Truyền dẫn chính sách tiền tệ và kênh cho vay tại Việt Nam (LA TIẾN SĨ)

i MINISTRY OF EDUCATION AND TRAINING UNIVERSITY OF ECONOMICS HO CHI MINH CITY ***** NGUYEN PHUC CANH MONETARY POLICY TRANSMISSION AND BANK LENDING CHANNEL IN VIETNAM PHD THESIS Viết thuê luận văn thạc sĩ, luận án tiến sĩ Mail : luanvanaz@gmail.com Phone: 0972.162.399 ii HO CHI MINH CITY, 2016 MINISTRY OF EDUCATION AND TRAINING UNIVERSITY OF ECONOMICS HO CHI MINH CITY ***** NGUYEN PHUC CANH MONETARY POLICY TRANSMISSION AND BANK LENDING CHANNEL IN VIETNAM Major: Finance and Banking Code: 62.34.02.01 PHD THESIS ACADEMIC ADVISORS Prof Dr SU DINH THANH Assoc Prof Dr VO XUAN VINH HO CHI MINH CITY, 2016 Viết thuê luận văn thạc sĩ, luận án tiến sĩ Mail : luanvanaz@gmail.com Phone: 0972.162.399 i ACKNOWLEDGEMENTS I am deeply indebted to my academic advisers Pro.Dr Sử Đình Thành and Assoc.Pro.Dr Võ Xuân Vinh for their fundamental roles Pro.Thành and Pro.Vinh have provided me with guidance, assistances, and supports during my study They have given me autonomy on decision making and researching the topic, while continuing to provide valuable feedbacks, advices, and encouragement In addition to our academic collaboration, I greatly appreciate the bonding relationships between Thành, Vinh and I Additionally, I am deeply thankful to Dr Trầm Thị Xuân Hương, my lecturer and my researching partner at School of Banking, who has assisted me in researching the topic in this thesis She has also advised, encouraged and generously allowed me to apply our shared works in presenting this thesis I gratefully acknowledge lecturers from the research methodology course at University of Economics Ho Chi Minh City who have provided me with basis methodologies for this study Such methodologies have helped me understand, find and utilize correct methods I would like to thank my dear colleagues at School of Banking and University of Economics Ho Chi Minh City for their substantial influence The School of Banking and University of Economics Ho Chi Minh City provide the best environment for studying and researching I also give my thanks to colleagues in International department at School of Banking, they always supported and encouraged me in this study and helped me a lot throughout my career I also would like to thank the board of professors and the independent external reviewers who gave me a lot of useful comments and advices on my first presentation, their comments are one of the major contributing factors that allowed me to complete this version of my thesis I am deeply thankful to my family for their love, support, and sacrifice Without them, this thesis would never have been written Ho Chi Minh City, Apr/2016 Nguyen Phuc Canh Viết thuê luận văn thạc sĩ, luận án tiến sĩ Mail : luanvanaz@gmail.com Phone: 0972.162.399 ii ABBREVIATIONS Words Meanings ADB Asia Development Bank APC Asset Price Channel AR Autoregression ARDL Autoregressive Distributed Lag Model BLC Bank Lending Channel BSC Balance Sheet Channel BRICS BRICS Group (including Brazil, Russia, India, China and South Africa) CC Credit Channel CFC Cash Flow Channel CPI Consumer Price Index DSGE Dynamic Stochastic General Equilibrium Model EC Expectation Channel ECB European Central Bank ECM Error Correction Model EDF Expected Default Frequency ERC Exchange Rate Channel E.U European Union FAVAR Factor Augmented Vector Autoregression FDICIA Federal Deposit Insurance Corporation Improvement Act Fed Federal Reserve System FFR Fed Fund Rate GDP Gross Domestic Production GMM Generalized Method of Moments G7 Canada, France, Germany, Italy, Japan, UK, US Viết thuê luận văn thạc sĩ, luận án tiến sĩ Mail : luanvanaz@gmail.com Phone: 0972.162.399 iii HLE Household Liquidity Effects HNX Hanoi Stock Exchange HSX Ho Chi Minh Stock Exchange IRC Interest Rate Channel IS-LM Investment, Saving–Liquidity Preference, Money Supply IMF International Monetary Fund IPVN Vietnam Industrial Production IRF Impulse Response Function IT Inflation Targeting Policy LER Lending Interest Rate LIBOR London Interbank Offer Rate MPTM Monetary Policy Transmission Mechanism M2 Money Supply definition (expanded money supply) NEER Nominal Effective Exchange Rate NPV Net Present Value OECD Organization for Economic Co-operation and Development OLS Ordinary Least Squares KMV EDF KMV’s Expected Default Frequency QE Quantitative Easing program RDR Rediscounting Rate RFR Refinancing Rate SBV State Bank of Vietnam SME Small and Medium Enterprises S&P 500 S&P 500 Index SVAR Structured Vector Autoregression VAR Vector Autoregression VECM Vector Error Correction Models VIX The implied volatility of S&P 500 index options Viết thuê luận