of deposit but also the supply of bank loan The l.c importance thing isthat bank relies on deposit financing and adjustsits loan supply om schedules following changes in bank reserves as monetary policy shock In this way, an Lu monetary policy shocks change the supply of bank loan.The existence of bank lending channel means that with monetary contraction, banks will cut back their loans supply n va and weak, undercapitalized bank will responds more than large and well-capitalized Page 10 Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn th of banks and find that large banks are better able to neutralize monetary shocks than y Kashyap and Stein (1997) and Kashyap and Stein (2000)analyzed disaggregated data te re banks There are also several empirical studies on the field Kashyap and Stein (1995); C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an t to ng Table A.6: The required reserve rate of VND in the year 2010 ep hi Required reserve (VND) w n 4%1 - 3%2 Decision No Effective date 74/QĐ-NHNN dated 18/01/2010 01/02/2010 a lo (2) for term over 12 months d (1) for term under 12 months y th ju Source: State bank of Vietnam, 2013 yi pl ua al Table A.7: The required reserve rate of VND in the year 2011 n va Decision No Effective date n Required reserve (VND) m ll fu 3%1 - 4%2 750/QĐ-NHNN dated 9/04/2011 3%1 - 5%2 1209/QĐ-NHNN dated 1/06/2011 01/05/2011 oi at nh 01/06/2011 1925/QD-NHNN dated 01/09/2011 z 3%1 - 6%2 vb (2) for term over 12 months jm ht (1) for term under 12 months z 26/08/2011 k Source: State bank of Vietnam,2013 om l.c gm an Lu n va y te re th Page 78 Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an t to ng Table A.8: List of commercial banks ACB Asia Commercial Bank Agribank Vietnam Bank For Agriculture And Rural Development An Binh Bank An Binh Commercial Joint Stock Bank BIDV Bank For Investment And Development Of Vietnam Dai A Bank EAB Eximbank Viet Nam Export – Import Commercial Joint Stock Bank HD Bank Housing Development Commercial Joint Stock Bank Maritime Bank Maritime Commercial Joint Stock Bank 10 MB Bank Military Commercial Joint Stock Bank 11 MHB Housing Bank Of Mekong Delta 12 Nam A Bank Southeast Asia Commercial Joint Stock Bank 13 Sacombank SaiGonThuong Tin Commercial Joint-Stock Bank 14 SHB Saigon-Hanoi Commercial Joint Stock Bank 15 Southern Bank Southern Commercial Joint Stock Bank 16 Techcombank Viet Nam Technological And Commercial Joint Stock Bank 17 VIB Vietnam International Commercial Joint Stock Bank 18 Vietcombank Joint Stock Commercial Bank For Foreign Trade Of Vietnam 19 Vietinbank Vietnam Bank For Industry And Trade 20 VP Bank Vietnam Prosperity Commercial Joint-Stock Bank w English Name d ep hi No Local Name n a lo ju y th yi pl Great Asia Commercial Joint Stock Bank ua al Eastern Asia Commercial Joint Stock Bank n va n oi m ll fu at nh z z k jm ht vb om l.c gm an Lu n va y te re th Page 79 Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an t to ng ep hi w n a lo d ju y th yi pl n ua al va n oi m ll fu at nh z z k jm ht vb om l.c gm an Lu n va y te re th Page 80 Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn hi ng C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an ep C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an n w lo ad y th ju p yi la an lu Table A.9: Correlation matrix 𝑑𝐿𝑁𝑖,𝑡−1 𝑑𝑖𝑡 𝑑𝑖𝑡−1 𝐴𝑖𝑡−1 𝐿𝐼𝑄𝑖𝑡−1 𝐾𝐴𝑖𝑡−1 𝑑𝑇𝐷𝑖𝑡 𝑑𝑇𝐷𝑖𝑡−1 𝑑𝐼𝐵𝑖𝑡 1.0000 𝑑𝐿𝑁𝑖𝑡 (-1) 0.4088 1.0000 𝑑𝑖𝑡 0.2118 0.5938 𝑑𝑖𝑡−1 -0.5039 -0.4449 -0.4793 1.0000 𝐴𝑖𝑡−1 -0.2490 -0.2028 -0.0382 0.1429 1.0000 𝐿𝐼𝑄𝑖𝑡−1 0.0733 0.1530 -0.0860 0.0423 -0.4979 1.0000 𝐾𝐴𝑖𝑡−1 0.0898 0.1167 -0.1837 0.1692 -0.5251 0.2838 1.0000 𝑑𝑇𝐷𝑖𝑡 0.7225 0.1383 -0.1340 -0.3142 -0.4462 0.1383 1.0000 𝑑𝑇𝐷𝑖𝑡−1 0.3293 0.6773 0.4741 -0.0587 -0.2534 0.2024 -0.0748 0.1384 1.0000 𝑑𝐼𝐵𝑖𝑡 0.0167 -0.1228 -0.1593 -0.0384 l.c gm 0.1332 -0.1900 0.2585 0.1375 0.0794 -0.0543 1.0000 𝑑𝐼𝐵𝑖𝑡−1 0.2073 0.2598 0.1657 -0.2972 -0.2282 0.0164 0.0862 0.2986 0.0870 -0.3386 -0.1759 -0.1326 0.4697 -0.1566 -0.3143 -0.0585 -0.0374 0.1337 -0.4366 0.0822 0.0326 0.0631 -0.4506 0.1661 ll fu 𝑑𝐿𝑁𝑖𝑡 ht vb n va 𝑑𝐿𝑁𝑖𝑡 n oi m 1.0000 tz z k jm om Lu 0.2120 0.5838 0.9987 -0.4744 -0.0422 -0.0889 𝑑𝑖𝑡−1 𝐴𝑖𝑡−1 -0.4965 -0.4390 -0.4791 0.9985 0.1483 0.0470 𝑑𝑖𝑡 𝐿𝐼𝑄𝑖𝑡−1 -0.1989 -0.5672 -0.9725 0.4630 0.0230 0.0550 0.1849 𝑑𝑖𝑡−1 𝐿𝐼𝑄𝑖𝑡−1 0.4736 0.4146 0.4523 -0.9710 -0.1182 -0.0019 -0.1719 𝑑𝑖𝑡 𝐾𝐴𝑖𝑡−1 -0.2035 -0.5627 -0.9917 0.4792 0.0582 0.0893 0.1922 an 𝑑𝑖𝑡 𝐴𝑖𝑡−1 va 0.1620 n te re y 0.2976 th ac 0.1066 si eg cd Page 81 jg hg Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn hi ng C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an ep C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an n w lo ad y th ju p yi la 0.4614 an lu 𝑑𝑖𝑡−1 𝐾𝐴𝑖𝑡−1 0.4013 0.4577 -0.9869 -0.1602 -0.0461 -0.2046 0.3112 0.0428 0.0390 n va ll fu n oi m tz z ht vb k jm om l.c gm an Lu n va y te re ac th si eg cd Page 82 jg hg Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn hi ng C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an ep C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an n w lo ad y th ju p yi la 𝑑𝑖𝑡−1 𝐴𝑖𝑡−1 𝑑𝑖𝑡−1 𝐿𝐼𝑄𝑖𝑡−1 𝑑𝑖𝑡 𝐾𝐴𝑖𝑡−1 𝑑𝑖𝑡−1 𝐾𝐴𝑖𝑡−1 m 𝑑𝑖𝑡 n oi 𝑑𝑖𝑡−1 tz 𝐴𝑖𝑡−1 z 𝐿𝐼𝑄𝑖𝑡−1 ht vb 𝐾𝐴𝑖𝑡−1 k jm 𝑑𝑇𝐷𝑖𝑡 l.c gm 𝑑𝑇𝐷𝑖𝑡−1 𝑑𝐼𝐵𝑖𝑡 1.0000 om 𝑑𝐼𝐵𝑖𝑡−1 𝑑𝑖𝑡 𝐿𝐼𝑄𝑖𝑡−1 ll fu 𝑑𝐿𝑁𝑖𝑡 (-1) 𝑑𝑖𝑡 𝐴𝑖𝑡−1 n va 𝑑𝐿𝑁𝑖𝑡 an lu 𝑑𝐼𝐵𝑖𝑡−1 0.1709 1.0000 𝑑𝑖𝑡−1 𝐴𝑖𝑡−1 -0.3026 -0.4758 1.0000 𝑑𝑖𝑡 𝐿𝐼𝑄𝑖𝑡−1 -0.1203 -0.9764 0.4664 1.0000 𝑑𝑖𝑡−1 𝐿𝐼𝑄𝑖𝑡−1 0.2423 0.4511 -0.9774 -0.4683 1.0000 𝑑𝑖𝑡 𝐾𝐴𝑖𝑡−1 -0.2056 -0.9947 0.4816 0.9722 -0.4576 𝑑𝑖𝑡−1 𝐾𝐴𝑖𝑡−1 0.3167 0.4554 -0.9895 -0.4470 0.9695 an Lu 𝑑𝑖𝑡 𝐴𝑖𝑡−1 n va te re y 1.0000 1.0000 ac th -0.4711 si eg cd Page 83 jg hg Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn hi ng C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an