THÔNG TIN TÀI LIỆU
MINISTRY OF EDUCATION AND TRAINING NATIONAL ECONOMICS UNIVERSITY THE DISSERTATION HAS BEEN COMPLETED AT NATIONAL ECONOMICS UNIVERSITY Advised by: Assoc Prof Dr NGUYEN THI BAT NGO KHANH HUYEN Reviewer 1: THE IMPACT OF SOME MACRO FACTORS ON THE PERFORMANCE OF VIETNAMESE COMMERCIAL BANKS Reviewer 2: Reviewer 3: Specialization: Banking and Finance Code: 9340201 The Dissertation have been defended at the council of National Economics University At date month year 2021 DISSERTATION ABSTRACT HANOI - 2021 The dissertation can be found at: - National Library of Vietnam - Library of National Economics University Importance of the thesis Research objectives and mission The banking system is the lifeblood of the economy That is enough to clearly show the important role of banks for a country The innovation associated with economic opening up also creates opportunities for Vietnam to receive a lot of direct investment capital flows into economic sectors, including the banking 2.1 Objectives of the study sector improve the operational efficiency of Vietnamese commercial banks in the coming time Assessing how effectively Vietnam's commercial banking system operates, how it is affected when the environment changes and what it actually contributes to the development of the country becomes an important matter to be resolved Compared with the time before 2007 - when Vietnam started to join the WTO, the operating environment of banks is now more complex The process of rapid development in recent years both in terms of operation scale and ownership structure of the bank, whereby the participation of shareholders being foreign financial institutions is increasingly expanding According to the data of the State Bank announced on June 30, 2019, Vietnam has 49 banks; in which banks with 100% state capital, 31 commercial banks, banks with 100% foreign capital, policy banks, cooperative bank and joint venture banks Tt is especially important to evaluate the performance as well as the macro factors affecting the performance of banks In this thesis, the author chooses to evaluate the operational performance (technical efficiency, scale efficiency, management efficiency) of a number of commercial banks including 23 banks with sufficient analytical data From the use of econometric model to increase the persuasiveness of the research, the author analyzes the efficiency and some macro factors such as FDI, GDP or inflation affecting the performance of these banks Thereby, the author gives an overview of banking activities in Vietnam and recommends some policies for the banking industry in general and commercial banks in particular, especially policies to deal with macroeconomic scenarios Above are the reasons why the author chooses the topic "The impact of some macro factors on the performance of Vietnamese commercial banks" as the topic of thesis The thesis aims to assess the actual performance of Vietnamese commercial banks and the impact of a number of macro factors such as FDI, GDP and inflation on their performance Consequently, the thesis proposes some recommendations to 2.2 Research mission To achieve the above research objectives, the thesis proposes four research tasks: - Consolidate the theoretical basis on the performance of commercial banks, especially to learn measurement models and assessment models about the impact of macro factors on the performance of commercial banks - Assess the existing current status of operational efficiency of Vietnamese commercial banks - Assess the impact of macro factors such as FDI, GDP and inflation on the performance of Vietnamese commercial banks - Based on the research results, the thesis makes recommendations to improve the operational efficiency of Vietnamese commercial banks, especially to reduce the negative impact of external factors on the operation of commercial banks bank action 2.3 Research question: • Question 1: How is the performance of Vietnamese commercial banks in the period 2008-2020? • Question 2: What is the impact of FDI, GDP and inflation on the performance of Vietnamese commercial banks in the period 2008-2020? • Question 3: What recommendations should be made for actors to improve the performance of Vietnamese banks? Objectives and scope of research 3.1 Research objectives: The research object of the thesis is the performance of commercial banks and the impact of macro factors such as FDI, GDP and inflation on the performance of commercial banks 3.2 Research scope: hold-to-maturity (HTM) investment securities and provision for devaluation of investment securities and some other indicators … Due to insufficient criteria for approaches, the thesis only focuses on the approach that can collect enough indicators - Scope of content: The thesis assesses the impact of macro factors such as FDI, In addition, data on FDI, GDP and inflation are collected from GSO (General GDP and inflation on the performance of Vietnamese commercial banks Statistics Office) data source for the period 2008-2020 Although the banking system in Vietnam currently includes the State Bank of New contributions of the thesis Vietnam, joint-stock commercial banks, joint venture banks, branches of foreign banks in Vietnam and banks with 100% foreign capital in Vietnam However, the evaluation of the efficiency of all these banks faces many difficulties due to the different operating purposes and ways of operation, so the thesis only focuses on evaluating the efficiency and factors influencing on the performance of Vietnamese commercial banks Firstly, the thesis has systematized the theory of operational efficiency and assessed the impact of macro factors on the performance of Vietnamese commercial banks in the period 2008-2020 - Scope of banks: