Trạng thái thanh khoản và hiệu quả hoạt động tại các ngân hàng thương mại việt nam tt tiếng anh

STATE BANK OF VIET NAM MINISTRY OF EDUCATION BANKING UNIVERSITY, HO CHI MINH CITY - NGUYEN PHUC QUY THANH LIQUIDITY POSITON AND OPERATIONAL EFFICIENCY OF VIETNAMESE COMMERCIAL BANKS DOCTOR OF PHILOSOPHY IN ECONOMICS THESIS SUMMARY HO CHI MINH CITY – 2020 STATE BANK OF VIET NAM MINISTRY OF EDUCATION BANKING UNIVERSITY, HO CHI MINH CITY - NGUYEN PHUC QUY THANH LIQUIDITY POSITON AND OPERATIONAL EFFICIENCY OF VIETNAMESE COMMERCIAL BANKS DOCTOR OF PHILOSOPHY IN ECONOMICS THESIS SUMMARY Major : Finance – Banking Code : 9.34.02.01 Instructors: Prof Le Dinh Hac Prof Le Tham Duong HO CHI MINH CITY – 2020 ABSTRACT The thesis "LIQUIDITY POSITON AND OPERATIONAL EFFICIENCY OF VIETNAMESE COMMERCIAL BANKS" is aimed at determining the impact of liquidity position on operational efficiency and the relationship between them at Vietnamese commercial banks The study was conducted in the period 2007-2017 with the research methods conducted step by step as follows: - Firstly, the method of measurement of non-parametric Data Envelope Analysic (DEA) through intermediate approach and model of DEA technically efficiency by the support of DEA Solver software to measure operational efficiency of Vietnamese commercial banks - Secondly, Tobit regression analysis with the support of Stata software to analyze the factors affecting the operational efficiency of Vietnamese commercial banks - Thirdly, determine the relationship between liquidity position and operational efficiency of Vietnamese commercial banks by D-GMM estimation method The research results show that the performance of Vietnamese commercial banks in the 2007-2017 period was only 86%; Factors of bank size, capital structure, liquidity position, credit ratio and deposit size have an impact on bank operational efficiency and there exists a relationship between liquidity position and operational efficiency of Vietnamese commercial banks in the period of 2007-2017 INTRODUCTION THE NECESSITY OF THE TOPIC Firstly, according to the provisions of the legal documents governing the operation of banks (Circular 36/2014 / TT-NHNN and the amendments and supplements 19/2017 / TT-NHNN and Circular 16 / 2018 / TT-NHNN) The maximum ratio of short-term capital sources used for medium and long-term loans of banks and foreign bank branches is 45% From January 2019, a 40% rate will apply to banks and / or foreign bank branches Most recently, the Circular No 22/2019 / TT-NHNN took effect from January 1, 2020, but only in October 2020 began to reduce the ratio of short-term capital for medium-long-term loans from now 40% down to 37% This causes the liquidity position of banks to be affected and affects the operational efficiency Secondly, the bank only acted as an intermediary financial institution between the capital surplus and the underprivileged previously Nowadays, modern banks have implemented many more functions and roles to meet the require development of the economy and ensure competitiveness for development Because of the important roles mentioned above, the maintenance of stability in the operation of banks must be emphasized more The main factors that maintain stability for any commercial enterprises in general and banks in particular are the position of liquidity and operational efficiency that are still very much existing in the system of Vietnamese commercial banks Thirdly, banks play an important role in keeping and handling deposits of customer safety On the other hand, funds must be allocated to meet credit and consumption needs Therefore, banks need to regulate liquidity in supply and demand carefully, preventing potential risks related to liquidity This is a major challenge that banks should be concerned to keep operating effectively Fourthly, the individual studies on liquidity position and operational efficiency are increasingly diverse in size, object and both models and measurement methods On that basis, studies on the relationship between liquidity position and performance are gradually being noticed for new approaches and approaches to measure and determine more accurately and effectively However, studies on liquidity position, banking operational efficiency as well as the relationship between liquidity position and operational efficiency of Vietnamese commercial banks have just stopped at the local analysis of each factor, or banking and stopping at qualitative analysis has not provided quantitative evidence to determine the relationship between liquidity position and operational efficiency of Vietnamese commercial banks Therefore, the study on the relationship between liquidity position and operational efficiency is becoming more urgent than ever That is also the reason why PhD students choose the topic "LIQUIDITY POSITION AND OPERATIONAL EFFICIENCY OF VIETNAMESE COMMERCIAL BANK" as my thesis research topic OBJECTIVES AND QUESTIONS RESEARCH - Objectives of the reseach: "LIQUIDITY POSITION AND OPERATIONAL EFFICIENCY OF VIETNAMESE COMMERCIAL BANK:  General objective: Determining the impact of liquidity position on operational efficiency and the relationship between liquidity position and operational efficiency in Vietnamese commercial banks thereby proposing solutions to improve operational efficiency of Vietnamese commercial banks  Detailed objectives: o Measuring the operational efficiency of Vietnamese commercial banks through the technical efficiency model using data enveloping analysis method (DEA) o Assess the impact of liquidity position on operational efficiency through analyzing factors affecting the operational efficiency of commercial banks in Vietnam o Identify the interaction between liquidity position and operational efficiency to analyze the relationship between liquidity position and operational efficiency of Vietnamese commercial banks o Proposing solutions based on the results of research on banking operational efficiency measurement, factors affecting banking operational efficiency and the relationship between liquidity position and operational efficiency to improve the stability of liquidity position and operational efficiency of Vietnamese commercial banks Research question The research questions are posed as follows: o What were the operational efficiency of Vietnamese commercial banks during the study period? o What models and methods to measure the operational efficiency of Vietnamese commercial banks? o What factors affect bank operational efficiency? What model and method to analyze the factors affecting operational efficiency? o What is the relationship between liquidity position and operational efficiency? o What are the solutions related to the application of results of measuring bank operational efficiency, factors affecting bank operational efficiency and the relationship between liquidity position and operational efficiency to improve the stability of liquidity position and operational efficiency of Vietnamese commercial banks SUBJECTS AND SCOPE OF RESEARCH - Subject of the research: liquidity position, operational efficiency, relationship