văn thạc sĩ, luận án tiến sĩ Mail : luanvanaz@gmail.com Phone: 0972.162.399 iv VND Vietnam Dong (Currency of Vietnam) VNI VNindex VNIBOR Vietnam Interbank Offer Rate VNindex Vietnam composite stock index U.K The United Kingdom UPLC Unexpected Price Level Channel U.S The United State USD US Dollar WACC Weighted Average Capital Cost WTO World Trade Organization Viết thuê luận văn thạc sĩ, luận án tiến sĩ Mail : luanvanaz@gmail.com Phone: 0972.162.399 v TABLE OF CONTENTS ACKNOWLEDGEMENTS i ABBREVIATIONS .ii LIST OF TABLES x LIST OF FIGURES xii CHAPTER INTRODUCTION 1.1 The overview of Vietnamese economy and monetary policy 1.1.1 The Vietnamese economy 1.1.2 The State Bank of Vietnam 1.1.3 The Vietnamese monetary policy 1.1.4.1 Market interest rates 1.1.4.2 Inflation 1.1.4.3 Exchange rate 1.1.4.4 Credit 1.1.4.5 Stock markets 1.2 Research gap identification 1.3 Research objectives and questions 10 1.4 The scope of this study 11 1.5 Research methodologies and data 12 1.5.1 Methodologies 12 1.5.2 Research data 13 1.6 Some key concepts 13 1.7 The structure of study 15 CHAPTER 18 Viết thuê luận văn thạc sĩ, luận án tiến sĩ Mail : luanvanaz@gmail.com Phone: 0972.162.399 vi THEORETIAL FRAMEWORK AND LITERATURE REVIEW 18 2.1 Monetary policy 18 2.1.1 Introduction 18 2.1.2 Central bank 19 2.1.3 Monetary policy targets 19 2.1.4 Monetary policy tools 20 2.1.5 The ineffectiveness of monetary policy 21 2.1.6 Monetary policy and fiscal policy 21 2.1.7 Unconventional monetary policies 22 2.1.7.1 Quantitative easing program 22 2.1.7.2 Inflation targeting policy 23 2.1.8 2.2 Summary 24 Monetary policy transmission 25 2.2.1 Conceptual framework 25 2.2.2 Monetary policy transmission channels 26 2.2.2.1 Interest rate channel 27 2.2.2.2 Exchange rate channel 29 2.2.2.3 Asset price channel 30 2.2.2.4 Credit channel 32 2.2.2.5 Expectation channel 35 2.2.3 2.3 The lag and effectiveness of monetary policy transmission 36 2.2.3.1 The transmission lags of monetary policy 36 2.2.3.2 The effectiveness of monetary policy transmission 38 Bank lending channel 38 2.3.1 Introduction 38 Viết thuê luận văn thạc sĩ, luận án tiến sĩ Mail : luanvanaz@gmail.com Phone: 0972.162.399 vii 2.3.2 Transmission mechanism 39 2.3.3 Existing conditions 39 2.3.4 Empirical evidences 40 2.3.5 Determinants of bank lending channel 41 2.4 2.3.5.1 Macroeconomic conditions 41 2.3.5.2 The development of financial markets 44 2.3.5.3 Regulations in banking sector 45 2.3.5.4 The competition in banking sector 46 2.3.5.5 Microeconomic determinants 47 Studies of monetary policy transmission and bank lending channel in developing countries 53 2.5 Studies of monetary policy transmission and bank lending channel in Vietnam 58 2.6 Summary and research motivations 60 CHAPTER 62 METHODOLOGY 62 3.1 Monetary policy transmission testing models 62 3.1.1 The relationships between monetary policy, output and inflation 62 3.1.2 Estimating effects of monetary policy 63 3.1.3 Database in study of monetary policy transmission 65 3.1.4 Proxy variables for monetary policy 66 3.1.4.1 Policy rates 66 3.1.4.2 Money supply 67 3.1.5 Variables of commercial bank characteristics in bank lending channel 68 3.2 Econometric models for monetary policy transmission testing 69 Viết thuê luận văn thạc sĩ, luận án tiến sĩ Mail : luanvanaz@gmail.com Phone: 0972.162.399 viii 3.2.1 VAR and related models 69 3.2.1.1 VAR model 69 3.2.1.2 SVAR model 74 3.2.2 Cointegration models 76 3.2.2.1 ECM 76 3.2.2.2 VECM 77 3.2.2.3 ARDL 77 3.2.3 DSGE model 78 3.2.4 GMM model for panel data 78 3.3 Research methodologies for this study 81 3.3.1 Research procedures and testing hypothesizes 81 3.3.2 Vietnam monetary policy transmission testing models 85 3.3.2.1 VAR model 85 3.3.2.2 SVAR model 86 3.3.3 Bank lending channel testing model 90 3.3.4 Research data 94 3.4 Summary 96 CHAPTER 97 EMPIRICAL EVIDENCES FROM VIETNAM 97 4.1 Monetary policy transmission 97 4.1.1 Data 97 4.1.2 VAR model results 99 4.1.3 SVAR model results 106 4.1.4 Robustness check 108 4.2 Bank lending channel in Vietnam 116 Viết thuê luận văn thạc sĩ, luận án tiến sĩ Mail : luanvanaz@gmail.com Phone: 0972.162.399 ... thạc sĩ, luận án tiến sĩ Mail : luanvanaz@gmail.com Phone: 0972.162.399 iv VND Vietnam Dong (Currency of Vietnam) VNI VNindex VNIBOR Vietnam Interbank Offer Rate VNindex Vietnam composite stock... 1.1 The overview of Vietnamese economy and monetary policy 1.1.1 The Vietnamese economy 1.1.2 The State Bank of Vietnam 1.1.3 The Vietnamese monetary policy ... crisis on bank lending channel in Vietnam 128 Table 5.1 Financial market development in Vietnam 144 Viết thuê luận văn thạc sĩ, luận án tiến sĩ Mail : luanvanaz@gmail.com Phone: