Nợ xấu của hệ thống Ngân hàng thương mại Việt Nam

Pro>chi2

0,000	0,000
Hansen test	0,399	0,527
AR(1)	0,008	0,036
AR(2)	0,471	0,510

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Source: own estimations

***, **, * * and ** denote significance at the 10 %, 5 %and 1% levels, respectively5% và 10%. Standard errors in parentheses

4.4.3. Estimation results for impact of non-performing loans on bank loan growth

Table 4.7 exhibits the empirical results for non-performing loans and banks lending behavior (LGR). As regards NPLs variables, results show, in both cases, a negative impact on bank lending behavior with 1% level.

Table 4.7. GMM estimation results for impact of NPLs on loan growth

Dependent variable

LGR

Model 1

Model 2

L.LGR

0,1829***

(0,0267)

0,1654***

(0,0018)

Bank-specific characteristics

NPL

-0,2116***

(0,1143)

-0,2383***

(0,1129)

ROA

0,0490***

(0,1080)

0,0515***

(0,1301)

0,0012***

(0,0235)

0,0013***

(0,0284)

ETA

0,5244***

(0,1506)

0,0533***

(0,1755)

-0,2616***

(0,7638)

-0,0050***

(0,3612)

LDR

0,0253*

(0,1353)

0,004***

(0,1264)

OWN1

-0,1241**

(0,1730)

OWN2

0,1433*

(0,3352)

OWN3

0,1384*

(0,2770)

Industry-specific

HHI

0,1192***

(0,4272)

CR4

0,2210***

(0,1612)

Macroeconomic variables

GDP

0,0390***

(0,4286)

0,0008***

(0,4063)

INF

-0,0021***

(0,3479)

-0,0035***

(0,2370)

LnER

-0,0150*** (0,6077)	-0,0173*** (0,0481)
CONS.	-0,0221*** (0,5611)	-0,4953*** (0,4350)
Obs.	323	323
No. of banks	34	34
No. of instruments	21	27
Pro>chi2	0,000	0,000
Hansen test	0,522	0,328
AR(1)	0,039	0,047
AR(2)	0,468	0,523

***, **, * * and ** denote significance at the 10 %, 5 %and 1% levels, respectively5% và 10%. Standard errors in parentheses.

Source: own estimations

In summary, the study first examines the relationship between NPLs and cost efficiency of Vietnamese commercial banks. This reverse relationship shows that inefficient cost management is one of the most important causes of NPLs of Vietnamese commercial banks. In addition, the study finds that other factors such as equity, credit growth and economic growth are the main factors that have a negative impact on NPLs of the banking sector in Vietnam. Meanwhile, past NPLs, bank size, loan to deposit and inflation rate, exchange rates, interest rate and real estate prices have the positive impact on NPLs. Besides that, NPLs is one of the most critical factors negatively affecting profitability and cost efficiency, capital as well as loan growth with significance at 1% level.

CHAPTER 5

CONCLUSIONS AND POLICY IMPLICATIONS

5.1. Main findings of the study

The first objective of the study is to examine determinants of NPLs of Vietnamese commercial banks. The empirical results show that the specific factors that affect NPLs such as bank efficiency, equity, credit growth and are the main factors that have negative impact on NPLs of Vietnamese commercial banks. Meanwhile, NPLs in the past, the size of banks, loan to deposit have positive impact on NPLs. Macro economic determinants such as economic growth, inflation, interest rate, exchange rates, real estate prices also have a significant relationship to NPLs. The thesis measures cost efficiency of Vietnamese commercial banks, the results show that the average cost e efficiency of the studied period is 69,3. The study first examines the relationship between NPLs and cost efficiency of Vietnamese commercial banks. This reverse relationship shows that inefficient cost management is one of the most important causes of NPLs of Vietnamese commercial banks.