between liquidity position and operational efficiency of Vietnamese commercial banks - Scope of research: The thesis focuses on Vietnamese commercial banks - Time range: Based on the position of period 2007-2017 The thesis selects a 11-year research timeline from the time Vietnam joins the WTO until the end of the first phase of the pilot roadmap for pilot banks to comply with Basel II standards (The orientation of the SBV in the Basel implementation schedule II through the issuance of Official Letter 1601 / NHNN-TTGSNH on 17/3/2014 on the implementation of Basel II capital agreement) Because after joining the WTO, the first integration industry was banking and finance, so this period developed very fast and was a very good time to start observing and studying the relationship between liquidity position and After 2017, at the end of the first evaluation, the roadmap for pilot banks to comply with Basel II standards will be adjusted to achieve the set goals, so the research data will not also suitable for the purpose of the thesis research - Research data: The research data of the thesis is taken from Thomson Reuter and from the source of audited financial statements (separate financial statements) of Vietnamese commercial banks RESEARCH METHOD In order to implement the research objectives that the dissertation has outlined above, the study uses the following methods: Firstly, the measure of measurement of non - parametric data (DEA) approaches and the technical efficiency model (intermediate approach) through the Slover software to measure performance of Vietnamese commercial banks Secondly, Tobit regression analysis with the support of Stata software to analyze factors affecting the performance of Vietnamese commercial banks Thirdly, the evaluation method D-GMM is to determine the relationship between liquidity position and performance in Vietnamese commercial banks NEW CONTRIBUTIONS OF THE DISSERTATION - Firstly, The thesis has measured the effective route of Vietnamese commercial banks in 2007 - 2017 through the non - parametric method (DEA) With the financial intermediary approach to inputs (employee expenses (I1)), (fixed assets (I2),) customers deposits (i3) and 02 outputs (earnings income (O1)) and non - profit income (o2)) for technical efficiency - Secondly , the analysis of the factors affected by the effects of Vietnamese commercial banks through the Tobit regression model with dependent variables is the technical efficiency measured by the DEA with updated time data - Thirdly, the thesis has identified the relationship between liquidity position and performance through the D-GMM model with dynamic table data - Finally, the thesis has proposed solutions and recommendations for the banking system to operate effectively, regulate liquidity in order to improve the efficiency of Vietnamese commercial banks LAYOUT OF THE DISSERTATION : To achieve the research objectives, in addition to the beginning, the conclusion, the list of references and annexes, the dissertation is structured into chapters: Chapter 1: the rationale for banking efficiency, liquidity position, relationship between liquidity state and banking operation Chapter 2: evaluation of research works on liquidity state, banking operation, relationship between liquidity position and banking efficiency Chapter 3: methods and models of research Chapter 4: research results Chapter 5: policy conclusions and implications II CONTENTS CHAPTER RATIONALE FOR LIQUIDITY STATE, BANKING OPERATION, RELATIONSHIP BETWEEN LIQUIDITY STATE AND BANKING OPERATION 1.1 OVERVIEW OF COMMERCIAL BANKS LIQUIDITY POSITION OF VIETNAMESE 1.1.1 Bank liquidity According to Greuning and Bratanovic (2004) bank liquidity shows a bank' s ability to finance the transactions Meanwhile, according to Laker (2007 2007)the definition of liquidity of a bank is the cash line determined by the amount of cash and the equivalent of cash or assets Follow BASEL (2008 ) liquidity is the bank' s ability to create asset growth and meet the obligations to maturity without significant losses We can imagine that the bank liquidity is the ability of a bank to finance its activities and obligations when it is due to the maturity costs 1.1.2 Liquidity Position Liquidity position is a difference between the sum of the total assets and the cash flow and one party is the cash flow from the commitment to loan or meeting the critical obligations The primary liquidity position is a measurement - measure the liquidity 1.1.3 Measurement methods to measure liquidity position Current liquidity measurement is usually made using the liquidity metrics and liquidity method method 1.1.3.1 Liquidity demand-supply method At any time, sources and demand demand to the same time and form a net liquidity state can be calculated as follows: NLP (Net Liquidity Position ) = liquidity supply – liquidity demand In which: liquidity is the amount available or may be in short time to be used The cash flow is created from sources: (i) deposits of customers ;(ii) the customer returned the credit ;(iii) borrowing on the monetary market (iv) income from the sale of assets; (v) from the provision of services ; (vi) issue shares to market The demand for liquidity reflects the need for cash withdrawal from different times This demand depends on the following factors: (i) the demand for withdrawal of deposits from customers (ii) demand for borrowing from customers ;(iii) refund of loans ;(iv) the cost of providing services and interests ;(v) payment of dividends to shareholders ; (vi) buy back shares The liquidity approach uses liquidity reserves as a reservoir Over there, the bank evaluates liquidity position by comparing changes in cash flows and flows to determine the amount of reserves needed The liquidity approach uses the change between assets and liabilities in the present and future (basis, 2009) 1.1.3.2 Liquidity indicators There' s been a lot of researches on measuring liquidity position like Crosse & Hempel (1980 ), Aspachs et al (2005 ), Tamirisa & Igan (2008 ), Moore ) focus on rates of liquidity: L1 = liquidity assets / total assets L2 = liquidity assets / (deposits + short - term mobilized capital) L3 = liquidity property / deposit In addition, some studies use the ratio of loan / total total loans to the /(loan, and the short - term capital source) to assess liquidity, if these indicators are high, can not meet the transactions when due to high maturity Athanasoglou et al (2008 )) 1.1.4 The Basel’s principles on liquidity management in banks 1.1.5 Factors affecting bank liquidity There are many factors affecting the bank liquidity and they come from every aspect of the bank business: From objective and subjective, from the bank itself, from other risks However, on the perspective of finding out solutions for bank liquidity, we can conclude to the following subjective factors: 1.1.5.1 Subjective factors: Due to the term of unbalance between the debt asset and assets, improper customer structure; the banks purse short-term profits; the banks’ financial potential are limited; the bank' s reputation