ep C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an n w lo ad y th ju p yi la an lu Note:All variable is in logarithm form and dis denoted for first-difference n va ll fu n oi m tz z ht vb k jm om l.c gm an Lu n va y te re ac th si eg cd Page 84 jg hg Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn hi ng C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an ep C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an n w lo ad y th ju p yi la an lu Table A.10: The empirical regression results of GMM estimation n va Number of obs = 48 ll fu Wald chi2 (16) = 237.55 Instrument variables (GMM) regression n oi m Prob> chi2 = 0.0000 Robust ht vb Coef Root MSE = 0.0826 z ∆ln 𝐿𝑂𝐴𝑁𝑖𝑡 R-squared = 0.7863 tz GMM weight matrix: Robust Std Err z P>|z| [95% Conf Interval] k jm -.296789 257776 -1.15 0.250 -.802021 -.802021 ∆𝑙𝑛 𝑖𝑡 -1.56809 849664 -1.85 0.065 -3.2334 097212 ∆𝑙𝑛 𝑖𝑡−1 -2.38994 709293 -3.37 0.001 -3.78013 -.999752 ∆𝑙𝑛 𝑖𝑡 𝐿𝑛 𝐴𝑆𝑆𝐸𝑇𝑖𝑡−1 139460 055863 2.50 0.013 029969 24895 ∆𝑙𝑛 𝑖𝑡−1 𝐿𝑛 𝐴𝑆𝑆𝐸𝑇𝑖𝑡−1 145873 044488 3.28 0.001 ∆𝑙𝑛 𝑖𝑡 𝐿𝑛 𝐿𝐼𝑄𝑈𝐼𝐷𝐼𝑇𝑌𝑖𝑡−1 019836 097066 0.20 ∆𝑙𝑛 𝑖𝑡−1 𝐿𝑛 𝐿𝐼𝑄𝑈𝐼𝐷𝐼𝑇𝑌𝑖𝑡−1 156305 074218 2.11 ∆𝑙𝑛 𝑖𝑡 𝐿𝑛 𝐾𝐴𝑖𝑡−1 361629 156538 2.31 0.021 ∆𝑙𝑛 𝑖𝑡−1 𝐿𝑛 𝐾𝐴𝑖𝑡−1 093062 111074 0.84 0.402 055079 022138 2.49 0.013 om an Lu 0.838 va 0.035 n y te re 058677 233069 -.170410 210084 010840 301770 054818 668439 -.124639 310763 ac th 𝐿𝑛 𝐴𝑆𝑆𝐸𝑇𝑖𝑡−1 l.c gm ∆𝑙𝑛 𝐿𝑂𝐴𝑁𝑖𝑡 (-1) 011689 098469 si eg cd Page 85 jg hg Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn hi ng C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an ep C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an n w lo ad y th ju p yi la an lu n va Table A.10: The empirical regression results of GMM estimation (continued) ll fu Robust Std Err n oi m Coef 𝐿𝑛 𝐿𝐼𝑄𝑈𝐼𝐷𝐼𝑇𝑌𝑖𝑡−1 z P>|z| [95% Conf Interval] 030534 0.10 0.922 -.056874 062818 𝐿𝑛 𝐾𝐴𝑖𝑡−1 157447 074665 2.11 0.035 011106 303788 ∆𝑙𝑛 𝑇𝐸𝑅𝑀 𝐷𝐸𝑃𝑂𝑆𝐼𝑇𝑖𝑡 571054 110865 5.15 0.000 353761 788347 ∆𝑙𝑛 𝑇𝐸𝑅𝑀 𝐷𝐸𝑃𝑂𝑆𝐼𝑇𝑖𝑡−1 357324 153504 2.33 0.020 056462 658187 -1.28 0.199 -.037937 007917 tz 002972 z ht vb k jm -.015010 011697 ∆𝑙𝑛 𝐼𝑁𝑇𝐸𝑅𝐵𝐴𝑁𝐾 𝐵𝑂𝑅𝑅𝑂𝑊𝑖𝑡−1 -.002089 010458 -0.20 0.842 -.022586 018408 Cons -.570141 288161 -1.98 0.048 -1.13492 -.005356 om l.c gm ∆𝑙𝑛 𝐼𝑁𝑇𝐸𝑅𝐵𝐴𝑁𝐾 𝐵𝑂𝑅𝑅𝑂𝑊𝑖𝑡 Instrumented: ∆𝑙𝑛 𝐿𝑂𝐴𝑁𝑖𝑡 (-1) Lu an Instruments: ∆𝑙𝑛 𝑖𝑡 ; ∆𝑙𝑛 𝑖𝑡−1; ∆𝑙𝑛 𝑖𝑡 𝐿𝑛 𝐴𝑆𝑆𝐸𝑇𝑖𝑡−1; ∆𝑙𝑛 𝑖𝑡−1 𝐿𝑛 𝐴𝑆𝑆𝐸𝑇𝑖𝑡−1 ; ∆𝑙𝑛 𝑖𝑡 𝐿𝑛 𝐿𝐼𝑄𝑈𝐼𝐷𝐼𝑇𝑌𝑖𝑡−1; va ∆𝑙𝑛 𝑖𝑡−1 𝐿𝑛 𝐿𝐼𝑄𝑈𝐼𝐷𝐼𝑇𝑌𝑖𝑡−1; ∆𝑙𝑛 𝑖𝑡 𝐿𝑛 𝐾𝐴𝑖𝑡−1; ∆𝑙𝑛 𝑖𝑡−1 𝐿𝑛 𝐾𝐴𝑖𝑡−1; 𝐿𝑛 𝐴𝑆𝑆𝐸𝑇𝑖𝑡−1 ; 𝐿𝑛 𝐿𝐼𝑄𝑈𝐼𝐷𝐼𝑇𝑌𝑖𝑡−1; 𝐿𝑛 𝐾𝐴𝑖𝑡−1; n ∆𝑙𝑛 𝑇𝐸𝑅𝑀𝐷𝐸𝑃𝑂𝑆𝐼𝑇𝑖𝑡 ; ∆𝑙𝑛 𝑇𝐸𝑅𝑀𝐷𝐸𝑃𝑂𝑆𝐼𝑇𝑖𝑡−1; ∆𝑙𝑛 𝐼𝑁𝑇𝐸𝑅𝐵𝐴𝑁𝐾𝐵𝑂𝑅𝑅𝑂𝑊𝑖𝑡 ; ∆𝑙𝑛 𝐼𝑁𝑇𝐸𝑅𝐵𝐴𝑁𝐾𝐵𝑂𝑅𝑅𝑂𝑊𝑖𝑡−1; re y te 𝑙𝑛 𝐿𝑂𝐴𝑁𝑖𝑡 (-2) ac th si eg cd Page 86 jg hg Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an t to ng Table A 11: Wooldridge test for autocorrelation in panel data ep hi w Wooldridge test for autocorrelation in panel data H0: no first-order autocorrelation