The second objective is to assess the impact of NPLs on the bank performance of Vietnamese commercial banks. The results find that NPLs have a negative impact on the ROA and cost efficiency CE. This is explained by the poor credit quality that reduces interest income and increases the cost of provisioning. Bad management leads to many risky activities and the rising of NPLs. In contrast, banks with high profitability are banks that have good ability to control NPLs or control business expenses so NPLs ratio decreases. In addition, NPLs also has a negative impact on capital adequacy (ETA) as well as loan growth of 1%. Increased NPLs, coupled with a decline in collateral value, will increase the caution and lead to tightening credit expansion and credit growth decreases. Moreover, high non-performing loans will also impact negatively on bank capital and limited access to financing by banks.

5.2. Solutions relate to bank-specific characteristics

5.2.1. Enhance bank efficiency solutions

First, to improve efficiency and profitability, commercial banks need to enhance their competitive advantage in the market by maintaining their market share expanding service network, improving financial capacity through capital mobilization and use of capital more efficiently. Second, banks can reduce the impact of NPL persistence in the future by focusing on risk management with the rising of total asset size over time. Third, banks can improve the cost efficiency of Vietnamese commercial banks by controlling interest expenses, labor costs and capital costs.

5.2.2. Enhance financial capacity and expand the rational scale solutions

Vietnamese commercial banks need increase the ratio of equity to total assets according to the appropriate route and suitable methods, especially concern the specific situation of individual commercial bank. This helps to avoid pressure on maintaining profitability for investors. In

addition, banks should continue to improve the credit process to ensure a balance between the maximum credit approval limits of bank representatives and development capabilities of bank credit. This will help to minimize the consequences of moral hazard for low equity banks. Banks also need to ensure minimum capital adequacy ratios in accordance with international standards and regulations of the State Bank of Vietnam and Basel 3 standards.

5.2.3. Improve operational safety or liquidity

The study results show that loan to deposit has negative relationship to NPLs, therefore, banks should focus on improving the operational safety or liquidity of the banking sector. In addition, banks need to restructure their deposit products by increasing the proportion of medium- and long- term deposits to improve liquidity and reduce liquidity costs. This leads to reduce lending rate.

5.2.4. Reasonable loan growth solution

The decline of labor productivity or demand of economy can lead to the decreasing of loan growth. A good economic environment can help to improve aggregate demand. This will support firms to expand their business. This leads to the improvement of demand for credit. In the case of the stability of macro economy, the productivity of credit supply of the banking system, Vietnam need improve consumer demand.

5.2.5. Solutions relate to Industry Competition characteristics

The empirical result finds that industry competition index has negative impact to NPLs. This means Vietnam has a unique character to its banking system. The competition-fragility view or the moral hazard hypothesis is supported in the Vietnamese case. Deregulation has a negative impact on the structure of Vietnam’s banking sector. Therefore, Vietnam’s authority should monitor banks’ portfolio risk during the deregulation process.

5.3. Policy recommendations related to macroeconomics

5.3.1. Reform of macroeconomic policies

The results also show the macroeconomic growth rate are important factors that influence NPLs. This implies that SBV need to stimulate the economy, support to the private sector in their production and access to loans. This will help increase the repayment capacity of firms and decrease NPLs. In addition, because inflation has the positive impact on NPLs, the SBV should control consumer prices to curb inflation.

5.3.2. Reform the financial monitoring system

The negative relationship between NPL and the level of competition also suggests that the regulator should apply closer monitoring to prohibit those banks from gambling in excessively risky undertakings.

5.3.3. Reform regulatory framework for banking supervision

First, Vietnam need to develop appropriate monitoring mechanisms for real ownership, and review the percentage of ownership shares for individuals and organizations referred to limit the over-involvement of the delegation to the governance. Second, in terms of operating safety ratios, there should be a roadmap guiding the market risk, operational risk and interest rate risk in determining risk weightings for assets. Third, in terms of debt classification and provisioning, it is necessary to make the Vietnamese accounting standard in accordance with International Accounting Standard IAS 39. In addition, the authority need to provide uniform guidelines for the determination of the collateral value for credit institutions in measuring of provisions.