decreased which leads to the fact that the customers withdraw the money quickly and create bank liquidity 1.1.5.2 Objective factors: Due to sensitive financial assets of interest rates; central bank monetary policy; the legal framework for the operation of the system of credit institutions; customers business cycle; due to the special nature of the monetary business, the commercial bank must always be ready to meet the immediate payment demand; due to economic crisis or financial crisis EFFICIENCY OF BANKING OPERATIONS AND EFFICIENCY Efficiency 1 Concept The performance is defined simply as the ability to provide products and services with efficient costs without losing quality Hughes & Mester (2008 ) the definition of performance is the right combination of human beings, processes and technologies to improve productivity and value of any business, and reduce operating costs often to an desired level Follow Afonso et al (2010) the performance is a comparison between inputs and output, or between profit and expense With the same input, which activity creates larger output will be more effective However, the first effect was mentioned by Koopmans (1951).There is a production point that is considered effective if the maximum output is compared to its input An economic unit is thought to be more efficient than other units if it can provide more services without using more resources 2 Efficient classifications Use the definition of Koopmans (1951), Debreu (1951)given the effective measure of measurement under the output of –, the output of observations with maximum output can be achieved from the same level of input Shephard (1953) providing measures to measure effectiveness under the input point of input – compared the level of input of inputs to the minimum input can be used to produce the same level of output Farrell )has classified resources based on the theory of efficiency It is effective that the effective separation of the Technical Efficiency (TE), Pure Technical Efficiency (PTE), Scale Efficiency (SE), Cost Efficiency (CE), Profit Efficiency (PE)… 2 Operation efficiency Follow Beck et al (2000) the main banking efficiency is the transfer of funds from savers to borrowers to allow the allocation of resources to the most effective users According to Chen (2001), in the banking sector identified and studied different aspects including: (i) scale efficiency, range efficiency (ii) and performance efficiency (iii) Berger and Mester (1997) view the performance of the commercial banks in the relationship between the output and the cost of using input resources or the ability to transform input resources into the best outputs in the operations of the commercial banks In particular, the commercial banks generate the largest output of the smallest input Thus, the performance of the commercial banks can be understood in three directions: the first is the minimum cost of the cost, which means that the use of at least the input elements such as capital, physical facilities, and động… to create output The second is to keep the inputs in but generate more output and the third is to use more inputs but the output is made up faster than the input rate In the framework of this study, the commercial banks are considered to be effective when the largest output is achieved through the use of the same amount of resources to other commercial banks but the cost is lowest Effective performance and measure of effectiveness became popular and used for various types of economic organizations - banks are the choice of many studies on measuring effectiveness There are also many approaches to estimating, measuring and interpreting banking efficiency For example, there are two measurable approaches to access to structure approach and nonstructural approach Hughes & Mester (2008) 1.2.2.1 The nonstructural approach Accordingly, the nonstructural approach to measure banking efficiency is a traditional and popular way of being used How to measure through a series of financial indicators such as: ROE (return on equity), ROA (return on assets), ROS (return on sale), C/I (costs ratio)… However, this approach has two disadvantages: one is that the market value of the asset, the degree of risk of two, is only appropriate when the bank uses a single input or produces only one output Follow Wozniewska (2015 2015 ), Hughes and Mester Hughes & Mester (2008 )measuring bank efficiency by the index may not be primary metric groups: - One is, the metric group reflects profitability such as ROE, ROS - Two is, the indicator group reflects the structure of the balance sheet as the ratio of customers to total assets (DTA), credit balance of credit (LTA) - Three is, the indicator group reflects the quality of assets of banks such as bad debts (NPLs), total debt risk allowance ratio - Four is, the metric group reflects market value and the risk of assets such as Tobin' s q, Sharpe index, the Capital Adequacy Factor CAR… 1.2 2 Approaches According to Hughles and Mester Hughes & Mester (2008) the structural approach is usually based on the economic cost of the cost minimization or the maximum profit (profit maximization), which is shown through the cost of the cost or the profit function, or may be called the production function From here, the research on banking efficiency is increasingly diversified and forms a variety of banking evaluation methods and the relationship between banking efficiency and other factors affecting the bank (such as economic growth, equity structure, etc.) Most of the following studies use the structure approach with the main methods to measure bank efficiency, as follows: One is, the parameter approach (parametric) with three main methods: (i) a random method (SFA)); (ii) thick frontier approach (TFA); (iii) and Distribution Free Approach analysis Two is, the non - parametric approach (non parametric) with two main methods: (i) method for analyzing data (DEA), (ii) and method of free - factor treatment of Hull (FDH) CONCLUSION OF CHAPTER Most of the research on banking efficiency uses the structural approach (dimensions and dimensions) with the main methods for measuring such as random boundary approach (SFA) ; Thick Frontier Approach (TFA) ; Distribution Free Approach (DFA); data analysis approach (DEA); and method of free - factor treatment of Hull (FDH) 2 Research studies on banking efficiency in Vietnam Huong (2002), the need to improve the efficiency of the bank' s business operations through investment activities to raise the competitiveness of commercial banks in the context of international economic integration Population (2004) has developed an efficient evaluation system of commercial banks through statistical descriptions Hung (2008) the study conducted the performance of 32 Vietnamese commercial banks in the period 2001 – 2005 through qualitative and quantitative methods H T Vu & Turnell (2010) measuring cost efficiency (cost) by random boundary approach (SFA) in the Bayesian approach of the Vietnamese commercial bank Research towards a reasonable estimate in estimating marginal costs and using Bayesian