The thesis studies with 23 Vietnamese commercial banks because there are enough data used for the analytical model - Research time: The research period is 13 years from 2008 to 2020 Research methodology 4.1 Approach The thesis uses qualitative methods combined with quantitative to perform research tasks, thereby, achieving research objectives Quantitative methods will be implemented through DEA model, Tobit regression After selecting the model and input - output variables, the author conducts data analysis and runs the model From the obtained results, the author makes comments on the status of operational efficiency and macro factors such as FDI, GDP and inflation affecting the performance of commercial banks in Vietnam 4.2 Information and data used in the research model Data used in the thesis: This study uses data collected from annual reports of 23 banks from 2008-2020 and includes the following indicators: total deposits, securities, operating incomes, fixed assets, deposits, operating expenses, labor cost, in which, securities include available-for-sale (AFS) investment securities, Secondly, the thesis has combined qualitative and quantitative analysis (DEA) methods to analyze the combined impacts of micro and macro indicators in analyzing the performance of banks While previous studies only used single indicators and did not allow comprehensive analysis of bank operations, this thesis has done the later Furthermore, this thesis is also different from previous studies using DEA quantitative model in that it provides deep understanding of the efficiency of banks as well as internal and external environment barriers of banks Thirdly, while previous theses had a research period of 5-8 years and data collected until 2018, this thesis has an overarching research period, lasting for 13 years from 2008-2020 Banking data is collected and updated to 2020 Therefore, the thesis reflects the volatility of the banking industry in particular and the economic cycle in general In fact, this period has many restructuring changes in the banking system such as mergers and acquisitions, so the recommendations proposed in the thesis have special meaning Thesis structure The thesis consists of chapters: CHAPTER RESEARCH OVERVIEW CHAPTER THEORY ON OPERATIONAL EFFICIENCY AND ASSESSMENT OF THE IMPACTS OF MACRO FACTORS ON THE OPERATION OF COMMERCIAL BANKS CHAPTER DESCRIPTION AND SELECTION OF MODELS FOR EFFECTIVE MEASUREMENT A series of studies use frontier analysis to separate efficient banking units from inefficient ones, according to a specified set of standards The focus of these studies is on changes in the efficiency frontier and how banks operate near the efficient frontier The first method entails identifying efficient units of production and constructing a linear efficiency frontier using these efficiency measures This CHAPTER RESULTS FROM OPERATIONAL EFFICIENCY MEASUREMENT AND ASSESSMENT OF THE IMPACTS OF MACRO FACTORS ON OPERATIONAL PERFORMANCE OF COMMERCIAL BANK CHAPTER POLICY RECOMMENDATIONS method was first implemented by Charnes, Cooper and Rhodes (1978), who used linear programming methods to determine the efficiency units and named Data Envelope Analysis (DEA) CHAPTER 1: OVERVIEW OF RESEARCH WORKS 1.1 Overview of research In Vietnam, the past time has witnessed tremendous changes in the banking system In terms of organization, the merger and acquisition takes place very actively Regarding technological change in the banking sector, not only Vietnam but the whole world has experienced profound movements The advanced applications of industry 4.0 and communication along with the emergence of new financial tools have changed the banking culture and practice In this respect, a question that can be raised here is what the impact of these changes on the performance of banks is Berger and Humphrey (1997) had given a fairly comprehensive overview of answering this question by proposing new methods of measuring the efficiency of the banking sector The most widely used efficiency methods are non-parametric analysis and parametric method (random boundary approach) Below, the thesis briefly presents some productivity and efficiency studies, focusing on the methodology used in this paper 1.1.1 Studies on the performance of commercial banks Since the banking industry uses many inputs to produce many outputs, this has led to the study of appropriate pooling (Kim, 1986) Several studies have attempted to estimate the average practice cost functions While these approaches are successful in determining the average performance increase, they not take into account the productivity of best practice banks These problems are associated with the “classical” approach to productivity have led to other approaches that include multiple inputs/outputs and take into account the relative performance of banks The authors' groups Lawrence M Seiford, Joe Zhu (1999) and Richard S Barr, Kory A Killgo Thomas F Siems and Sheri Zimmel (1999) all used the Data Envelope Analysis model to evaluate the performance of commercial banks In which the authors Lawrence M Seiford, Joe Zhu (1999) used Data Envelope Analysis to examine the performance of the top 55 US commercial banks through: commerciality (marketability, circulation) and profitability (profit margin) Negligible performance was detected in both dimensions Relatively large banks have better performance in terms of profitability, while smaller banks tend to perform better in terms of commerciality And Richard S Barr, Kory A Killgo Thomas F Siems and Sheri Zimmel (1999) used constrained multiplier, input orientation, Data Envelope Analysis (DEA) model to evaluate the productivity efficiency and performance of US commercial banks from 1984 to 1998 The