5.4. Limitations and further research directions

Although the thesis has some new contributions as mentioned, it still has limitations. First, we could have not collected the NPLs selling to VAMC of Vietnamese banks. Second, NPLs of Vietnamese banks may be effected by cross-ownership structure between banks, but the thesis does not mentioned due to inaccessible data. We could not classify the banks to their size as well as bank’s non-performing loans classification. Further study will examine the determinants on NPLs by classifying bank size and different level of banks’ growth on the market.

LIST OF AUTHOR’S PUBLICATION

1. Nguyen Thi Hong Vinh & Le Phan Thi Dieu Thao 2016, Effects of Bank Capital on Profitability and Credit Risk: The Case of Vietnam’s Commercial Banks, Journal of Economic Development, Vol.23 (Issue 4), 117 - 137.

2. Nguyen Thi Hong Vinh 2016, The Impact of Non-performing Loans on Bank Profitbility and Lending Behavior: The Case of Vietnam, Policies and Sustainable Economic Development, International Conference of University of Economics HoChiMinh City, 474 - 488.

3. Nguyễn Thị Hồng Vinh 2016, Tác động của mức độ cạnh tranh đến khả năng sinh lời và rủi ro của hệ thống ngân hàng Việt Nam, Công nghệ Ngân hàng số 122, 20-29.

4. Nguyen Thi Hong Vinh 2015, Bad debt and Cost Efficiency in Vietnamese Commercial Banks,

Journal of Economic Development, Vol.22 (Issue 1), 125 – 140.

5. Nguyễn Thị Hồng Vinh 2015, Yếu tố tác động đến nợ xấu các ngân hàng thương mại Việt Nam,

Phát triển Kinh tếVol. 26 (Issue 11), 80-98.

6. Nguyễn Minh Sáng & Nguyễn Thị Hồng Vinh 2015, Nghiên cứu tác động của sử dụng nguồn lực đến hiệu quả kinh doanh của các ngân hàng thương mại Việt Nam và Thái Lan, CT-1301-1 – Đề tài nghiên cứu khoa học cấp cơ sở.

7. Nguyễn Thị Hồng Vinh 2012, Đo lường hiệu quả kỹ thuật và chỉ số Malmquist của ngân hàng thương mại Việt Nam, Công nghệ Ngân hàng, số 74, 16-22.

THÔNG TIN TÓM TẮT

VỀ NHỮNG ĐÓNG GÓP MỚI CỦA LUẬN ÁN TIẾN SĨ

Tên luận án: Nợ xấu của hệ thống ngân hàng thương mại Việt Nam Chuyên ngành: Tài chính - Ngân hàng Mã số: 62.34.02.01 Nghiên cứu sinh: Nguyễn Thị Hồng Vinh

Người hướng dẫn luận án: PGS.,TS. Lê Phan Thị Diệu Thảo

PGS.,TS. Hạ Thị Thiều Dao

Cơ sở đào tạo: Trường Đại Học Ngân Hàng TP. Hồ Chí Minh

Luận án này đánh giá các nguyên nhân gây nên nợ xấu của các NHTM Việt Nam bao gồm các yếu tố vĩ mô, yếu tố đặc thù ngành và yếu tố đặc thù ngân hàng. Thêm vào đó, luận án này còn kiểm tra tác động của nợ xấu đến hiệu quả chi phí, hiệu quả lợi nhuận, an toàn vốn và tăng trưởng tín dụng của các NHTM Việt Nam. So với các nghiên cứu trước cùng chủ đề mà luận án đã tham khảo, luận án có những đóng góp mới như sau: Thứ nhất, luận án lần đầu tiên kiểm định mối quan hệ giữa nợ xấu và hiệu quả chi phí của các NHTM Việt Nam. Mối quan hệ ngược chiều này cho thấy việc kiểm soát chi phí kém hiệu quả là một trong những nguyên nhân quan trọng dẫn đến nợ xấu của các NHTM Việt Nam. Để tăng cường hiệu quả hoạt động của mình, các NHTM cần cắt giảm các chi phí đầu vào, từ đó sẽ giúp kiểm soát chặt chẽ hơn các khoản vay và làm giảm các khoản nợ xấu. Đồng thời, luận án phân tích các nguyên nhân của nợ xấu của các NHTM Việt Nam bằng phương pháp định lượng dưới nhiều góc độ: yếu tố đặc thù ngân hàng, yếu tố đặc thù ngành, các yếu tố kinh tế vĩ mô… trong đó có tính đến ảnh hưởng của độ trễ của nợ xấu, được ước lượng thông qua mô hình ước lượng dữ liệu bảng động moment tổng quát GMM. Thứ hai, luận án lần đầu tiên nghiên cứu sâu về tác động của nợ xấu đến hoạt động ngân hàng trên mẫu các NHTM Việt Nam và chỉ ra được liệu nợ xấu có ảnh hưởng quan trọng như thế nào đến kết quả kinh doanh, hiệu quả chi phí, an toàn vốn hay tăng trưởng tín dụng. Hàm ý chính sách quan trọng từ kết quả nghiên cứu này là để tăng hiệu quả ngân hàng, nhà quản lý nên tăng cường việc giám sát và theo dõi rủi ro của các khoản nợ.

