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PHAM THANH DAT
LIQUIDITY RISK MANAGEMENT OF COMMERCIAL BANKS OF THE STATE BANK OF VIETNAM
MAJOR: BANKING FINANCE ECONOMICS Code: 62.34.02.01
DOCTORAL THESIS IN ECONOMICS
Scientific supervisor: Associate Professor, Dr. Nguyen Thi Bat
Hanoi - 2017
COMMITMENT
I have read and understand the violations of academic integrity. I declare on my personal honor that this research was conducted by me and does not violate the requirements of academic integrity.
Hanoi, date month year 2017
THESIS AUTHOR
Pham Thanh Dat
INDEX
COMMITMENT TABLE OF CONTENTS
LIST OF ABBREVIATIONS LIST OF TABLES
LIST OF CHARTS
LIST OF DIAGRAMS
CHAPTER 1: INTRODUCTION TO THE STUDY 1
1.1 Urgency of the thesis topic 1
1.2 Research objective 2
1.3 Scope and subjects of research 3
1.4 Research Overview 4
1.4.1 Research situation abroad 4
1.4.2 Research situation in the country 11
1.4.3 Differences in the research of the researcher compared to previous studies 13
1.5 Research methods 14
1.6 Contributions of Thesis 15
1.6.1 Theoretical 15
1.6.2 In practice 16
CHAPTER 2 GENERAL PRINCIPLES OF LIQUIDITY RISK MANAGEMENT OF COMMERCIAL BANKS BY THE CENTRAL BANK 17
2.1. Liquidity risk of commercial banks 17
2.1.1. Views on liquidity risk of commercial banks 17
2.1.2. Causes of liquidity risk of commercial banks 20
2.1.3. Impact of RRTK NHTM 24
2.2 Central bank's liquidity risk management of commercial banks 26
2.2.1 Central bank and central bank functions 26
2.2.2. Central Bank's management of commercial bank liquidity risk 35
2.3. Factors affecting the liquidity risk management activities of commercial banks of the State Bank 49
2.3.1 Objective factors 49
2.3.2 Subjective factors 51
2.4. Experience in managing commercial bank liquidity risk of central banks in 53 countries
2.4.1. Experience of the People's Bank of China 53
2.4.2. Experience of the US Federal Reserve 56
2.4.3. Experience of the Reserve Bank of Australia 61
2.4.4. Experience of the European Central Bank 63
CHAPTER 2 CONCLUSION 69
CHAPTER 3 CURRENT STATE OF LIQUIDITY RISK MANAGEMENT OF COMMERCIAL BANKS OF THE STATE BANK OF VIETNAM 70
3.1. Overview of Vietnam's commercial banking system 70
3.1.1. Structure of Vietnam's commercial banking system 70
3.1.2. Charter capital 71
3.1.3. Business performance 72
3.1.4. Risks in the Vietnamese commercial banking system 74
3.2. Current status of liquidity risk of Vietnamese commercial banks 78
3.2.1. Current status of liquidity risk of Vietnamese commercial banks 78
3.2.2 Causes of RRTK and factors increasing the level of RRTK of Vietnamese commercial banks in recent times 85
3.3. Current status of liquidity risk management of commercial banks by the State Bank of Vietnam 87
3.3.1. Overview of the State Bank of Vietnam 87
3.3.2. Current status of liquidity risk management of commercial banks by the State Bank of Vietnam 89
3.3.3 Evaluation of the risk management activities of the commercial banking system of the State Bank of Vietnam 104
CHAPTER 3 CONCLUSION 109
CHAPTER 4 SOLUTIONS TO STRENGTHEN LIQUIDITY RISK MANAGEMENT OF COMMERCIAL BANKS BY THE STATE OF VIETNAM 110
4.1. Orientation of monetary policy management of the State Bank of Vietnam in the coming time 110
4.2. Solutions to strengthen the management of commercial bank risk of the State Bank of Vietnam 111
4.2.1. Completing standard regulations on liquidity for the banking system 111
4.2.2. The State Bank needs to quantify the impact of factors on commercial banks' liquidity risk to
from which to have appropriate policies 112
4.2.3. Measuring the current status of RRTK in the commercial banking system using appropriate methods 117
