Tác động truyền dẫn chính sách tiền tệ qua kênh tín dụng dưới ảnh hưởng năng lực cạnh tranh của các NHTM tại việt nam tt tiếng anh

MINISTRY OF EDUCATION AND TRAINING STATE BANK OF VIETNAM BANKING UNIVERSITY HO CHI MINH CITY PHAM THI HA AN MONETARY POLICY TRANSMISSION THROUGH CREDIT CHANNELS UNDER THE INFLUENCE OF COMPETITIVENESS AT VIETNAMESE COMMERCIAL BANKS SUMMARY OF PHD THESIS HO CHI MINH CITY - 2020 MINISTRY OF EDUCATION AND TRAINING STATE BANK OF VIETNAM BANKING UNIVERSITY HO CHI MINH CITY PHAM THI HA AN MONETARY POLICY TRANSMISSION THROUGH CREDIT CHANNELS UNDER THE INFLUENCE OF COMPETITIVENESS AT VIETNAMESE COMMERCIAL BANKS SUMMARY OF PHD THESIS Major: Finance – Banking Code: 9.34.02.01 Scientific instructor: Dr BUI DIEU ANH Dr LE THI HIEP THUONG HO CHI MINH CITY - 2020 CHAPTER 1: INTRODUCTION 1.1 The urgency of the thesis As one of the monetary policy transmission channels, the credit channel complements the interest rate channel to amplify the impact of monetary policy transmission on the macroeconomic variables through the credit supply of commercial banks (María Pía Olivero, Li, & Jeon, 2011b) When the central bank takes measures to tighten monetary policy, the capital of commercial banks is reduced, in which case if commercial banks are unable to or have difficulty in issuing capital mobilization tools in the market to compensate for that decline, they will then have to cut credit supply and vice versa In Vietnam, along with many other macroeconomic policies, the tightened monetary policy in 2008, 2011, and the first half of 2012 at the aim of coping with the rise of inflation and macroeconomic instability caused difficulties in business activities of the commercial banking system as well as enterprises The credit tightening situation which went on for a long time has left the economy with enormous consequences: for enterprises - inventory goods, congested capital flows, low production, and business efficiency; for banks – liquidity stress, bad debt increase, and falling profitability are common signs of weakness that are clearly revealed and affecting credit supply of commercial banks (Chu Khanh Lan, 2012) In recent years, the banking industry in Vietnam has undergone significant changes in competition Factors that contributed to the important changes in the market structure include equitization, financial reforms, deregulation, merger, and acquisition wave, along with the increase in the number of foreign banks In addition, international economic integration has become an era trend and strongly taken place in many fields Along with participation in the Comprehensive and Progressive Agreement for TransPacific Partnership (CPTPP) as well as integration into the ASEAN Economic Community (AEC) and the implementation of international commitments roadmap in the finance field, the Vietnamese banking system will receive many opportunities but will also face many challenges and difficulties There have been many debates in recent studies about the disadvantages and benefits of the role of intrinsic factors in monetary policy transmission, including the important influence of bank competitiveness in monetary policy transmission through credit channels Specifically, bank competitiveness can influence the effectiveness of monetary policy by encouraging or obstructing credit policy decisions (Burkhart & Lewis-Beck, 1994) Aftalion & White (1978); VanHoose (1983) are the pioneers to discuss the impact of monetary policy transmission through credit channels under the influence of commercial banks’ competition The studies focused on policymakers' goal of selecting appropriate monetary policy instruments to achieve their goals and examined how these choices are influenced by the banking market structure VanHoose (1983) found that for banks with high competitiveness, a monetary policy instrument (such as the federal funds rate) became ineffective when regulating commercial banks' credit According to Baglioni (2007), the regulatory efficiency of monetary policy instruments through different credit markets also depends on bank competitiveness For example, impacts of monetary policy transmission through credit channels are increased if the bank is less competitive 1.2 Objectives of the study The main content of this study considers the impact of monetary policy transmission through credit channels under the influence of competitiveness in Vietnamese commercial banks, thereby making policy suggestions for