Research results indicate that the effectiveness of the cost of Vietnamese commercial banks is very high, 87% There is a small and insignificant difference in cost effectiveness between different banks of banks by ownership However, during the period of research, the banking sector has a slight decline in cost This is explained by the increase in the cost of managing diversified activities, extending the branch network and upgrading the banking platform Dang - Thanh (2012 )the study used the analysis of DEA data analysis to analyze the performance of the Vietnamese banking system in 1990 – 2010 H Vu & Nam (2013) conducting research on the factors affecting the efficiency of the bank of Vietnam in 2000 – 2006 Ngoc Nguyen & Stewart (2013) examined the level of concentration and efficiency of the Vietnamese banking system according to the structure structure (structural) – this is the name of the parameter and the parameter.The study used data of a sample of 48 Vietnamese commercial banks during 1999 – 2009 Empirical results show that the Vietnamese banking system is less concentrated, and the large commercial bank dominates the banking system Minh et al (2013 )the study of 32 commercial banks in Vietnam from 2001 – 2005 to identify factors affecting the banking efficiency Morning (2015) )conducting the study of 48 Vietnamese commercial banks during 1992 – 2013 on banking efficiency and relationship with economic growth through three methods: financial index analysis; analysis of parameters with SFA random approach; method of non - parametric analysis of data (DEA) Through empirical evaluation of banking works The author found most of the research on banking efficiency using two methods of DEA data and SFA There are studies like resti (1997), bauer et al , (1998), Pelosi (2008), Hung (2008), Vuet al , (2010), Ngoc Nguyenet al (2013) use both methods to measure efficiency in a country As a result of the efficiency of banking in a country, dea data method is used increasingly common, especially in 2008, such as liang et al , (2008), staubet al , (2010),et al , (2010), yuet al , (2013), Replová (2014), Zimková (2014)… At the same time, most of the research uses the DEA model, which allocates such as CCR, BCC, SBM, profit efficiency 2 EVALUATION OF RESEARCH WORKS RELATED TO THE EFFECT OF BANKING OPERATIONS Hoang (2016) is based on the model of the model Williams (2012)research on factors influencing the performance of the Vietnamese commercial bank system of commercial banks - 2011 according to the efficiency measurement method (SFA), and the regression method of regression analysis to analyze the impact factors of the banks Results show that the effect is affected by 02 main groups: subjective factors (market share, liquidity, foreign investor holdings and bank size and objective factors (gross domestic and inflation) In which the positive factors are the proportion of foreign countries, the size and market share of the bank Sufian (2009) analysis of factors influencing performance of Malaysian commercial banks in 1995 – 1999 around the crisis of East Asia in 1997 Research using the DEA analysis method to measure performance efficiency and regression analysis to evaluate factors affecting performance of Malaysian commercial banks Variable the dependence of the model is the performance of the commercial bank by the DEA independence includes: (i) the size of the bank measured by natural logarithms of the total deposit, (ii) ratio of credit balance on total assets, (iii) bad on total assets, (iv) total income on total assets, (v) total expenses in addition to the interest on total assets, (vi) ratio of equity on total assets Follow Williams (2012) use SFA method to analyze factors affecting the efficiency of commercial banks, including the power market (lerner index) ' ownership' and' listed dummy' are included as a false role: ownership receives the value' 1' when the bank has a foreign investor' s holding rate and the value' 0' when the investor' s capital contribution is listed as' 1' and non - listed banks receive the value' 0' Bringing counterfeit variables into the model to help authors in consideration of positive effects or negative negative effects on the performance of banking systems Ayadi (2013) analyses factors affecting the performance of commercial banks in Tunisia during 1996 – 2010 Study the application of non - parametric analysis to measure the performance of commercial banks in Tunisia The model used for the use of the cost - effective variable by DEA is dependent on the variable and the independent variables are the market' s concentration index (hhi), rate of each bank compared with the system, credit balance of credit on the total assets, the ratio of equity on total assets, the size of the measuring bank in the decimal logarithm, and Hausman, shall be used by using the regression method to test the data in the fixed effects, Ayadi (2013) method uses the regression method, according to the fixed effects model and a random effect then using Hausman to test Alrafadi et al (2014) measuring performance acts as factors affecting the performance of banking systems in Libya during 2004 – through the data set of 17 Libyan commercial banks The study applied the DEA analysis method to measure the efficiency of resource use commercial bank and regression Tobit to analyze factors affecting performance of the performance Libyan commercial bank The research model uses the same technique as the DEA' s dependence and independence including: customer deposits / total assets, owner' s equity on total assets, bank size of the total of the total property, the state of primary liquidity commercial bank 2.3 EVALUATION OF RESEARCH ON THE RELATIONSHIP BETWEEN LIQUIDITY STATE AND BANKING EFFICIENCY Some study of liquidity position and performance has been performed by scholars with various aspects Study of Nkobe (2013 )consider the relationship of the liquidity state, capital safety and performance of commercial banks in Kenya Study of Sufian et al (2012 )to examine the relationship of the operation and the factors of the Malaysian banking sector Research results show that liquidity states have a positive relationship with the bank' s performance This is consistent with the study of Dang (2011), who discovered the state of liquidity in the performance of the bank' s performance But it does not fit Ongore & Kusa (2013) when their findings indicate that the relationship between liquidity and banking operations in Kenya is negligible Bordeleau, Crawford and Graham (2009) reviewed the impact of liquidity position to the performance of 55 American banks and 10 Canadian banks during 1997 to 2009 The study used quantitative measures to assess the impact of liquidity on bank profits Results from research show that the non - linear relationship, which is effective in improving the bank' s liquidity banks, however, there is a more dominant point than the bank performing effectively to the liquidity state of., bank Eljelly (2004) said that organizations that have high liquidity accounts for most investments in short - term assets, have lower profits than long - term assets As a result, the high liquidity is expected to work better but the low yield and vice versa Maintaining liquidity is indicated that money is limited in mobile assets so it is not available for investment purposes to yield higher returns, but it is necessary to meet the capital requirements when it is necessary to help the performance of the banks better EVALUATIONS FROM PREVIOUS RESEARCH PROJECTS For banking performance: Research works measure the efficiency of banking operations using methods of data (DEA) and randomness (SFA) Some studies use both methods to measure banking performance as Pelosi (2008 ), Resti (1997 ; To (2013) ) For the study of factors affecting the performance of the banking operations, researchers applied different regression methods, including the smallest squares (OLS), regression, for the proposed economic model of the proposed economy The models are built to assess the movements of the factors in the banking operations in which the explanatory state is the liquidity state Alrafadi et al (2014 ; Nkobe (2013 ; Sufian et al (2012 ).The results of the study often show positive impact of liquidity position to banking operations during the study For the study of the relationship between liquidity state and banking operations Nkobe (2013), Bordeleau & Graham ; Eljelly (2004) towards the analysis of the relationship between liquidity states and performance effectiveness in a multivariate regression model These studies often use linear analysis techniques through the D-GMM method for the model data model, Granger analysis, Granger Karmar analysis, Tobit censorship regression; minimum squares regression From theoretical research and experimentation on liquidity position and performance of commercial banks With the study outside the country, the factors affecting liquidity factors, factors affecting liquidity in this country must not be repeated in other countries For domestic studies, it is only stopped to identify factors affecting liquidity, operating efficiency without expanding the determination of the relationship between liquidity and banking performance Studies on banking efficiency in Vietnam are quite a lot of achievement (2008); To (2013) )in both parameters and dimensions There are also studies that analyze factors affecting banking efficiency, analyzing factors affecting liquidity position such as Hong (2012) ; (2013) but lack of research on the relationship assessment between liquidity and banking efficiency With the author' s research knowledge evaluation and synthesis, currently no research has been conducted in determining factors affecting the performance of the state - of - the - art operations, as well as the assessment of the relationship between the liquidity state and the effective performance of the state - of - the - art state, in 2007, in 2017 – 2017 In short, when studying the " liquidity and operational position " topics Vietnamese commercial bank will seek (i) empirical evidence for the effect of liquidity position to the efficiency of the banking operation (ii), empirical evidence for linear relations between liquidity states and operational efficiency commercial bank Vietnam period 2007 – 2017 This is the gap that studies solve CONCLUSION OF CHAPTER CHAPTER RESEARCH MODELS AND METHODS OF RESEARCH RELATIONSHIP BETWEEN LIQUIDITY STATE AND BANKING OPERATION 3.1 MODEL RESEARCH MODEL AND METHODS OF MEASURING BANKING ACTIVITIES 3.1.1 Model background A cost function is represented as follows Ilieva (2003 2003): (1.1) In which: - TC i is the sum of total bank expenses - And y i , p i is the vector that represents the output and input is error number Ilieva (2003) assuming that different evaluation techniques and different assumptions for the distribution of errors are results in different models The optional profit function (alternative profit function) allows the bank to have large rights in the output decision so the function is determined by the input price and output output, as follows: = 1…n, (1.2) Model of measuring data efficiency If the assumption is that one DMU uses the input element x to produce the output n elements with the method of coordinating certain inputs and outputs in two different weights, such as v and u (u and v are the set of input variables, the DMU, which is the following, is calculated as the following: i = 1…m; j = 1…n (2.1) Applying the formula above to compute the efficiency of each DMU and on the theory, each DMU is different about x and y, and u, v, m, n is the same If the price is not determined, it is possible to assume that a variable in x i or a turn - out i will be assigned to a v i or u i based on the importance of the head input or that output to DMU However, each DMU will have different evaluation of the importance of each input and output, so each DMU is very different from both u, v, x, and y so the DEA will intervene and solve the problem However, for different analysis purposes, researchers often classify the DEA models used in the measure of banking efficiency Kumar & Gulati (2013 ): (i) Non – allocation DEA models; (ii) Allocation DEA models 3.1.2.1 Non- Allocation DEA models 3.1.2.2 Allocation DEA models 3 Specifies the model and selection of input inputs In this study, commercial bank was considered the financial intermediaries and provide financial services and provide payment services to the economy should be selected with three input variables: the cost of output variables include: earnings from interest (y1) ; revenues from interest (y2) include net income from service activities net income from securities trading, investment and income net from other activities The cost of the cost is (w1) staff costs, expenditures fees for use of fixed assets (w2) and average interest expense (w3) With the upper approach of theses, input and output variables are selected: - Staff cost (I1) - Fixed assets net (I2) - Customer deposit (I3) - Earnings from interest (O1) - Non - profit income (O2) 3.2/METHOD AND ANALYSIS OF FACTORS TO AFFECT THE PERFORMANCE OF BANKS TRADE To determine the model and method for analyzing factors to the efficiency of commercial banks, research conducted by the study work - related research works 3.2.1 Specify the model and analysis of factors affecting banking efficiency Table Detailed description of variables in the tobit regression model Mark Variables Data Research expectation Banking efficiency Sufian(2009); Alrafadi and partners (2014) DEA_TE (results from the dea) / Deposit size Alrafadi and partners DETA (customer deposit/ total assets) + (2014); Kwan (2006) Capital structure Berger Mester (1997) ;Sufian(2009);Alrafadi EQTA (equity / total assets) + and partners (2014) Vodová (2011); Aspachs Liquidity state and parters (2005); Alrafadi and partners LATA (property assets / total assets) + (2014) Credit density Lee and Kim (2013) LODE SIZE (loan balance / deposit) + The logarithm of the total assets represents the size of the bank + Kwan (2006) Lee and Kim (2013) According to Tobin' s research (1958) and Coelli co - workers (1998), model with the sample, including i bank in a year proposed: In the meanwhile, xi and β are vectors of explanatory variables and parameters needed finding yi * is dependent variable blocked or cut variable and yi is effective variable of banking activities of bank i by randomly research sample receiving value from to 1; εi is the noise part Model (2.1) is tobit model standardnizing for cross-sectional however,So as to be suitable to unbalanced data panel in researching and dependent variables on efficient technique, model (2.1) is deployed to be: = + + + + + Hypothesis research With research model and variables as above, hypothesis research is supposed to be: H1: Existing relationship covariencedly between deposit scale and banking efficiency H2: Existing relationship covariencedly between capital structure and banking efficiency H3: Existing relationship covariencedly between liquidity position and banking efficiency H4: Existing relationship covariencedly between credit proportion and banking efficiency H5: Existing relationship covariencedly between bank scale and banking efficiency 3.3 RESEARCHING MODEL AND RESEARCHING METHOD IN ORDER TO ANALISING THE RELATIONSHIP BETWEEN LIQUIDITY POSITION AND BANKING EFFICIENTCY Chosen variables are : liquidity position (LATA) and activity efficiency (DEA_TE) Thematic offers researching model as below: ( ) (3.1) ( ) (3.2) There in: n is latency number, is specific bank effect which records systematic difference between banks, is random error which has similiar distribution and independent, DEA_TE is work efficient, LATA is liquidity position In order to the above statitic, this thesis uses estimating method S – GMM two steps for dynamic panel data models 3.4 RESEARCHING DATA Researching data of this thesis is taken from Thomson Reuter and Audited financial statements (Separate financial statements) of Việt Nam commercial banks from 2007 to 2017 The period of researching this thesis lasted from 2007 to 2017 This thesis chose the research milestone was 10 years since Việt Nam has joined WTO and the first intergrating branch is banking and finance thus this statement develops very fast until 2017 when banks pilot performing as Basel II standards having went to the route bringing liquidity admistration gradually into standards and stability (Orientation of state bank in performing Basel II route by realizing Archive 1601/NHNN-TTGSNH on 17/3/2014 about performing capital treaty Basel II) The total number of banks in sample research was 32 banks (however, the maximum number of banks for several years was less, because there was merger), including State commercial banks , joint-stock commercial bank CONCLUSION CHAPTER CHAPTER 4: RESEARCHING RESULT 4.1 OVERVIEW OF BANK SYSTEM 4.2 RESEARCHING RESULTOF BANK EFFICIENCY Technical effectness as DEA of the lowest commercial bank in 2008 accounted for 80% and the highest in 2007 for 92% Technical effect according to DEA from the period 2007 to 2017 was 86% on average Technical inefficiency reflected the deviation of animistration compared to the most effective bank The result of analising technique according to DEA in appendix showed that AGR,VCB, MBB, TPB, NAB are banks having average highest technique effective (100%) and NAV was the bank having the lowest highest technique effective (56%) The average technique efficiency was maintain at quite high rate show that Việt Nam commercial banks focus on increasing administration ability and using effectively their power in order to reach the optimal technique efficiency Commercial banks in sample research from 2007 to 2017 reached technique efficiency 86% on average result mostly from using unreasonably input factors After researching and estimating working efficiency of Việt Nam commercial banks, the author realizes there are some disadvantages: First and foremost, the growth in scale of banks in research sample is significant in the researching period nevertheless, the growth velocity of average assets of commercial banks does not increase as fast as the growth velocity so it is impossible to promote the advantage of scale that banks are having Secondly, the asset quality of commercial banks tends to decrease in the research period when risk provisions over debts of banks is increasing Thirdly, the revenue proportion of credit ativity is too distinct to the proportion noninterest activities The proportion non-interest revenue only about 10% compared to the revenue propotion from credit Fourly, the delivery and using resources of Việt Nam commercial banks have been not really realistic, it reflects by the average technique efficiency of banks at 86% 4.3 ANALASING RESULT OF FACTORS AFFECT TO WORKING EFFICIENCY AT VIET NAM COMMERCIAL BANKS Table 4.4: Detail Descriptive statistics veriables in model sum DEA_TE SIZE DETA EQTA LATA LODE Researching variable Average Standard deviation DEA_TE 8690959 1656952 SIZE 6086069 5600608 DETA 6086069 1511646 EQTA 5299545 1396983 LATA 0092662 0088564 LODE 9206927 3570785 Source: The result conducted from STATA program Table 4.5 Considering correlative of independent variable pwcorr DEA_TE SIZE DETA EQTA LATA LODE | DEA_TE SIZE DETA EQTA LATA LODE DEA_TE | 1.0000 SIZE | 0.1050 1.0000 DETA | -0.1032 0.5027 1.0000 EQTA | -0.0419 0.1885 0.4904 1.0000 LATA | 0.2810 -0.2707 -0.2523 -0.0198 1.0000 LODE | 0.0922 -0.3672 -0.5350 0.3572 0.2202 1.0000 Soure: The result conducted from STATA program After checking correlation of independent in model The result showa that the index only nearly around 0,5and there is no index excess 0,6 overthere we can use these independent variable to analyse model Table 4.3 The result analyse tobit regression with dependent variable is DEA_TE tobit DEA_TE SIZE DETA EQTA LATA LODE, ul(1) DEA_TE Coefficient Standard deviation P value SIZE DETA EQTA LATA LODE C 0.168 0.681 -0.959 0.812 0.361 -0.782 0342796 2865728 2854346 378014 1287757 3078172 0.000 0.018 0.001 0.000 0.005 0.012 * ** * * * ** LR chi2(5) = 69.66 Prob > chi2 = 0.0000 *;**;*** level of significant 1%; 5% 10% Source: The result conducted from STATA program The model has value prob>chi2 at 0.000 which proves tobit regression model assures reliability Through the analysis of factors affecting the performance of Vietnamese commercial banks in the 2007-2017 period, the dependent variable is the technical efficiency according to DEA as follows:: The SIZE variable shows the size of meaningful banks in the research model with 1% significance level and has a positive impact reflected when the size of commercial banks increases leading to an increase in operational efficiency taking advantage of the scale However, this is only in the early stage of the later growth process that will gradually lose its advantage The DETA variable reflects customer deposits on total assets of research significance and has a positive effect The result reflected that in the research phase of Vietnamese commercial banks have quite well distributed this resource The variable EQTA shows the capital structure on the total assets of research significance and has a negative impact on the