F( 1, 11) = 0.920 Prob > F = 0.3580 n a lo d y th ju Table A 12 : White’s test for Heteroskedasticity in panel data yi pl White's test for Ho: homoskedasticity against Ha: unrestricted heteroskedasticity n ua al va n chi2(47) Prob > chi2 48.00 0.4321 m ll fu = = oi Cameron & Trivedi's decomposition of IM-test at nh z jm ht vb 64 0.5917 om 60.76 0.4321 0.8049 0.1940 l.c Total 47 16 48.00 11.07 1.69 p gm Heteroskedasticity Skewness Kurtosis df k chi2 z Source an Lu n va Table A 13 : Test the relevance of instrumentvarible y te re Test of endogeneity (orthogonality conditions) Ho: variables are exogenous th GMM C statistic chi2(1) = 671123 Page 87 Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn (p = 0.4127) C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an t to ng Table A.14: Summary of empiricalliteraturereviews ep hi Researching Research Author periods methodology Findings Kashyap USA, disaggregate The six-variable Tightening monetary quarterly data on prediction equation in policy declines deposit for bank balance sheet B Bernanke (1990) all size categories from 1976Q1 to Classifying banks by An increase in the Federal 1992Q2 asset size and using reserve funds rate has a the Federal reserve negative and statistically funds rate as the significant effect on the w countries and n a lo d yi (1995) ju y th and Stein pl n ua al va n m ll fu monetary policy growth rate of total loans oi Small banks are more nh instrument at sensitive to change in z z monetary policy vb USA, disaggregate The Two-Step and Stein quarterly data on regression approach (2000) bank balance sheet bank’s lending activity is from 1976Q1 to stronger for less liquid 1993Q2 banks The impact of tightening jm ht Kashyap monetary policy on a k om l.c gm an Lu USA, disaggregate The OLS regression Opiela quarterly data on approach Segregating undercapitalized banks are (2000) bank balance sheet banks by asset size the most responsive to from 1980Q1 to and capital leverage monetary policy 1995Q4 ratio y th Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn Stt.010.Mssv.BKD002ac.email.ninhd 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lieu Luan van Luan an Do an t to ng ep hi Euro, disaggregate al (2002) yearly data on bank prediction equation in matter what size they are balance sheet from B Bernanke (1990) tend to react more to 1991 to 1999 Classifying banks by policy change Altunbaş et w n a lo Sweden, Autoregressive Small, undercapitalized disaggregate distributed lag bank are sensitive and (ARDL) approach strongly react to monetary ju y th yi (2003) Undercapitalized banks no asset size and capital d Westerlund The six-variable pl ua al monthly data on bank balance sheet policy change n va from 1998:M1 to n m ll fu 2003:M6 Chile, disaggregate Autoregressive (2003) yearly data on bank distributed lag