operating monetary policy through credit channels in competitive conditions However, in order to fill the research gaps, the author also focuses on comparing this effect through different methods of measuring competitiveness 1.3 Research questions To achieve the research objectives, the thesis answers the following research questions: - Does monetary policy transmission through credit channels exist in Vietnam? If yes, what is the impact of monetary policy transmission through credit channels in Vietnam? - The impact of competitiveness on the impact of monetary policy transmission through credit channels at Vietnamese commercial banks? - In competitive conditions, how does the State Bank manage monetary policy through credit channels? 1.4 Research participants and the scope of the study Research participants: the impact of monetary policy transmission through credit channels under the influence of competitiveness in Vietnamese commercial banks Research scope: this research employs balanced panel data for 30 commercial banks in Vietnam Duration of the study: this research was conducted on a database identified from 2008 to 2017 1.5 Research data Study on balanced panel data of 30 commercial banks in Vietnam in the period of 2008-2017 The data used to measure the bank's risk and characteristics of each bank are taken from the database from the cafeF website and the author's calculations, as described in the following sections in the following chapters Other specific secondary sources of data used in the model include: consumer price index; credit growth of the economy; deposit growth of customers; Vietnam's industrial production index; M2 growth rate; discount interest rate; VN Index is collected from the database on the official website of the General Statistics Office of Vietnam, SBV, ADB; Ho Chi Minh Stock Exchange by month, from January 2008 to December 2017 1.6 Thesis structure To solve the research objectives of the topic, the thesis is structured with five chapters: - Chapter 1: Introduction - Chapter 2: Theoretical basis and related studies on the impact of monetary policy transmission through credit channels under the influence of competitiveness at commercial banks - Chapter 3: Model and research method - Chapter 4: Empirical research results of monetary policy transmission through credit channels under the influence of competitiveness at Vietnam commercial banks - Chapter 5: Conclusions and policy implications CHAPTER 2: THEORETICAL BASIS AND RELATED STUDIES ON THE IMPACT OF MONETARY POLICY TRANSMISSION THROUGH CREDIT CHANNELS UNDER THE INFLUENCE OF COMPETITIVENESS AT COMMERCIAL BANKS 2.1 Monetary policy transmission via credit channels In previous studies: B Bernanke (1990); Gertler & Gilchrist (1993); A K Kashyap & Stein (1997); A Kashyap, Stein, & Wilcox (1992) provided theoretical models explaining changes in credit supply in monetary regulatory mechanisms and accordingly impact on economic output Studies showed that the important and common impact of monetary policy through commercial banks' credit channels is expressed in two aspects: through bank credit operations and through adjustments to customers’ balance sheets Firstly, the impact on bank credit supply M ↓ (↑) → Bank reserve ↓ (↑) → credit ↓ (↑) → I ↓ (↑) → Y ↓ (↑) According to B S Bernanke & Gertler (1995), when the central bank tightens monetary policy, commercial banks' funds are reduced, commercial banks must cut credit supply and vice versa, influencing the aggregate demand of the economy Secondly, the process of adjusting customers' balance sheets: B S Bernanke & Gertler (1995) analyzed the impact of monetary policy on bank credit through the status of balance sheet or customers’ net worth in three directions: Through net worth M ↑ → Net worth ↑ → Adversary options ↓ and moral hazard ↓ → credit ↑ → I ↑→Y↑ When the central bank uses loose monetary policy (M ↑), the decrease in interest rates creates a rise in enterprise' stock price, thus a rise in their asset value, limiting interest rate risk for the enterprise and reducing risks for banks, the moral hazard and the bank' advisory options are reduced The bank's lending activity is expanded, while private sector investment increases, which leads to increased output and aggregate demand (Y ↑) Impact on the market value of assets used as collateral for loans Decrease in interest rates due to expansionary monetary policy will increase the market value of collateral, reduce interest