performance The fact that Vietnamese commercial banks now tend to maintain a high EQTA ratio to deal with the instability of the economy, but in the long run this will make it difficult for banks to maintain the profitable level at an appropriate level LATA variable - the liquidity position has a meaning in the model and has a positive impact on the performance of Vietnamese commercial banks in the research period The LATA ratio indicates how much of a bank's total assets are liquid assets When this ratio is reasonable, it shows good liquidity of the bank However, if this ratio is too high, it proves that the excess capital is in reserve form without participating in the production process, which wastes resources of the bank LODE variable - the ratio of outstanding credit to customer deposits is significant in the model and has a positive impact on the performance variable LODE indicates the size of credit activity (generating sales revenue) compared to customer deposits (the source used to generate revenue) When this ratio is reasonable, increasing the LODE ratio will increase the output of sales thereby increasing the efficiency of the bank's operations However, when this ratio is too high, commercial banks will be under pressure of liquidity and have to mobilize other sources with higher costs, which will reduce the efficiency of banks 4.4 THE RESULT OF ANALYSING THE RELATIONSHIP BETWEEN LIQUIDITY POSITION AND WORKING EFFICIENCY AT VIỆT NAM COMMERCIAL BANKS Table 4.7 Descriptive model variable in estimatic D-GMM sum DEA_TE LATA LogDEA_TE LogLATA Researching variable Average Standard deviation DEA_TE 8690959 1656952 LATA 0092662 0088564 lDEA_TE -.0705928 0970009 lLATA -2.218863 4897136 Note: lDEA_TE, lLATA is logarit of DEA_TE and LATA Source: The result conducted from STATA program The estimatic analysis of dynamic panel data with D – GMM one step method is shown 4.5 with xtabond2 command is introduced Roodmand The validity of the two models and of the instrumental variables expressed in the instrumental variable number 18 is less than the number of observation groups of 31 In addition, Sargan or Hansen tests will show the validity of the model For model (1), the Hansen test shows p> 0.1, which means the original hypothesis is rejected and the model is valid; and the AR (2) test also results in p> 0.1, so the original hypothesis that there is no 2degree chain correlation is rejected Therefore, all the results in D– GMM for model (1) are significant Bảng 4.8: The estimatic result by D – GMM lDEA_TE method xtabond2 DEA_TE l.DEA_TE LATA,gmm (l1.DEA_TE l1.LATA,lag (1 1))nolevel small DEA_TE Coefficient Standard P value deviation lDEA_TE -0.1943223 0.1435924 0.177 LATA 6.069148 2.362417 0.011 ** Number of observations: 220 Number of observation groups: 31 Number of tools: 18 Sargan accredit: chi2(16) = 14.01; Prob > chi2 = 0.598 AR(1) = -1.95 AR(2) = 0.12 F(2, 218) = 3.50 Prob > F = 0.032 *;**;*** Level of significance 10%; 5% 1% Source: The resource conducted from STATA program The results in Table 4.8 and explanation for model (1) to analyze the influence of liquidity position on banking performance (bank efficiency is measured by technical efficiency), specifically as follows: - The ratio of liquidity position of the current year t has a positive and statistically significant impact on performance - Latency of operational efficiency has no impact on performance of the five observed due to no statistical significance This can be explained by the theory of "stakeholders" when good liquidity position will have a positive impact on the performance of Vietnamese commercial banks in the 2007-2017 period For model (2), the opposite effect of performance on liquidity position, in order to comprehensively assess the linear relationship between liquidity position and performance Specifically:Bảng 4.9: Kết ước lượng phương pháp D – GMM lLATA xtabond2 LATA l.LATA DEA_TE ,gmm (l1.LATA l1.DEA_TE ,lag (1 1))nolevel small LATA Coefficient Standard P value deviation l LATA 0.3990237 0.1033363 0.000 *** DEA_TE 0.0256083 0.0152132 0.011 ** Number of observations: 222 Number of observation groups: 31 Number of tools: 18 Sargan accredit: chi2(16) = 19.93; Prob > chi2 = 0.223 AR(1) = -4.90 AR(2) = 1.03 F(2, 220) = 12.61 Prob > F = 0.000 *;**;*** Level of significance 10%; 5% 1% Source: The result conducted from STATA program The results of estimating dynamic table data with D - GMM method are shown in Table 4.9 with the statement xtabond2 introduced by Roodmand The validity of the two models and of the instrumental variables expressed by the number of instrumental variables is 18 ( smaller than the number of observation groups is 31) - In addition, Sargan or Hansen tests will show the validity of the model For model (1), the Hansen test shows p> 0.1, which means the original hypothesis is rejected and the model is valid; and the AR (2) test also results in p> 0.1, so the original hypothesis that there is no 2-degree chain correlation is rejected Therefore, all results in D– GMM for the model are significant - - The latency of the liquidity position has a positive impact on the observed liquidity position and has statistical significance That is, if the first step of the liquidity state increases by percent, the observed liquidity position increases by 3.99 percent - Working efficienvy of year t has a positive impact on the observed liquidity position and statistical significance - CONCLUSION OF CHAPTER CHAPTER 5: CONCLUSIONS AND POLICY IMPLICATIONS 5.1 CONCLUSION 5.1.1 Conclusion on measuring the performance of Vietnamese commercial banks The results of analysis and ranking of technical efficiency by the method of data envelopment analysis (DEA) are presented in detail in Appendix 1, the study finds that the performance of Vietnamese commercial banks in the sample has disadvantage as below: Firstly, the limitation in the performance of Vietnamese commercial banks is that the asset quality of banks tends to decrease, which is reflected in the increase in provision ratios over total outstanding loans in the 2007-2017 period Secondly, the proportion of income from service activities is too low compared to the proportion of income from credit activities, which reduces the efficiency of banks' operations The average of non-credit activities is only one-tenth of the average revenue from credit activities Third, the size of commercial banks in the sample has an average growth of over 15% However, as of the end of 2017, the average total assets of commercial banks was only approximately 267,829,499 million VND, making Vietnamese commercial banks not take advantage of the scale that banks have Fourthly, limitations on technical efficiency of 32 commercial banks in the research sample are low The average technical efficiency according to DEA during the research period reaches 86% 5.1.2 Conclusion on factors affecting the performance of Vietnamese commercial banks Through the analysis of factors affecting the performance of Vietnamese commercial banks through Tobit regression model with dependent variable is the technical