results show a stable and consistent relationship between efficiency and input and output In addition, the results also show that different economic conditions to some extent correlated with the relative performance of banks David Grigorian and Vlad Manole (2002) estimated commercial bank performance indicators by applying a version of Data Envelope Analysis (DEA) to bank-level data from a range of developing countries by emphasizing profit maximization and providing transaction services as the main objective of the bank In addition to emphasizing the importance of a number of bank-specific variables, the censored Tobit analysis shows that (1) foreign ownership with controlling power and corporate restructuring improves efficiency of commercial banks; (2) the effect of prudential tightening on the performance of different banks among different prudential norms; and (3) consolidation is likely to improve the efficiency of banking operations 7 Nakhun, Necmi K Avkiran (2009) studied the relationship between post-crisis banking restructuring, country-specific conditions and bank performance in Asian countries from 1997 to 2001 by using an integrated method of Data Envelope Analysis (DEA) and Stochastic Frontier Analysis (SFA) The results indicate that although domestic mergers create more efficient banks, but overall, restructuring the initial results show a change in productivity between 2004 and 2005 is negligible Nguyen and DeBorger (2008) also had a discussion paper presented at the “Asia-Pacific Productivity Conference 2008” on the efficiency and productivity of 15 commercial banks in Vietnam (including out of state-owned commercial banks) does not lead to more efficient banking systems Hung (2008) is one of the authors who has studied the efficiency and productivity growth of Vietnamese commercial banks using both non-parametric (DEA) and Fethi and Pasiouras (2010) showed in their survey that the majority of empirical studies on bank performance using the DEA framework focus on banking technical efficiency, which is to some extent cost efficiency and there is a research gap in the studies examining the relationship between the profit/revenue with DEA The reason behind is the lack of good quality of the output price stochastic frontier (SFA) methods The results of efficiency analysis, productivity growth and impact assessment models are significant for the overall performance improvement of the banking sector It can be clearly seen that the studies on evaluating the effectiveness of the commercial banking system's operation are quite diverse, most of these studies use the non-parametric technical model DEA combined with some other methods for the most comprehensive assessment Minh et al (2008) estimated the performance of 32 commercial banks in Vietnam during the period 2001-2005 and ranked the performance of these banks to find the most efficient and the worst Efficiency is measured by the Data Envelope Analysis (DEA) model and super-efficient model through weak variable of Tone (2002), which uses the variable returns to scale (VRS) hypothesis They In Vietnam, DEA is a popular method in research to evaluate the performance of banks Nguyen (2007) conducted a study of 13 commercial banks in Vietnam in the period 2001-2003 This study focuses on the performance of 13 Vietnamese commercial banks in terms of efficient change, productivity increase and technological change As a result, the author finds that these banks are inefficient conducted a sensitive analysis in which the data of the banks is allowed to change simultaneously on different input and output subsets Furthermore, they used Spearman correlation and tau-b of Keldall to test the ranking based on Tone's weak variable and the Anderson-Peterson ranking method The results indicated that the banks' ratings are based on the Tone's method Tone's method and in both allocation (regulatory) and technical (management capacity), in which technical inefficiencies are more serious This study assumes that the average Anderson-Peterson method are highly correlated cost-effectiveness of their sample of banks is about 60.6%, and that the mean annual growth of the Malmquist index is negative, of –2.2% throughout the study period In contrast, total factor productivity was increased by 5.7% between 20012003, while total factor productivity in 2003 was 15.1% higher than in 2002 The improvement in total factor productivity is achieved mainly through higher technical efficiency and to some extent, through technological progress He also suggested that the technical efficiency of the Vietnamese banking system decreased from 0.912 in 2001 to 0.895 in 2002 banks in the period from 2007 to 2011 The research sample includes stateowned commercial banks and 16 joint-stock commercial banks, representing Vietnamese commercial banks The study identifies the factors affecting the performance of commercial banks by Data Envelopment Analysis (DEA) model to estimate the efficiency for each commercial bank The authors quantitative analysis by Tobit regression test Nguyen and De Borger (2008) found that the productivity of Vietnamese banks tends to decline over their (small) sampling periods, except for 2005 - although Hanh et al (2013) evaluated the business activities of 21 Vietnamese commercial Thuong (2017) applied Data Envelopment Analysis (DEA) method to evaluate the performance of 21 commercial banks in Thai Nguyen province in period 20112015 The results show that commercial banks are relatively efficient in using input resources with an average technical efficiency index of 94% Malmquist 10 index is also used to analyze the change in productivity of commercial banks over time The research shows that technological progress is the