rate risk for enterprises and improve their financial status, enterprises can access bank’s capital more easily, and therefore, the increase in credit will increase aggregate demand Through cash flow value M ↑ → ↑ Cash inflow → ↓ adversary options and ↓ moral hazard ↓ → credit ↑ → I↑→Y↑ Enterprises' cash inflow (earnings) is the main source of debt repayment to the bank When the central bank implements the expansionary monetary policy (M ↑), the decrease in interest rates increases the liquidity of the enterprise’s balance sheet, the cash inflow increases Corporate creditworthiness is increased thanks to increased solvency, reduced adverse options, and moral hazard Banks can expand lending, thereby increasing investment and increasing the output of the economy (Y ↑) 2.2 Competitiveness Lerner index The Lerner index proposed by Lerner (1934) points out the bank’s market power by looking at the ratio between marginal cost and price In a perfect competition environment, the selling price is equal to the marginal cost, while in an environment with monopoly power, the selling price is greater than the marginal cost Therefore, to measure competitiveness, the Lerner index is the common method used to measure the competitiveness of commercial banks by considering the difference between the selling price and marginal cost: Lerner = Pi,t −MCi,t Pi,t (1) In which: - i is the bank representative, t is time; - P is the output price, calculated by total revenue over total assets; - MC (Margin Cost) is the bank's marginal cost, unable to be observed directly Because it’s unable to observe MC directly, the author used the model of Fu et al (2013) In addition, the author also approached models by Van Leuvensteijn, Sørensen, Bikker, & van Rixtel (2013); (Fungáčová, Solanko, & Weill, 2010), MC is estimated based on the total cost function and is estimated following a two-step sequence: Step 1: Get the natural logarithm of the total cost function: LnTCit = 𝛼0 + 𝛼1 LnQit + 𝛼6 LnQit Lnw1it + 𝛼2 (LnQit)2 + 𝛼3 Lnw1it+ 𝛼4 Lnw2it + 𝛼5 Lnw3it + 𝛼7 LnQit Lnw2it + 𝛼8 LnQit Lnw3it + 𝛼9 Lnw1it Lnw2it 1 2 + 𝛼10 Lnw1it Lnw3it+ 𝛼11 Lnw3it Lnw2it + 𝛼12 (Lnw1it)2+ 𝛼13 (Lnw2it)2+ 𝛼14 (Lnw3it)2 1 2 +𝛼15 T + 𝛼16 (T)2 + 𝛼17 T LnQit +.𝛼18 T Lnw1it +.𝛼19 T Lnw2it+.𝛼20 T Lnw3it (2) In which: TC is the total cost (including interest expenses and non-interest expenses); Q is total assets; the three input prices are: w1 is the cost of deposits, w2 is the cost of material goods and w3 is the labour cost; T is a variable that reflects technological change and reflects the fixed annual effect to capture technical changes in the cost function over time Step 2: After estimating the total cost function, the marginal cost is determined by taking the first derivative of the total cost function and is estimated as follows: MCit = 𝜕𝑇𝐶𝑖𝑡 𝜕𝑄𝑖𝑡 = (𝛼1 +𝛼2 LnQit +𝛼6 Lnw1it +𝛼7 Lnw2it +𝛼8 Lnw3it +𝛼17 𝑇) 𝑇𝐶𝑖𝑡 𝑄𝑖𝑡 (3) Turk Ariss (2010) pointed out that the greater Lerner index value implies the weaker level of competition among banks and the stronger competitiveness of each bank The Lerner index ranges from to 1, the smaller the Lerner index (near zero), the lower the competitiveness In contrast, the larger Lerner (almost equal to 1) signifies the greater competitiveness When perfect competition exists, the selling price is equal to the marginal cost, so this index will have a value of When the price is greater than the marginal cost, the Lerner index will be greater than zero and in the range between and The closer the index is to 1, the higher the monopoly power of the enterprise, meaning the higher competitiveness of commercial banks Boone Index Besides the Lerner competitiveness index (1934), an alternative measure of competitiveness was proposed by Boone (2004) to measure the impact of efficiency through profitability The idea of this index through profit elasticity is called Boone Index (β), based on the assumption that banks with superior efficiency are those with lower cost and more profits gained thanks to reallocated market share from less efficient to more efficient banks, this effect becomes stronger when commercial banks are highly competitive This means that if commercial banks have low competitiveness, they will sacrifice more profits because of the cost disadvantage In other words, banks are more heavily punished in terms of profits for the ineffective costs Therefore, the stronger this effect is, the greater the absolute value will be, which is also