Các yếu tố tác động đến nợ xấu của ngân hàng thương mại Việt Nam

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Tác giả: Đan Thanh Bùi, Ngọc Huyền Nguyễn

Ngôn ngữ: vie

Ký hiệu phân loại:

Thông tin xuất bản: Tạp chí Kinh tế và Ngân hàng châu Á, 2023

Mô tả vật lý: tr.43-57

Bộ sưu tập: Metadata

ID: 340444

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Based on the research data of 27 commercial banks, the article aims to determine the factors affecting the bad debts of Vietnamese commercial banks over the period 2010–2021. The author uses Pooled models OLS, FEM, and REM and chooses the suitable model as FEM. In addition, the regression estimation method by the GMM model is also implemented to overcome the defects and endogenous phenomena of the model. Research results show that there are five factors of banking characteristics and three macro factors affecting non-performing loans of Vietnamese commercial banks. The bank's characteristics, including the NPL ratio of the previous year (NPLt-1), provision ratio for credit risk (LLR), and credit growth rate (LGR) has a positive impact on NPLs. In contrast, bank size (SIZE) and return on equity (ROE) negatively affect NPLs. For the macro variables, the author determined that the economic growth rate (GDP), the inflation rate (INF) and the exchange rate have a positive correlation with bad debt, unemployment rate (UNL) has no impact on the bad debts of Vietnamese commercial banks. Based on these results, the author proposes some recommendations for the managers of commercial banks and the State Central Bank of Viet Nam to manage the bad debt ratio and promote the sustainable development of the banking industry.Dựa trên dữ liệu nghiên cứu của 27 ngân hàng thương mại Việt Nam (NHTM), bài viết tìm ra các yếu tố tác động đến nợ xấu của các NHTM giai đoạn 2010–2021. Tác giả sử dụng các mô hình bình phương bé nhất dữ liệu gộp (Pooled OLS), mô hình tác động cố định (Fixed Effect Model - FEM) và mô hình tác động ngẫu nhiên (Random Effect Model - REM) và chọn ra mô hình phù hợp là FEM. Ngoài ra, phương pháp ước lượng hồi quy bằng mô hình GMM cũng được thực hiện để khắc phục các khuyết tật và hiện tượng nội sinh của mô hình. Kết quả nghiên cứu cho thấy, có năm yếu tố đặc điểm ngân hàng và ba yếu tố vĩ mô tác động đến nợ xấu của các NHTM. Các yếu tố đặc điểm ngân hàng có tác động cùng chiều đến nợ xấu của ngân hàng bao gồm: tỷ lệ nợ xấu (TLNX) năm trước (NPLt-1), tỷ lệ dự phòng rủi ro tín dụng (LLR) và tốc độ tăng trưởng tín dụng (LGR). Ngược lại, các biến quy mô ngân hàng (SIZE) và suất sinh lời trên vốn chủ sở hữu (ROE) có tác động ngược chiều đến nợ xấu của ngân hàng. Đối với các biến yếu tố vĩ mô, nghiên cứu cho thấy tốc độ tăng trưởng kinh tế (GDP), tỷ lệ lạm phát (INF) và tỷ giá hối đoái có mối tương quan dương với nợ xấu, trong khi biến tỷ lệ thất nghiệp (UNL) không có tác động tới nợ xấu của các NHTM. Dựa trên kết quả này, nhóm tác giả đề xuất một số khuyến nghị cho các nhà quản trị NHTM và Ngân hàng Nhà nước (NHNN) để quản lý tốt TLNX, thúc đẩy ngành ngân hàng phát triển bền vững.

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