main cause of the change in the Malmquist Index The paper also uses Tobit model to estimate the impact of factors on the performance of commercial banks in Thai Nguyen province sample for the period 2007-2018 have an average technical efficiency of 86%, the main reason being the inappropriate use of input factors Thanh et al (2018) used the DEA method to evaluate the performance of the Vietnamese commercial banking system for the period 2011-2016 The author parametric technique emerges the Data Envelope Analysis method (DEA) The main difference of the two approaches is that non-parametric techniques not used secondary data collected from the annual reports of 23 joint stock commercial banks for the period 2011-2016 to estimate the operational efficiency of the banking system including technical efficiency in both two methods DEACRS (constant return to scale technical efficiency) and DEA-VRS (varies return to scale technical efficiency), Allocation Efficiency and overall operational efficiency (cost effectiveness) require a specific form of function for boundary estimation, compared to parametric techniques (Bhatia et al., 2018) SFA is the most common parametric technique but requires very strict assumptions about the efficient boundary form (Biener et al., 2016) On the other hand, DEA is the most frequently used nonparametric technique for efficient banking surveys in most countries The estimated results show that in the research period, the average technical efficiency of the system reaches 81.7%, in which the pure technical efficiency of The impact of some macro factors on the operation of commercial banks the bank contributes to the technical efficiency of the bank larger than the factors reflecting the size of the operation The cost efficiency index (CE) in the study has gradually increased over the 5-year period, from 52.84% in 2011 to 70.61% in 2016 Increased cost efficiency is assessed as a result of banks' allocation efficiency increasing over the years and growing faster than technical efficiency However, the full-period average CE index is 64.41%, which shows that although banks have increasingly minimized input costs to produce a unit of output, the use of resources inputs are not really efficient and therefore, this cost-effectiveness index is only average Thanh (2019) summarized methods of measuring banking performance Simultaneously, the application of non-parametric structural approach with Data Envelope Analysis method to evaluate the technical efficiency and cost effectiveness in the operation of Vietnamese commercial banks, period 20072018, with reference to the 9-month operating efficiency of 2019 The results show that the technical efficiency according to DEA of commercial banks is the lowest in 2008 at 80% and the highest in 2007 at 92% The average DEA technical efficiency in the period 2007-2018 is 86% Commercial banks in the research Thus, over the past decades, bank efficiency has been tested using either parametric or non-parametric efficient boundary techniques Among the parametric techniques, the SFA edge approach stands out, while the non- 1.1.2 Studies on the impact of factors on the performance of commercial banks Demirguc-Kunt and Huizinga (2000) and Bikker and Hu (2002) identified possible cyclical movements in bank profitability – the extent to which bank profitability is correlated with the business cycle Their findings suggest that such a correlation exists, even though the variables used are not a direct measure of the business cycle Demirguc-Kunt and Huizinga (2000) used annual growth rates of GDP and GNP per capita to determine such a relationship, while Bikker and Hu (2002) used several macroeconomic variables (such as GDP, unemployment, and interest rate differentials) In an important contribution, Eichengreen and Gibson (2001) analyzed the determinants of profitability of individual banks and specific markets for the period 1993-1998, using a panel analysis that is not limited to commercial banks Their study represents one of the few attempts to explain sustainable profitability in banking The empirical results show that the Greek banking sector is imperfectly competitive Variables such as concentration ratio and market share are found to have a positive but insignificant effect on profitability ratios The effect of size is non-linear, with returns initially increasing with scale and then decreasing Research development by Eichengreen and Gibson (2001) in Greek banks, Ch Spathis K Kosmidou M Doumpose (2002) used a multi-criteria approach to study profitability and performance among small 11 12 and large Greek banks, as well as the related performance and profitability factors to the size of the banks Therefore, hypothesis is that CAR has a significant positive effect on bank performance Andreas Dietrich Gabrielle (2014) used large banking datasets and the GMM estimation technique described by Arellano and Bover (1995) The article analyzes how bank characteristics, macroeconomic variables and industry- The impact of operational efficiency on bank performance specific factors affect the profitability (or profit margin, profitability) of 10,165 banks trade in 118 countries between 1998 and 2012 banks having better performance is associated with higher profits Saunders dan Schumacher (2000); Brock and Suarez (2000); Maudos and Guvera (2003); Mohammed Umar, Danjuma Maijama, Mohammad Adamu (2014) studied the effect of inflation on bank performance To accomplish this goal, the paper evaluates a number of theories and empirical works on the effect of inflation on the performance of the financial sector The article finds two different views Accordingly, inflation has an adverse effect on the operation of the banking industry and