an indication that the competitiveness in the specific market is low In the empirical application, the simplest equation to determine the Boone index for bank i at time t is determined as follows: ln(𝜋it) = 𝛼 + 𝛽 LnMCit +εi (4) In which: - 𝜋it: profit of bank i in year t - MCit: the marginal cost of bank i in year t, estimated by equation (3) - β: Boone index A feature of Boone index is that it carries a negative value That means, the higher the bank's marginal cost is, the smaller the profit In addition, the Boone index also has another meaning in that the greater the absolute value of this index is, the weaker the competitiveness of banks 2.3 Monetary policy transmission via credit channels under the influence of competitiveness at commercial banks The influence of competitiveness at commercial banks is still limited However, bank competitiveness plays an important role in the operation of a commercial bank and can influence the effectiveness of monetary policy by strengthening or obstructing the bank's credit channel Several studies have shown that increased competitiveness in the banking sector can lead to lower prices of financial products and better access to financial products (Pruteanu-Podpiera, eill, & Schobert, 2007) However, bank competitiveness can have an unfavorable impact on the efficiency of bank management due to reduced credit relationship time, and it can cause banks to implement higher risktaking strategies (Hellmann & Murdock, 1998; Repullo & Suarez, 2000) Kashyap & Stein (1997) emphasized that the monopoly of the banking system is very important in analyzing the effectiveness of the monetary policy According to Lensink & Sterken (2002), determining the role of bank competitiveness in the mechanism of monetary policy transmission is an important thing in the future In addition, studies by Aftalion & White (1978); Olivero, Li, & Jeon, 2011a; Olivero and associates, 2011b; VanHoose (1983) showed that: (i) Firstly, when commercial banks become larger in scale because of merger and equity increase resulting in changes in scale, structure, human resources or technology the competitiveness of commercial banks will increase, which will then weaken the capability of monetary policy transmission through credit channels The reason is that large banks often enjoy advantages in capital supplement from savings deposits or interbank loans, thereby increasing their ability to resist the decline in reserves due to tightened monetary policy (ii) Secondly, banks can have a credit market segment by having borrowers’ personal information through customer relationships building When the central bank implements a tightened monetary policy, small banks will reduce the credit supply Customers must then switch from small banks to other banks and lose the information cost as well as time cost in the conversion process The reaction of total supply in the bank credit market towards changes in monetary conditions depends on the level of these conversion costs Increased competitiveness of commercial banks will reduce this cost due to reduced information asymmetry between banks and the level of consumer confidence, leading to a reduced monetary policy shock to changes in supply (iii) Thirdly, to increase competitiveness in the 4.0 technology development and international economic integration trend, commercial banks are gradually promoting international cooperation in the field of financial technology (between banks and Fintech) at the aim of providing convenient finance-banking services which meet the demand at reasonable prices, targeting those who have not yet accessed traditional banking services (unbanked), contributing to increased banking service coverage among consumers and enterprises In addition, banks also focus on the application of digital technology in data management, monitoring, collection, and analysis, along with improving and automating the business process, promoting cooperation in the field of risk management and monitoring, as well as confidentiality and security enhancement Increased competitiveness creates an airy operating corridor as well as a clear database with quick updates and minimized risk of information asymmetry from the central bank to commercial banks as well as customers The impact of the central bank's policy tools will be easily quantified, adjusted, and effectively controlled in line with the set macroeconomic goals, thus the monetary policy transmission becomes more efficient, 