4.2.4. Establishing a suitable organizational model and innovating liquidity risk management 119
4.2.5. Implement flexible and adequate monetary policy 123
4.2.6. Other solutions 123
4.3. Some recommendations 131
4.3.1. Recommendations to the government 131
4.3.2. Recommendations to the Ministry of Finance 134
CHAPTER 4 CONCLUSION 137
CONCLUSION 138
LIST OF AUTHOR'S RESEARCH WORKS RELATED TO THE THESIS 140
LIST OF REFERENCES 141
APPENDIX 144
LIST OF ABBREVIATIONS
Commercial Bank: Commercial Bank Joint Stock Commercial Bank: Joint Stock Commercial Bank Central Bank: Central Bank
SBV: State Bank of Vietnam CSTT: Monetary policy TCTD: Credit institution TSC: Assets
TSN : Liabilities
TTTC: Financial Market LS: Liquidity Supply
LD : Liquidity Demand
NLP: Net liquidity status State budget: State budget
OMO: Open Market Operations CAR: Minimum Capital Adequacy Ratio BQLNH: Interbank Average GDP: Gross Domestic Product VND: Vietnamese Dong
USD: US Dollar GTCG: Valuable Papers
ATM : Automatic Teller Machine
CIC : Credit Information Center BHTGVN : Deposit Insurance of Vietnam TPCP : Government bonds
FED: Federal Reserve
FOMC : Federal Open Market Committee ECB : European Central Bank
PBOC : People's Bank of China CBRC : China Banking Regulatory Commission WTO : World Trade Organization
KBNN: State Treasury LSCK: Discount rate
EONIA: Average Euro Overnight Interest Rate Index TT: Circular
Decision: Decision
LNH: Interbank
VAMC: Vietnam Asset Management Company Limited
DTBB : Required Reserve TTTT : Money Market LLC : Limited Liability WB : World Bank
IMF : International Monetary Fund
ADB : Asian Development Bank M&A : Mergers and Acquisitions ASEAN : Association of Southeast Asian Nations
Table 2.1: Summary of previous studies on bank risk measurement indicators ..43 Table 2.2: PBOC's quantitative indicators for rating commercial banks 55
Table 3.1: Number and types of commercial banks in Vietnam 70
Table 3.2: CAR ratio of Vietnam's commercial banking system 2015 81
Table 3.3: CAR ratio of some Vietnamese commercial banks 82
Table 3.4: Cash position index of banks 83
Table 3.5: Liquidity index of banks 84
Table 3.6: M&A activities in the Vietnamese commercial banking system in the period 2011-2015. 100 Table 3.7: Frequency, volume of winning bids and transaction methods of open market operations in the period 2011-2015. 101
Table 3.8: Minimum capital adequacy ratio according to Basel III standards 107
Table 4.1 Example of maturity ladder based on contract at commercial bank system 117
Table 4.2: Comparison of regulations on RRTK management at central banks of some Asian countries 121
Chart 3.1: Charter capital of the entire commercial banking system over the years 71
Chart 3.2: Charter capital scale of some commercial banks in the ASEAN region in 2014 ...72 Chart 3.3: Capital mobilization growth rate of the Vietnamese commercial banking system 73
Chart 3.4: Credit growth rate of Vietnam's commercial banking system 74
Chart 3.5: Bad debt ratio of Vietnam's commercial banking system over the years 75
Chart 3.6: CAR ratio of Vietnam's commercial banking system over the 1980s
Chart 3.7: CAR ratio according to Circular 36 of Vietnamese commercial banks in 2015 80
Chart 3.8. Value of refinancing loans to credit institutions of the State Bank of Vietnam over the years 95
Chart 3.9: M2 and GDP growth in Vietnam over the years 96
Chart 3.10: Developments in operating interest rates from 2011-2015 103
LIST OF DIAGRAMS
Diagram 2.1: Liquidity risk management process 41
Figure 2.2: Classical triangle in banking industry 46
Figure 2.3: Structure of China's financial management system 54
Diagram 3.1: Organizational structure of the State Bank of Vietnam 88