its spillover effect is harmful to the entire economy Inflation affects purchasing power and exchange rate regimes, opportunity costs of future currency holdings, worsens policy loans, disrupts business planning and equity holding Lieberg and Schwaiger (2006) demonstrated that operational efficiency has a significant positive effect on profitability Therefore, hypothesis is that operational efficiency has a significant negative impact on bank performance efficiency owned by banks While the opposite trend argues that inflation leads to increased bank performance, as long as banks can predict future inflation, and adjust interest rates to generate high revenues more than costs, resulting in higher profits and performance by adjusting interest rates The impact of CAR coefficient on bank performance Most of the studies on bank profitability, such as Short (1979), Bourke (1989), Molyneux and Thornton (1992), Demirguc-Kunt and Huizinga (2000) and Goddard et al (2004) used linear models to estimate the impact of the importance of different factors in explaining profitability In addition, the bank can provide large loans when there is enough collateral from the money that customers bring to the bank The higher the CAR, the better the bank's performance This is supported by Saeed (2014), Myktybekovich (2013), Obamuyi (2013), Abera (2012) Raharjo et al (2014) showed that CAR has a significant positive impact on private banks and no significant impact on state banks in Indonesia But Frederick (2014), Gul et al (2011), Dawood (2014) have shown that CAR has no significant effect on performance While Curak et al (2011) demonstrated that CAR has a significant negative effect on performance Almazari (2014), Dawood (2014), Obamuyi (2013), Abera (2012), Sastrosuwito & Suzuki (2011), Curak et al (2011), Pasiouras & Kosmidou (2007) found that Impact of NIM on bank performance The bank's advantage will be determined by the interest income earned Management capacity of bank executive board in controlling the amount of interest expenses and assets management will affect the bank's profitability Saunders and Schumacher (2000); Brock and Suarez (2000) demonstrated that net profit margin has a positive effect on profitability While Raharjo et al (2014) showed that net profit margin has no significant effect on state-owned banks but has a significant negative effect on private banks in India Therefore, hypothesis is that NIM has a significant positive effect on bank performance Impact of NPL on bank performance Nonperforming loan (NPL) reflects the risk ability of the bank in recovering loans of the debtor in difficulty Frederick (2014) demonstrated that bad debt has a significant negative effect on profitability This is supported by Petria et al (2015), Ongore and Kusa (2013); Abera (2012), Olweny & Shipo (2011), Sufian & Chong (2010), Kosmidou (2008), who found that asset quality has a significant negative impact on bank performance measured by ROA But Duraj & Moci (2015) demonstrated that bad debt does not significantly affect profitability While Buchory (2015) demonstrated that bad debt has a significant positive effect on bank performance Therefore, hypothesis is that bad debt has a significant negative impact on bank performance Impact of LDR on bank performance 13 The loan-to-deposit ratio (LDR) is used to evaluate a bank's liquidity by comparing the bank's total loan amount with the bank's total deposit during the same period With lending from deposit, the bank's income (ROA) will increase Rengasamy (2014), Saeed (2014), Curak et al (2011), Gul et al (2011), Brock and Suarez (2006) demonstrated that the loan-to-deposit ratio has a significant positive effect on profitability But Petria et al (2015) demonstrated that the loan-to-deposit ratio has a significant negative effect on bank performance 1.2 Research gap With the studies presented in the literature review, the author find that there are some "gaps" in the problem of studying the performance of banks Therefore, in this thesis, the author mainly uses quantitative methods and focuses on the theory of input and output selection of banks to evaluate the performance as well as the impact of a number of macro factors on the performance of Vietnamese commercial banks At the same time, the research period is carried out from 2008 to 2020 14 2.1.2 Characteristics of commercial banks * Regarding financial structure and assets: Commercial bank is a type of large-scale enterprise in terms of equity, total assets and organizational structure with very high debt ratio and special financial structure * Commercial banks' operations always contain many risks and are subject to strict control and supervision by the legal system From the perspective of corporate finance, when a business has a high debt ratio, it will lead to high operational risk Besides, the main source of debt capital of commercial banks is deposits with the characteristic that they can be withdrawn before maturity with an indeterminate amount For these reasons, commercial banking is more risky than other businesses Commercial banks play a role in credit creation, which leads to an increase in production, employment and consumer spending, thereby boosting the economy Therefore, the activities of commercial banks need to be strictly regulated by central banks * Connectivity and stability of the banking system CHAPTER 2: THEORY ON OPERATION EFFICIENCY AND ASSESSMENT OF THE IMPACTS OF MASTER FACTORS ON THE OPERATIONAL EFFICIENCY OF COMMERCIAL BANKS The banking system is highly interdependent More than any other business in the economy, risks in banking activities are pervasive very quickly Acting as a system of closely linked chains, even the smallest and weakest commercial