19 Thus, the research results show that both in the short and long term, the discount rate has a negative impact on the credit growth of the economy The testing of the stability of the model, the normal distribution, the autocorrelation, the variance of variance has been tested by the author The results of these tests show that the obtained model satisfies the conditions Next, the equation estimation result with dependent variable D(IPI) is as follows: Table 5: Results estimate the model with the dependent variable is D(IPI) D(IPI) = C(37)*( CPI(-1) - 2.03553642157*M2(-1) - 0.00138718142687*R( -1) - 0.0125293684797*VNI(-1) - 0.885237040621 ) + C(38)*( CRE( -1) + 4.26415634818*M2(-1) - 0.0015628109786*R(-1) 0.0193848917262*VNI(-1) + 0.0411811962408 ) + C(39)*( DEP(-1) 1.05727913538*M2(-1) + 0.000272746476616*R(-1) + 0.00655589317034*VNI(-1) - 0.0419905569899 ) + C(40)*( IPI(-1) 201.634801835*M2(-1) - 0.0151154281568*R(-1) - 0.394748036738 *VNI(-1) + 4.49923136054 ) + C(41)*D(CPI(-1)) + C(42)*D(CRE(-1)) + C(43)*D(DEP(-1)) + C(44)*D(IPI(-1)) + C(45)*D(M2(-1)) + C(46) *D(R(-1)) + C(47)*D(VNI(-1)) + C(48) Coefficient Std Error t-Statistic Prob C(37) 1.035963 2.039043 0.508063 0.6125 C(38) -3.535940 1.222886 -2.891471 0.0047 C(39) 3.235736 2.169142 1.491712 0.1387 C(40) -0.078868 0.030931 -2.549840 0.0122 C(41) 0.160316 2.556701 0.062704 0.9501 C(42) 3.573246 1.157448 3.087177 0.0026 C(43) -0.388218 1.386015 -0.280097 0.7799 C(44) -0.251948 0.097104 -2.594629 0.0108 C(45) 1.570978 1.436883 1.093323 0.2767 C(46) -0.008789 0.006419 -1.369291 0.1738 C(47) 0.053047 0.105594 0.502367 0.6165 C(48) 0.004515 0.012162 0.371230 0.7112 R-squared 0.287709 Mean dependent var 0.004439 20 Adjusted R-squared 0.213792 S.D dependent var 0.148512 S.E of regression 0.131683 Akaike info criterion -1.120690 Sum squared resid 1.838091 Schwarz criterion -0.838926 Log likelihood 78.12073 Hannan-Quinn criter -1.006286 F-statistic 3.892318 Durbin-Watson stat 1.970629 Prob(F-statistic) 0.000098 Source: author’s synthesis and calculation The estimation of the VECM model shows that the regression coefficient C(40) of the cointegrated equation is negative (-0.078868) and has a p_ value of 0.0000 less than the 5% significance level, so this coefficient regression is statistically significant Thus, in the long term, there exists an impact between Vietnam’s industrial production growth, discount interest rates, M2 money supply, and stock price index Thus, credit growth does not affect the value of Vietnam’s industrial production in the long term On the other hand, the regression coefficients C (42) of the discount interest rate variable is 3.573246 which has a negative value and has a p-value of 0.0026 less than the 1% significance level indicating in the short term when the economy credit increase will lead to increase the value of Vietnam’s industrial production, increase economic output Thus, the estimated results by the VECM model to check the impact of monetary transmission via credit channel in Vietnam show that there is a short –term credit channel but does not exist in the long term Testing Granger causality To clarify the direction of impact as well as the transmission between variables in the model The author continues to perform the Granger causality test with an optimal delay of The test results are as follows: Table 6: The test results Granger Dependent variable: D(CPI) Excluded Chi-sq df Prob D(CRE) 0.257986 0.6115 21 D(DEP) 0.018944 0.8905 D(IPI) 1.512484 0.2188 D(M2) 0.581833 0.4456 D(R) 3.579396 0.0585 D(VNI) 0.677396 0.4105 All 6.704472 0.3490 Excluded Chi-sq df Prob D(CPI) 0.011462 0.9147 D(DEP) 0.742982 0.3887 D(IPI) 0.103276 0.7479 D(M2) 0.050664 0.8219 D(R) 3.660839 0.0557 D(VNI) 2.346098 0.1256 All 7.850678 0.2492 Excluded Chi-sq df Prob D(CPI) 4.809251 0.0283 D(CRE) 1.088107 0.2969 D(IPI) 0.678857 0.4100 D(M2) 6.199496 0.0128 D(R) 0.031884 0.8583 D(VNI) 0.047127 0.8281 All 10.99792 0.0884 Dependent variable: D(CRE) Dependent variable: D(DEP) Dependent variable: D(IPI) 22 Excluded Chi-sq df Prob D(CPI) 0.003932 0.9500 D(CRE) 9.530660 0.0020 D(DEP) 0.078454 0.7794 D(M2) 1.195356 0.2743 D(R) 1.874958 0.1709 D(VNI) 0.252373 0.6154 All 16.26135 0.0124 Excluded Chi-sq df Prob D(CPI) 3.960314 0.0466 D(CRE) 1.895524 0.1686 D(DEP) 3.499712 0.0614 D(IPI) 1.720715 0.1896 D(R) 0.262690 0.6083 D(VNI) 0.097966 0.7543 All 10.33198 0.1114 Excluded Chi-sq df Prob D(CPI) 0.305554 0.5804 D(CRE) 0.219839 0.6392 D(DEP) 0.127149 0.7214 