efficiency according to DEA The study found several notable issues: The variable of customer deposit over total assets ratio is positively related to the performance of Vietnamese commercial banks and makes sense Show that in the research period, banks have taken advantage of this capital in expanding the ratio to increase the efficiency of banks The ratio of equity to total assets has a positive impact and is negatively related to bank performance Banks that tend to maintain high EQTA ratios having higher stability because they are able to cope with uncertainties from the economy However, maintaining a large equity size will put pressure and difficulties on the banks in maintaining the profitability ratio at an appropriate level The variable of credit outstanding ratio to customer deposit –LODE has a meaning in the model and positively impacts with the performance of commercial banks in the research period LODE ratio indicates the scale of the activity generating output revenue compared to the input capital that commercial banks used to generate that revenue When this ratio is too high, commercial banks are under pressure of liquidity and have to mobilize other sources with higher costs, which will reduce the efficiency of banks However, when this ratio is maintained at a reasonable level, the increase in LODE will lead to an increase in the operational efficiency of Vietnamese commercial banks The variable ratio of liquid assets to total assets - LATA reflects the liquidity position of Vietnamese commercial banks which are meaningful and positively impact with the performance This ratio indicates the level of liquidity assets that commercial banks are holding in order to ensure stable and sustainable operation for commercial banks However, if this ratio is too high, it means that a large amount of assets not participating in income generation will increase costs, leading to a decrease in the performance of Vietnamese commercial banks The size of commercial banks –SIZE is significant in the research model and has the same directional impact in the reflection model when increasing the size of commercial banks will increase operational efficiency by taking advantage of the scale However, this is only the first stage of the growth process, after this period, commercial banks will lose this advantage and lead to a decrease in the performance of commercial banks The growth process will continue if commercial banks take advance, improve processes and apply modern technology will help increase operational efficiency 5.1.3 Conclusion on the relationship between liquidity position and working efficiency The analysis results show that in the period of 2007-2017, the liquidity position has a positive impact on the performance of Vietnamese commercial banks 5.2 SOLUTIONS TO IMPROVE THE EFFICIENCY OF OPERATIONS OF VIETNAMESE COMMERCIAL BANKS 5.2.1 Group of solutions to prevent liquidity risks 5.2.2 Solutions from commercial banks 5.2.2.1 Improve financial capacity 5.2.2.2 Modernize technology, diversify and improve utilities of modern banking products and services based on advanced technical technology 5.2.2.3 Develop customer strategies, diversify products and services offered in the market towards improving the quality of traditional services and developing new services 5.2.2.4 Improve executive management capacity 5.2.2.5 Build an accounting system consistent with the international accounting system 5.2.2.6 Improve the quality of bank staff 5.2.2.7 Complete settlement of bad debts 5.3 RECOMMENDATIONS 5.3.1 Recommendations to the SBV 5.3.2 Proposing policy-making agencies 5.4 RESTRICTIONS OF THE TOPIC AND NEXT RESEARCH Although the research has achieved the set goals, due to the limitations of the study time, research data and research methods, the thesis still cannot avoid the following shortcomings: The study period in the period of 2007-2017 was not long enough to ensure the reliability when analyzing the relationship between liquidity position and performance of Vietnamese commercial banks through GMM model The performance of Vietnamese commercial banks and the factors affecting the performance of Vietnamese commercial banks is a complex issue as well as influenced by macro factors, but the research is only focused studying internal variables in the bank as well as the relationship between liquidity position and performance of Vietnamese commercial banks in the 2007-2017 period During the research period, the increase and decrease in the number of commercial banks merged and merged as well as the name change made the study sample unbalanced, leading to difficulties in analyzing and grouping banks based on criteria specific to impact analysis in groups In the next time, when conditions permit and the data will continue to research and develop more directions to expand the scale of the sample and the scope of the study At the same time, the research will develop additional factors in the model to analyze the factors affecting the performance of Vietnamese commercial banks In addition, the study completes an analysis model of the relationship between liquidity position and performance of Vietnamese commercial banks in the direction of extending the study period CONCLUSION OF CHAPTER CONCLUDE The thesis with the topic: "Liquidity position and operational efficiency at Vietnamese commercial banks" has focused on the theoretical and practical issues to assess the performance of commercial banks and apply to the evaluation for 32 commercial banks in Vietnam in the period of 2007-2017 On the basis of qualitative analysis combined with quantitative analysis in evaluating the efficiency and identifying the factors affecting the performance of commercial banks in Vietnam, from which the research can lead to proposing a number of recommendations to improve the operational efficiency and competitiveness of the current commercial banking system in Vietnam to suit the requirements of renovation and requirements of the economic integration trend LIST OF RELATED WORKS PUBLISHED BY THE AUTHOR AUTHOR Year Name of work Magazine realeased Nguyen Phuc Quy Thanh 2019 Working efficiency in Trade and Industry vietnamese commercial banks journal no 20, November 2019 Nguyen Phuc Quy Thanh 2019 Factors affecting performance Financial journal, of vietnamese commercial term 1, December banks 2019 (718) Nguyen Phuc Quy Thanh 2018 Law on protection of Thematic book, Bui Quang Tin customers' interests in merger, 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AUTHOR Year Name of work Magazine realeased Nguyen Phuc Quy Thanh 2019 Working efficiency in Trade and Industry vietnamese commercial banks journal no 20, November 2019 Nguyen Phuc Quy Thanh 2019... banking platform Dang - Thanh (2012 )the study used the analysis of DEA data analysis to analyze the performance of the Vietnamese banking system in 1990 – 2010 H Vu & Nam (2013) conducting research...STATE BANK OF VIET NAM MINISTRY OF EDUCATION BANKING UNIVERSITY, HO CHI MINH CITY - NGUYEN PHUC QUY THANH LIQUIDITY POSITON AND OPERATIONAL EFFICIENCY OF VIETNAMESE COMMERCIAL BANKS