bank has difficulties in operation, especially liquidity, which can lead to the risk of of 2.1 Commercial banking overview system failure 2.1.1 The concept of commercial bank Historically, the process of forming and perfecting the banking system has created commercial banks known for currency trading activities function In the research framework of the thesis, the concept of commercial bank is selected as "Commercial bank is an organization doing business in the monetary field whose main and regular activities are receiving deposits, providing credit and providing payment services in the economy.” Currency trading activities of commercial banks are expressed through exchange rate differences; interest rate difference; capital-asset term conversion; capitalasset risk conversion; providing payment services, and capital accumulation 16 15 2.1.3 Basic activities of commercial banks the efficiency of the banking system This is the difference of this study with domestic and international previous studies on the efficiency and productivity of banks Commercial Bank Activities 2.2.1 Theoretical foundation of bank productivity measurement including Partial Productivity and Total Factor Productivity Fund Raising Activities Fund Usage Service Activities Raise equity Cash Activities Transfer & Payment Services Fund deposits Lending Activities Commision Borrowing activities Investment Activities Correspondant agency activities 2.2.2 Theoretical basis for measuring the performance of commercial banks Metrics such as return on assets (ROA) or return on equity (ROE) are commonly used to evaluate the efficiency of banks, however, such indicators only give a oneway and incomplete efficiency picture, and different indicators can give conflicting results As a result, more sophisticated methods are used to provide a meaningful measure of overall performance, as well as performance targets indicate in which direction management can help the bank improve efficiency Data Envelopment Analysis (DEA) can simultaneously consider multiple factors that influence performance and therefore, it will greatly enhance the depth and value of financial analysis in a given industry 2.2.3 Methods to evaluate commercial bank performance Other activites … Figure 2.1: Activities of commercial banks 2.2 Operational efficiency of commercial banks When it comes to the performance of an entity, people often compare costs (inputs) to generate incomes (outputs), but the most difficult thing in the study of productivity and efficiency The result of banking is the input and output choices of banks Unlike other units of production and services, the inputs and outputs of banks and financial intermediaries are the most difficult concept to define Although there are many theories about input and output selection, economists have not been able to agree so far The objectives of the thesis include: (i) reviewing all the concepts in the output of the banking industry and doing empirical research on bank productivity, (ii) discussing the productivity and efficiency of the banking system and providing an effective productivity estimation model and (iii) considering the impact of FDI, GDP and inflation on To evaluate the efficiency of banks, the thesis applies a non-parametric approach 2.3 FDI, GDP, CPI and its effects on the performance of commercial banks To serve the purpose of analyzing the impact of macro factors such as FDI, GDP or CPI on the performance of commercial banks, the author chooses the DEA model to evaluate the efficiency and Tobit model to evaluate the effect of macro factors on bank performance in the study 17 18 CHAPTER 3: DESCRIPTION AND SELECTION OF MODELS FOR EFFECTIVE MEASUREMENT CHAPTER 4: RESULTS FROM MEASUREMENT OF OPERATIONAL EFFICIENCY AND ASSESSMENT OF THE IMPACTS OF MARKET FACTORS ON OPERATION EFFICIENCY OF COMMERCIAL BANKS 3.1 Name of selected banks for evaluation 4.1 Results of evaluating the performance of commercial banks: (CTG) Vietnam Joint Stock Commercial Bank for Industry and Trade (VPB) Joint Stock Commercial Bank for Foreign Trade of Vietnam (TCB) Vietnam Technological and Commercial Joint Stock Bank (BIDV) Joint Stock Commercial Bank for Investment and Development of Vietnam (MBB) Military Commercial Joint Stock Bank (VBP) Vietnam Prosperity Joint‑Stock Commercial Bank (SCB) Sai Gon Joint Stock Commercial Bank (STB) Sai Gon Thuong Tin Commercial Joint Stock Bank (ACB) Asia Commercial Joint Stock Bank 10 (EIB) Vietnam Export Import Bank 11 (SHB) SaiGon – Hanoi Commercial Joint Stock Bank 12 (MSB) Vietnam Maritime Commercial Join Stock Bank 13 (HDB) Ho Chi Minh City Development Joint Stock Commercial Bank 14 (TPB) Tiên Phong Commercial Joint Stock Bank 15 (VIB) Vietnam International Commercial Joint Stock Bank 16 (SEAB) SouthEast Asia Commercial Joint Stock Bank 17 (OCB) Orient Commercial Joint Stock Bank 18 (ABB) An Binh Commercial Joint Stock Bank 19 (NAB) Nam A Commercial Joint Stock Bank 20 (KLB) Kien Long Commercial Joint Stock Bank 21 (SGB) Saigon Bank for Industry & Trade 22 (NVB) National Citizen Commercial Joint Stock Bank 23 (PGP) Petrolimex Group Commercial Joint Stock Bank 3.2 Selected models include: DEA, Tobit In addition to the DEA and Tobit models, the thesis uses an advanced decomposition of the Malmquist index developed in Fare et al (1994) Statistics table summarizes the performance of banks over a number of years (2008, 2011 and 2013) 2008 2011 2013 Crste Vrste Scale crste Vrste scale Crste Vrste Scale Mean 0.84 0.93 0.89 0.90 0.94 0.96 0.91 0.94 0.97 Median 0.95 1.00 1.00 0.98 1.00 0.99 0.95 1.00 0.99 Maximum 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00 Minimum 0.50 0.62 0.60 0.65 0.71 0.79 0.73 0.75 0.77 Std Dev 0.19 0.12 0.14 0.12 0.09 0.06 0.10 