D(IPI) 0.174081 0.6765 D(M2) 0.011758 0.9137 D(VNI) 1.24E-07 0.9997 All 2.122184 0.9081 Dependent variable: D(M2) Dependent variable: D(R) 23 Dependent variable: D(VNI) Excluded Chi-sq df Prob D(CPI) 0.651387 0.4196 D(CRE) 0.720868 0.3959 D(DEP) 0.133255 0.7151 D(IPI) 0.000406 0.9839 D(M2) 0.495604 0.4814 D(R) 0.237599 0.6259 All 1.990512 0.9206 Source: author’s synthesis and calculation Granger causality test results from discount rate to credit growth with a p-value of 0.0557 are less than the 10% significance level Thus, the discount rate has an impact on credit growth However, the Granger causality test results from a credit growth to a discount rate with a p-value of 0.6392 are greater than the 10% significance level Thus, credit growth has no opposite effect on the discount rate In addition, the Granger causality test results from credit growth to economic growth with a p-value of 0.0020 are smaller than the 1% significance level Thus, credit growth has an impact on economic growth However, the results of the causality test also showed that there was no opposite effect from economic growth to credit growth Thus, there is no causal relationship between discount interest rates and the credit growth of the economy, between these two variables, there is an only one-way relationship from the discount interest rate to the credit growth economy Impact of monetary policy transmission using discount interest rates tool Table 4.11: Estimated results of the model (8) using DGMM method VARIABLE LERNER BOONE (∆IM) -10.01002*** -40.21993* ∆IM𝑖,𝑡 ∗ 𝐶𝑃𝑖,𝑡 11.22252*** -3.783749* 𝑆𝑖𝑧𝑒𝑖,𝑡 0207567** 0001487 24 𝐶𝑎𝑝𝑖,𝑡 -2.056042** -.1356706 𝐿𝑖𝑞𝑢𝑖𝑖,𝑡 -4.591277*** -.5777824 𝐷𝑒𝑝𝑖,𝑡 2016771 513167 -.4924816*** -.6627992*** 𝐺𝑃𝐷𝑡 : -11.42243 -22.96956 𝐼𝑁𝐹𝑡 4.836389*** 913219 p-value (F test) 0.000 0.000 p-value (AR(1)) 0.045 0.073 p-value (AR(2)) 0.151 0.192 p-value (Hansen test) 0.211 0.306 Number of groups 30 30 Number of instrumental variables 23 14 ∆𝐿𝑜𝑎𝑛𝑖,𝑡−1 In the two models above, the variable 𝐶𝑃𝑖,𝑡 will be replaced by LERNER and BOONE, respectively *** statistically significant at 1%; ** statistically significant at 5%; * statistically significant at 10% Source: Calculation results from STATA 15.0 software Estimated results of the model (8) with competitiveness measured respectively through Lerner and Boone index have regression coefficients of IM*CP variables respectively at 11.22 and -3.78; statistically significant at 1% and 10% respectively This shows that under the influence of increased competitiveness, the impact of monetary policy transmission on commercial banks' credit channels is reduced (due to the negative value of Boone itself) When commercial banks get larger in scale because of merger and equity increase resulting in the change of structure, human resources, or technology their competitiveness will increase because of increased market share, which will weaken the monetary policy transmission through credit channels The reason is that large banks often enjoy advantages in the capital supplement On the other hand, increased competitiveness will reduce conversion costs due to the reduction in information asymmetry between banks and consumers’ confidence at Vietnamese commercial banks Thus the impact of the transmission of monetary policy shock towards changes in credit channels will decrease This result is consistent with the theory and empirical studies by Fungacova et al., 2012; Khan et al., 2016; Leroy, 2014; Olivero et al., 2011b; Yang & Shao, 2016 25 The impact of monetary policy transmission using the M2 money supply growth rate Table 4.12: Estimated results of the model (8) by DGMM method VARIABLE LERNER BOONE M2 2.617785*** 4158488* M2𝑖,𝑡 ∗ 𝐶𝑃𝑖,𝑡 -5.349357*** 0729532* 𝑆𝑖𝑧𝑒𝑖,𝑡 0194082*** 0386408*** 𝐶𝑎𝑝𝑖,𝑡 1.566642* 7501615* 𝐿𝑖𝑞𝑢𝑖𝑖,𝑡 -1.003275*** -1.280921*** 𝐷𝑒𝑝𝑖,𝑡 906518*** 5706257*** ∆𝐿𝑜𝑎𝑛𝑖,𝑡−1 -.389686*** -.3554578*** 𝐺𝑃𝐷𝑡 : 7.973663*** 6.937286*** 𝐼𝑁𝐹𝑡 1768006 4752359** p-value (F test) 0.000 0.000 p-value (AR(1)) 0.083 0.075 p-value (AR(2)) 0.152 0.153 p-value (Hansen test) 0.349 0.693 Number of groups 30 30 Number of instrumental variables 29 23 In the two models above, the variable 𝐶𝑃𝑖,𝑡 will be replaced by LERNER and BOONE, respectively *** statistically significant at 1%; ** statistically significant at 5%; * statistically significant at 10% Source: Calculation results from STATA 15.0 software Estimated results of the model (8) with competitiveness measured respectively through Lerner