Nghiên cứu thực nghiệm trên các NHTM Việt Nam cho ra các kết quả nổi bật như sau: (i) Việc cải thiện hiệu quả ngân hàng, tăng mức vốn hóa, tăng trưởng tín dụng, tăng trưởng kinh tế, kiểm soát mức độ cạnh tranh thị trường trong Ngành sẽ giúp giảm nợ xấu; (ii) Việc giảm dự phòng rủi ro, quy mô ngân hàng, mức độ kiểm soát của chủ sở hữu, lạm phát, lãi suất, giá nhà sẽ làm giảm nợ xấu; (iii) Nợ xấu gia tăng tác động tiêu cực đến hiệu quả ngân hàng, an toàn vốn và tăng trưởng tín dụng.

Người hướng dẫn Nghiên cứu sinh ký tên

A SUMMARY OF INFORMATION

ON NEW CONTRIBURIONS OF THE THESIS

Title of the thesis: Non-performing loans in the Vietnamese banking system

Major: Finance and Banking Code: 62.34.02.01 PhD candidate: Nguyen Thi Hong Vinh

Academic advisor: 1. Assoc. Prof. Dr. Le Phan Thi Dieu Thao

2. Assoc. Prof. Dr. Ha Thi Thieu Dao Training institution: Banking University Hochiminh City

This thesis investigates the determinants of Vietnamese banks non performing loans (NPLs), using empirical framework that incorporates the related literature and theoretical hypothesis. In addition, this study also examines the impact of NPLs on Vietnamese banks’ profitability, capital and lending behavior. Throughout the whole sample, the thesis contributes to existing empirical researches in some ways. Firstly, it is the first study which examines the relationship between NPLs and cost efficiency of Vietnamese commercial banks. This reverse relationship shows that cost inefficiency is one of the most important causes of NPLs of Vietnamese commercial banks. The finding also suggests banks should reduce the input expenses, control loans tightly and limit the NPLs in order to improve banks’ efficiency. In addition, we investigate the bank-specific, industry - specific, macroeconomic determinants of NPLs by using dynamic panel Generalized Method of Moments techniques to analyze the panel data, which are designed to check the persistence of NPLs. Secondly, it is also the first study which examines the impact of NPLs on banking behavior for Vietnamese banking sector. The findings show that NPLs has a significantly effect on banks’ profitability, cost efficiency, capital and lending behaviors. The crucial policy implication of this study is that the bank managers should apply closer screening and monitoring of the risk of loan default in order to maximize profits.

Some important empirical results are as follows: (i) Enhance banking efficiency, increasing capitalization, credit growth, economic growth, and controlling market competition will lead the decline of NPLs; (ii) Reduce risk provisions, bank size, owner control, inflation, interest rates, house prices will reduce NPLs; and (iii) the rising of NPLs has a negative effects on banks’ performance, capital adequacy and loan growth.

Academic supervisors PhD candidate

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