MINISTRY OF EDUCATION AND TRAINING STATE BANK OF VIETNAM BANKING UNIVERSITY OF HO CHI MINH CITY
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MAI THI PHUONG THUY
THE IMPACT OF MONETARY POLICY ON INSOLUTION RISK IN COUNTRIES
VIETNAM COMMERCIAL BANK
DOCTORAL THESIS IN ECONOMICS
HO CHI MINH CITY - 2019
MINISTRY OF EDUCATION AND TRAINING STATE BANK OF VIETNAM BANKING UNIVERSITY OF HO CHI MINH CITY
MAI THI PHUONG THUY
THE IMPACT OF MONETARY POLICY ON INSOLUTION RISK IN COUNTRIES
VIETNAM COMMERCIAL BANK
DOCTORAL THESIS IN ECONOMICS
Major: Finance - Banking Code: 9340201
Scientific supervisor: Associate Professor, Dr. Tran Hoang Ngan
HO CHI MINH CITY - 2019
INDEX
COVER PAGE TABLE OF CONTENTS
ACKNOWLEDGEMENT ACKNOWLEDGEMENT
LIST OF ABBREVIATIONS LIST OF TABLES AND FIGURES SUMMARY
CHAPTER 1. GENERAL INTRODUCTION 1
1.1. Reasons for choosing topic 1
1.2. Research objective 3
1.3. Research question 4
1.4. Research object and scope 5
1.5. Research data 5
1.6. Research method 6
1.7. Research significance 8
1.8. Research structure 11
CHAPTER 2: THEORETICAL BASIS AND EMPIRICAL EVIDENCE ON THE IMPACT OF MONETARY POLICY ON INsolvency RISK OF COMMERCIAL BANKS 12
2.1. Theory of central bank monetary policy 12
2.1.1. Concept of monetary policy 12
2.1.2. Objectives of monetary policy 13
2.1.2.1 Ultimate goal 14
2.1.2.2 Intermediate goal 18
2.1.2.3 Operational objectives 20
2.1.3. Monetary policy tools 21
2.1.4. Transmission channels of monetary policy 22
2.1.5. Effectiveness of monetary policy 25
2.2. Theory of insolvency risk at commercial banks 30
2.2.1. Concept of insolvency risk at commercial banks 30
2.2.2. Measuring the risk of insolvency at commercial banks 31
2.2.3. Impact of insolvency risk 34
2.3. Impact of monetary policy on the risk of insolvency of commercial banks
................................................................ ................................................................ ..............................35
2.3.1 Expansionary monetary policy reduces the risk of commercial bank insolvency
................................................................ ................................................................ ..............................36
2.3.2 Expansionary monetary policy increases the risk of insolvency of commercial banks
................................................................ ................................................................ ..............................38
2.4 Institutions and the impact of institutional quality on the impact of monetary policy on the risk of insolvency of commercial banks 40
2.4.1 Institutions and institutional quality 40
2.4.2 Empirical study on the impact of institutional quality on the impact of monetary policy on the risk of insolvency of commercial banks 44
2.5. Summary of related studies 46
2.6. Discussion of previous studies and research gaps: 62
CHAPTER 2 CONCLUSION 65
CHAPTER 3: RESEARCH METHODS AND DATA 66
3.1. Research method 66
3.1.1. Developing research hypothesis 66
3.1.2. Research model 72
3.1.3. Estimation method 80
3.2. Research data 82
CHAPTER 3 CONCLUSION 84
CHAPTER 4: RESEARCH RESULTS AND DISCUSSION 85
4.1. Current status of Vietnam's macroeconomic situation in the period 2008-2017 85
4.1.1. Economic growth rate 85
4.1.2. Inflation situation 88
4.1.3. Quality of Vietnamese institutions in the period 2008-2017 92
4.2. Current status of monetary policy management of the State Bank of Vietnam in the period 2008-2017 94
4.2.1 Objectives of the monetary policy of the State Bank of Vietnam in the period 2008-2017.94
4.2.2 Current status of policy instruments of the State Bank of Vietnam in the period 2008-2017 96
4.3 Current status of insolvency risk of Vietnamese commercial banks 103
4.4. Results of empirical research on the impact of monetary policy on the risk of insolvency of Vietnamese commercial banks 108
4.4.1. Descriptive statistics of the research sample and correlations between variables 108
4.4.2. Research results on the impact of monetary policy through rediscount rate on the risk of insolvency of Vietnamese commercial banks 112
4.4.3. Research results on the impact of monetary policy through refinancing interest rates on the risk of insolvency of Vietnamese commercial banks 115
4.4.4. Research results on the impact of monetary policy through credit growth on the risk of insolvency of Vietnamese commercial banks 117
4.4.5. Research results on the impact of monetary policy through foreign exchange reserve growth on the risk of insolvency of Vietnamese commercial banks 119
4.4.6. Research results on the impact of monetary policy through M2 money supply growth on the risk of insolvency of Vietnamese commercial banks 122
4.5. Summary of research results on the impact of monetary policy on the risk of insolvency of Vietnamese commercial banks 124
CHAPTER 4 CONCLUSION 127
CHAPTER 5: CONCLUSION AND POLICY IMPLICATIONS 128
5.1 Conclusion 128
5.2 Policy implications for monetary policy to minimize risks 129
5.2.1 Improving the institutional quality of Vietnam 129
5.2.2 Improving the effectiveness of monetary policy management for the State Bank of Vietnam
................................................................ ..................................
5.3. Limitations and future research directions 133
CONCLUSION 135
REFERENCES
APPENDIX 1: DESCRIPTIVE STATISTICS TABLE OF RESEARCH VARIABLES APPENDIX 2: CORRELATION COEFFICIENT MATRIX
APPENDIX 3: MODEL ESTIMATION RESULTS
COMMITMENT
My name is: Mai Thi Phuong Thuy; MSHV:
Date of birth: September 15, 1983 in: Thanh Hoa Hometown: Nga Thien commune, Nga Son district, Thanh Hoa province
Currently working at: Van Lang University
Student of the 20th course of Banking University of Ho Chi Minh City, Major: Banking and Finance, Code: 934.02.01
Research topic: Impact of monetary policy on insolvency risk at Vietnamese Commercial Banks
Below, I hereby declare:
1. This is a thesis that I directly conducted under the guidance of Associate Professor Dr. Tran Hoang Ngan.
2. This work does not overlap with any other research published in Vietnam.
3. The data and information in the study are completely accurate, honest and objective, and have been confirmed and approved by the research facility.
I take full legal responsibility for these commitments.
Ho Chi Minh City date month year 2019
PhD student
Mai Thi Phuong Thuy
ACKNOWLEDGEMENTS
First of all, I would like to express my respect and deep gratitude to Associate Professor Dr. Tran Hoang Ngan for his guidance, encouragement and help during the research and writing of this thesis. His comments and assessments, especially his suggestions on how to solve problems throughout the research process, are truly invaluable lessons for me not only in the process of writing the thesis but also in my future professional research activities. He always encouraged and helped me when I felt most difficult and helped me overcome all obstacles.
I would like to express my sincere thanks to the teachers in the council at all levels. You have helped me orient and correct my research topic. I would like to sincerely thank the faculty of the Faculty of Finance and Banking, Banking University of Ho Chi Minh City, the teachers who have helped, commented and created the best conditions for me in the process of researching and writing my thesis. I would like to thank the Board of Directors and the faculty of the Faculty of Finance - Accounting, Van Lang University, where I am working, and my colleagues who have shared, encouraged and helped me to complete this thesis.
PhD student
Mai Thi Phuong Thuy