and Boone index have regression coefficients of M2*CP variables respectively at -5.3 and 0.073; statistically significant at 1% and 10% respectively This shows that under the influence of increased competitiveness, the impact of monetary policy transmission on commercial banks' credit channels is reduced This result is similar to the study result when considering the influence of competitiveness on the impact of monetary policy transmission through commercial banks' credit channel using the rediscount interest rates tool 26 CHAPTER 5: CONCLUSIONS AND POLICY IMPLICATIONS 5.1 Conclusion The monetary policy has always been one of the key policies in promoting economic growth To be effective for the economy, the impact of monetary policy is often through transmission channels such as interest rate channel, exchange rate channel, asset price channel, credit channel… The purpose of this research is to consider the effectiveness of transmission of monetary policy through credit channel in Vietnam from January 2008 to December 2017 By using the VECM model, the research results show that both in the short and long term, the discount interest rate has a negative impact on the credit growth of the economy Thus, when the State Bank implements an expansionary monetary policy through the increase of interest rate discounting tools, it will have an impact on reducing the credit growth of the economy However, an increase in the credit of the economy will increase the value of Vietnam’s industrial production, increase the economic output in the short-term Therefore, the impact of monetary policy transmission via credit channel in Vietnam shows that there is a short- term credit channel but does not exist in the long term However, Granger causality test results show that credit growth has no opposite effect on discount interest rates Besides, the Granger causality test results from credit growth to economic growth show that credit growth has an impact on economic growth However, the results of the causality test also showed that there was no opposite effect from economic growth to credit growth Studies conducted so far often overlook the role of competitiveness in monetary policy transmission through credit channels of commercial banks However, just like scale, capitalization rate or liquidity, competitiveness can have an influence on the monetary policy transmission, especially the credit channels of commercial banks The hypothesis of the study is that a more competitive bank would be more likely to hedge against a monetary shock thanks to greater and better access in the financial market Because a more competitive bank will have many options to replace debt with other funding sources, the impact of monetary policy changes on credit supply will be less important, and monetary policy will be considered less effective When commercial banks get larger in scale because of merger and equity increase resulting in the change of structure, human resources, or technology their competitiveness will increase 27 because of increased market share, which will weaken the monetary policy transmission through credit channels The reason is that large banks often enjoy advantages in the capital supplement On the other hand, increased competitiveness will reduce conversion costs due to the reduction in information asymmetry between banks and consumers’ confidence, the impact of the transmission of monetary policy shock towards changes in credit channels will decrease 5.2 Policy implications for improving the efficiency of monetary policy transmission through credit channels of Vietnamese commercial banks 5.2.1 Improve the management capacity of monetary policies of the State Bank Strengthening and improving the capacity of operating monetary policy of the State Bank plays an important role in managing and controlling the impact of monetary policy transmission through credit channels The innovations in the process of monetary regulation and control of the State Bank will make a certain contribution to the reform of the banking system, making an important contribution in stabilizing the financial system, stabilizing the macro-economy, creating capital for economic growth and facilitating policy transmission efficiency In order to improve the operating capacity of monetary policy, the State Bank needs to carry out some following contents: Improving the effectiveness of the SBV's monetary regulation Enhance the transparency and self-responsibility