0.08 0.06 Skewness -0.66 -1.71 -0.92 -0.83 -1.53 -1.41 -0.65 -1.12 -2.22 Kurtosis 1.83 4.45 2.47 2.27 4.57 3.99 1.91 2.93 7.61 Jarque-Bera 2.98 13.29 3.48 3.13 11.39 8.57 2.78 4.81 39.18 Probability 0.23 0.00 0.18 0.21 0.00 0.01 0.25 0.09 0.00 Sum 19.27 21.46 20.53 20.81 21.64 22.07 20.91 21.64 22.21 0.79 0.34 0.41 0.31 0.17 0.08 0.23 0.16 0.07 23.00 23.00 23.00 23.00 23.00 23.00 23.00 23.00 23.00 Sum Sq Dev Observation s Source: Data analysis collected from annual reports of 23 selected banks In which: crste: technical efficiency; vrste: net efficiency; scale: scale efficiency 19 20 Statistics table summarizes the performance of banks over a number of years (2018, 2019 and 2020) Mean 2018 2019 Crste Vrste scale Crste vrste scale crste vrste Scale 0.84 0.89 0.96 0.84 1.00 0.84 0.89 0.95 2020 0.93 Median 0.81 0.89 0.98 0.93 0.98 1.00 0.84 1.00 0.84 Maximum 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00 1.00 Minimum 0.61 0.68 0.72 0.63 0.70 0.64 0.60 1.00 0.60 Std Dev 0.13 0.11 0.08 0.12 0.09 0.09 0.15 0.00 0.15 Skewness -0.02 -0.38 -1.58 -0.70 -0.99 -2.71 -0.14 NA -0.14 Kurtosis 1.59 4.81 2.21 2.84 9.41 1.52 NA 1.52 1.78 Jarque-Bera 1.90 1.97 12.72 2.49 3.78 67.53 2.19 NA 2.19 Probability 0.39 0.37 0.00 0.15 0.00 NA 0.34 Sum 19.32 20.41 21.75 20.49 21.35 22.08 19.38 23.00 19.38 Sum Sq Dev 0.40 Observations 0.28 0.13 0.29 0.33 0.18 0.18 0.34 0.46 0.00 Chart Efficiency of crste, vrste and scale of banks from 2008-2020 0.46 23.00 23.00 23.00 23.00 23.00 23.00 23.00 23.00 23.00 Source: Data analysis collected from annual reports of 23 selected banks Banks' Technical Efficiency Allocation Table through the years 2008, 2010 and 2020 2008 2010 CRSTE8 Mean Std Dev Obs [0.5, 0.6) 0.54 0.04 [0.6, 0.7) 0.67 0.03 [0.7,0.8) Mean Std Dev Source: Author estimation from data of 23 banks collected from annual reports In which: Crste8, crste8, crste10, crste11….crste20: Technical efficiency of banks in 2008, 2009, 2010, 2011… 2020 This chart shows that the technical performance of banks fluctuates greatly over the period studied 4.2 The results of the assessment of influential macro factors: 2020 Obs Mean Std Dev Obs 0.60 NA 0.65 0.02 0.77 0.02 0.75 0.02 [0.8, 0.9) 0.82 0.02 0.84 0.03 0.85 0.01 [0.9, 1) 0.96 0.02 0.95 0.03 0.95 0.05 [1, 1.1) 1.00 0.00 10 1.00 0.00 10 1.00 0.00 All 0.84 0.19 23 0.93 0.09 23 0.84 0.15 23 Source: Author estimates from data of 23 banks collected from annual reports LnFDI gGDP Inflation -0.265*** -0.3622*** -0.1513*** (-4.3) (-5.35) (-2.97) 0.0046 0.0512*** -0.0059 (0.27) (2.89) (-0.41) 0.0010 0.0064*** -0.0013 (0.6) (3.49) (-0.93) Thus, FDI has a negative effect on bank performance in three models; GDP and inflation have a positive effect on bank performance in one model Then the analysis of the Malmquist index (which is calculated by the DEA model) using TFP decomposition model 21 CHAPTER 5: POLICY RECOMMENDATIONS 5.1 The assumption base of the recommendation from the model results From the results of the model, there are some outstanding points drawn as follows: Firstly, the commercial banks in the research sample of the thesis (23 banks) have increased operational efficiency over time, at an increasing rate Except for the period 2008-2010, there was a slowdown before a rapid recovery in the following period Secondly, the impact of macro factors such as FDI, GDP and inflation is not in the same direction While the impact of FDI is negative, the impact of GDP and inflation is almost positive in the whole study period 5.2 Recommendations to commercial banks For commercial banks, there are four groups of recommendations mentioned in the thesis with the desire that banks need to improve their autonomy, proactively reform and rearrange their own organizations to achieve better performance including: (i) recommendations on creating and using capital efficiently Banks can choose ways such as issuing more shares, convertible bonds to increase equity; issuing medium and long-term bonds and certificates of deposit; innovating and diversifying forms of deposit mobilization; expanding demand deposits; setting competitive interest rates (ii) recommendations on improving risk management capacity including improving credit approval process; 22 the bank and mergers and acquisitions activities to further enhance its regulatory role In order to have the most effective restructuring, banks must develop operational roadmaps and development strategies so that when the restructuring is complete, the health of the banks' operational aspects must be stronger than before the restructuring When carrying out restructuring, the market leading role of the State Bank must be maintained and ensured to contribute to stabilizing macroeconomic indicators (growth, inflation) The State Bank must be proactive in formulating policies, creating a common and equal playing field for banks In addition, the SBV needs to ensure Basel standards and the supervisory role of regulators In addition to Basel standards, an important and indispensable part in the banking restructuring process is the monitoring, supervision and inspection of the competent authorities in order to promote the process of restructuring the system of commercial banks to take place on schedule with high efficiency Moreover, the SBV needs to focus on improving the bank's governance efficiency and technological level Governance is always considered a weak stage in the stages of Vietnamese commercial banks today This is the most important step in creating the right orientations and leading financial institutions to operate most effectively 5.4 Recommendations to the Government controlling borrower information; perfecting the risk management apparatus according to Basel II standards (iii) recommendations on labor such