Small, illiquid, and less oi Alfaro et al nh at (ARDL) approach compress their loan z balance sheet capitalized banks have to z supply during the period vb during the period of monetary policy shock k jm ht 1990 to 2002 Well-capitalized banks The GMM approach gm Gambacorta Italy, disaggregate quarterly data on can better shield their Mistrulli bank balance sheet lending from monetary (2004) during the policy shocks Small and period1992Q3 to illiquid banks tend to react 2001Q3 more toward monetary om l.c and an Lu n va y te re shock th Page 89 Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn Stt.010.Mssv.BKD002ac.email.ninhd 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and Switzerland, The Two-Step Perrez disaggregate Regression Approach are relatively immune to (2005) Better-capitalized banks w n quarterly data on changes in the monetary bank balance sheet policy stance a lo d from the period ju y th 1996Q1 to yi 2003Q1 Ukraine, The GMM approach (2006) disaggregate yearly Segregating banks by pl Golodniuk Undercapitalized bank n ua al n balance sheet va data on bank theirs asset size, maintain the loan supply capitalization, and level in tightening fu monetary policy period oi of 1998 to 2003 liquidity m ll during the period face serious problem to at nh z Gómez- Colombia and The six-variable Gonzalez Argentina prediction equation in and Grosz Disaggregate B Bernanke (1990) (2007) monthly data on liquid banks reduce the bank balance sheet effect of tightening during the period monetary policy on the of 2003M8 to supply of bank loan z For both case of jm ht vb Argentina and Columbia: Better-capitalized and k om l.c gm an Lu 2005M11 for n va Argentina and te re 1995M1 to y 2005M9 for th Colombia Page 90 Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn Stt.010.Mssv.BKD002ac.email.ninhd 77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77t@edu.gmail.com.vn.bkc19134.hmu.edu.vn.Stt.010.Mssv.BKD002ac.email.ninhddtt@edu.gmail.com.vn.bkc19134.hmu.edu.vn C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an C.33.44.55.54.78.65.5.43.22.2.4 22.Tai lieu Luan 66.55.77.99 van Luan an.77.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.37.99.44.45.67.22.55.77.C.33.44.55.54.78.655.43.22.2.4.55.22 Do an.Tai lieu Luan van Luan an Do an.Tai lieu Luan van Luan an Do an t to ng ep hi France, Germany, The six-variable Only japan and Greece and Delis Greece, Japan, UK prediction equation in present the existence of and USA B Bernanke (1990) bank lending channel Brissimis (2009) w n a lo d There is weak bank yearly data on bank lending channel in France balance sheet Germany, US and UK ju y th Disaggregate not have ban k lending of 1996 to 2003 channel yi during the period pl ua al Nigeria (2009) Disaggregate The GMM approach n Ezema va policy 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