of the SBV 5.2.2 Complete monetary policy tool In order to ensure the smooth mechanism of monetary policy transmission through channels in general and through credit channels in particular, completing monetary policy tools is very important, because this is the first stage of the transmission mechanism In order to improve the operating capacity of monetary policy instruments, the SBV should first have clear signals in operating monetary policy instruments so that market members can be proactive in their liquidity management Reviewing the operating mechanism of each monetary policy tool and proposing an improvement plan and researching and putting new tools into operation 5.2.3 Stabilizing the macroeconomic environment Under the trend of globalization and international cooperation, the financial market is developing rapidly The monetary market is expanding in size as well as 28 improving in quality, integrating deeper into the international economy In such a context, the monetary and financial markets are certainly subject to shocks from the economy and regional financial markets The stable macroeconomic environment helps the State Bank to manage policies more flexibly and effectively, promoting the efficiency of monetary policy transmission through channels, including credit On the other hand, the macroeconomic environment is stable on the whole of the whole economy and suitable to the characteristics of the country that has an impact on and reciprocal influence on the main subjects in the economy, especially enterprises and consumers, thereby improving productivity, promoting economic growth, enhancing the efficiency of monetary policy transmission to the credit channel 5.2.4 Improve capital absorption The mechanism of transmission of monetary policy through credit channel describes how changes in money supply or short-term interest rates due to the implementation of monetary policy affect real factors in the economy such as output, prices, and unemployment through credit changes of the economy Therefore, improving the ability to absorb capital of the economy contributes to improving output, controlling prices, and unemployment, thereby enhancing the efficiency of monetary policy through credit channels 5.2.5 Effective control of equity issues and operational scale of the commercial banking system The findings of the study show that the impact of monetary policy transmission on commercial banks' credit channel is reduced when the ratio of equity, bank size increases in both the short and long term The pressure to raise capital to meet the demand for credit expansion in the context of uneven development of the financial market has led to the ability of commercial banks to be able to provide credit easily to tension before monetary shocks The commercial banking system must use a large proportion of short-term capital for medium and long-term loans, mobilize capital in the interbank market to re-lend to customers, the shortage of highly liquid financial assets makes whenever the SBV tightens monetary policy, banks quickly lack liquidity on a large scale and must rely on the support from the SBV to ensure operational safety This situation affects the effectiveness of the policy instruments and distorts the objectives 29 5.2.6 Create a mechanism to develop competitive capacity evenly among commercial banks Empirical research results show that bank competitiveness has an important impact on the transmission of monetary policy through credit channels While the difference between large and small banks still exists, monetary policy will have an asymmetric effect, so the change of monetary policy may have actual heterogeneous effects among banks This causes the inefficiency of monetary policy The process of international economic integration will create more and more pressure on the business activities of Vietnamese commercial banks, while the advantages belong to foreign commercial banks To be able to dominate, take advantage of opportunities, and increase competitiveness, Vietnamese commercial banks need to know their position, must evaluate their competitiveness based on the mentioned criteria Since then, there are measures to improve the internal capacity to improve their own competitiveness Recently, although the commercial banking system has made certain developments, the gap between domestic Vietnamese commercial banks is still very large in all 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