as Based on the results from the empirical model, the author also makes some recommendations related to macro factors: FDI, GDP, inflation as follows: improving the quality of human resources; developing a reasonable recruitment strategy and having a set of standards according to positions and titles and appropriate human resource policies for employees; (iv) recommendations on controlling costs, including that banks need to balance between interest expenses and interest income; digitize many banking services and products; cut operating costs and provision costs It is necessary to adjust FDI attraction to turn negative impacts into positive impacts on commercial banks' operations In addition to recognizing the foreigninvested sector as an integral part of the economy, the implementation of commitments on integration and adjustment of laws in accordance with WTO rules and principles will positive influence on attracting FDI into Vietnam The policy to attract foreign direct investment should therefore take into account the context of globalization and should be built on the basis of clearly defining medium and long-term goals in order to have integrated and effective solutions forward and support each other Foreign investment policy in the coming period 5.3 Recommendations to the SBV With the role of market regulator, the SBV needs to be cautious in continuing to restructure the banking system through measures such as internal restructuring of 23 needs to focus on attracting investment capital, but at the same time, it is necessary to emphasize more on the positive spillover effects of FDI Macro-economic policies such as monetary and fiscal policies need to be more appropriate to ensure growth, maintain a stable inflation rate, and actively support the operation of commercial banks LIST OF WORKS PUBLISHED BY THE AUTHOR Ngo Khanh Huyen (2013), ‘Measuring efficiency operation of Vietnam bank for Agriculture & Rural development branches’, Hội thảo Quốc tế: Thành tựu vấn đề đặt ra, tháng 11/2013, tập 1, NXB Thống Kê - ĐH Thương Mại Ngô Khánh Huyền (2014), ‘Xác định hiệu quy mô chi nhánh ngân hàng Agribank CONCLUSION Through the research results, the thesis has new academic and theoretical contributions: focusing on the theory of input and output selection and determining the performance of commercial banks in the period from 2008 -2020, and at the same time evaluate the negative impact of FDI and the positive impact of GDP and CPI on the performance of Vietnamese commercial banks However, the thesis still has some limitations: Firstly, later studies can add new factors to evaluate the combined impact on the performance of Vietnamese commercial banks such as interest interest rates, exchange rate fluctuations Secondly, it is about limitation in research sample Due to the lack of reports issued by SBV for 2020, many banks were late in announcing financial statements even it was end of April/2021 In some financial statements in 2020, there is a lack of data for the analytical model These limitations will be maximally overcome in the next direction of in-depth research such as using other quantitative models to reassess the problem associated with a larger sample of the study In addition, the thesis has practical contributions and recommendations such as: proposing a research model and quantifying the influence of some macro factors on the performance of commercial banks in Vietnam At the same time, the research results of the thesis contribute recommendations to commercial banks, the SBV and the Government to better improve banking activities Although the author has tried to research and find information, the contents of the thesis are hard to avoid shortcomings and limitations The author is looking forward to receiving suggestions from experts to improve the thesis Thank you very much! Việt Nam’, Tạp chí Kinh tế phát triển, số 201 tháng 3/2014, ISSN: 1859-0012 Ngô Khánh Huyền (2014), “Mối quan hệ hiệu hoạt động quy mô chi nhánh ngân hàng Agribank Việt Nam”, Tạp chí Kinh tế phát triển, số 207 tháng 9/2014 ISSN: 1859-0012 Ngô Khánh Huyền (2015), “Tác động FDI đến suất doanh nghiệp thuộc ngành dịch vụ Việt Nam: minh chứng từ liệu giai đoạn 2002-2012”, Tạp chí thơng tin dự báo KT-XH số 112, tháng 4/2015 Ngô Khánh Huyền (2015), “Tác động FDI số nhân tố vĩ mô đến hiệu phối hợp hệ thống ngân hàng thương mại Việt Nam”, Những vấn đề Kinh tế Chính trị giới tháng 11/2015 (235) ISSN: 0868-2984 Ngô Khánh Huyền (2016), ‘Tác động FDI đến hiệu ngân hàng tác động cách tiếp cận lựa chọn đầu khác nhau”, Kỷ yếu Hội thảo khoa học trường ĐH Thăng Long: Tác động đầu tư trực tiếp nước đến tăng trưởng suất đầu hiệu kinh tế Việt Nam theo tỉnh., tháng 4/2016 Ngô Khánh Huyền (2019), ‘Tác động FDI đến hiệu hoạt động ngân hàng từ cách tiếp cận khác nhau’, Tạp chí Nghiên cứu kinh tế, số 7(494) 7/2019 ISSN: 0866 7489 Ngô Khánh Huyền (2021), “Evaluating the Effectiveness of Internal Training of Commercial Banks in Vietnam”, International Journal of Education and Knowledge Management (IJEKM), DOI: https://doi.org/10.37227/ijekm-2021-05-929, ISSN: 26164698 ... Tạp chí thơng tin dự báo KT-XH số 112, tháng 4/2015 Ngô Khánh Huyền (2015), ? ?Tác động FDI số nhân tố vĩ mô đến hiệu phối hợp hệ thống ngân hàng thương mại Việt Nam? ??, Những vấn đề Kinh tế Chính... (2016), ? ?Tác động FDI đến hiệu ngân hàng tác động cách tiếp cận lựa chọn đầu khác nhau”, Kỷ yếu Hội thảo khoa học trường ĐH Thăng Long: Tác động đầu tư trực tiếp nước đến tăng trưởng suất đầu hiệu. .. đầu hiệu kinh tế Việt Nam theo tỉnh., tháng 4/2016 Ngô Khánh Huyền (2019), ? ?Tác động FDI đến hiệu hoạt động ngân hàng từ cách tiếp cận khác nhau’, Tạp chí Nghiên cứu kinh tế, số 7(494) 7/2019
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