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Determinants of banking liquidity in Vietnamese commercial banks

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Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
This paper measures the liquidity of Vietnamese commercial banks from 2007 to 2017 and tries to detect possible influencing factors. Using a multivariate dynamic panel regression, we examine the effects of two sets of possible determinants: macroeconomic factors, like monetary policy or economic strength, maybe bank characteristic factors, like size or profitability. Analyzing a dataset composed of 20 commercial banks in Viet Nam, we found highly significant impacts of economic indicators and bank-specific factors on banking liquidity. The study points out that increasing the national savings rate and the financial market's liquidity helps improve the liquidity ability of commercial banks in Viet Nam, while the consumer prices index has the opposite effect. Interestingly, both total assets and profitability of commercial banks have a positive impact on LDR.
Słowa kluczowe
Rocznik
Tom
Strony
223--228
Opis fizyczny
Bibliogr. 35 poz., tab.
Twórcy
  • BIDV Training and Research Institute
  • National Economics University, Vietnam
  • Hanoi University of Industry, Vietnam
Bibliografia
  • 1. Acharya, V. V. and Viswanathan, S. (2011). 'Leverage, moral hazard, and liquidity', The Journal of Finance, No 66 (1), 99–138.
  • 2. Al-Khouri, R. (2012), 'Bank Characteristics and Liquidity Transformation: The Case of GCC Banks', International Journal of Economics and Finance, No. 12 (4), 11-14.
  • 3. Beck, T. et al. (2004), 'Bank competition and access to finance: International evidence', Journal of Money, Credit and Banking, No. 3 (36), 627-648.
  • 4. Berger, A. and Bouwman, C. (2009), 'Bank liquidity creation', Review of Financial Studies, No 9 (22), 3779-3837
  • 5. Bordeleau, E. and Graham, C. (2010), 'The Impact of Liquidity on Bank Profitability', Financial Stability Department, Bank of Canada, Working Paper.
  • 6. Bryant, J. (1980), 'A model of reserves, bank runs and deposit insurance', Journal of Banking and Finance, No 4 (1), 335-344.
  • 7. Bunda, I. and Desquilbet, B. (2008), 'The bank liquidity smile across exchange rate regimes', International Economic Journal, No. 3 (22), 361-386.
  • 8. Calomiris, C. and Kahn, C. (1991), "The Role of Demandable Debt in Structuring Optimal Bank Arrangements", American Economic Review, No 81 (3), 497-513.
  • 9. Chen, J. et al. (2014), 'The Determinants of Bank Liquidity Buffer', in the proceedings of the 2014 Southwestern Finance Association(SWFA) conference, Dallas, Texas, March 12-16.
  • 10. Choon, L.K. et al. (2013), "The determinants influencing liquidity of Malaysia commercial banks, and its implication for relevant bodies: evidence from 15 Malaysian commercial banks", http://eprints.utar.edu.my.
  • 11. Clayton, M. et al. (1999), 'On the Formation and Structure of International Exchanges', Wharton Working Paper 99-22.
  • 12. Dey, K. and Flaherty, S. (2005), 'Stock exchange liquidity, bank credit, and economic growth', Max Fry Conference on Finance and Development, University of Birmingham, The Business School University House, Birmingham B15 2TT.
  • 13. Diamond Douglas, W. (1984), 'Financial Intermediation and Delegated Monitoring', The Review of Economic Studies, No 51 (3), 393-414.
  • 14. Diamon, D. and Rajan, R. (2001), 'Liquidity risk, liquidity creation, and financial fragility: a theory of banking', Journal of Political Economy, No 109 (2), 287-327.
  • 15. Gersl, A. and Zlatuše, K. (2009), 'Liquidity Risk and Banks' Bidding Behavior: Evidence from the Global Financial Crisis', Czech Journal of Economics and Finance, No 59 (6), 577-592.
  • 16. Hackethal, A. et al. (2010), 'Determinants of bank liquidity creation', Working paper, European School of Management and Technology.
  • 17. Holmstrom, B. and Jean, T. (1998), 'Private and Public Supply of Liquidity', Journal of Political Economy, No 106 (1), 1-40.
  • 18. Kashyap, K. et al. (2002), 'Banks as liquidity providers: an explanation for the coexistence of lending and deposit taking', Journal of Finance, No 1 (58), 33-73.
  • 19. Kiyotaki, N. and John, M. (2012), 'Liquidity, Business Cycles, and Monetary Policy', National Bureau of Economic Research, Inc.
  • 20. Lartey, V.C. et al. (2013), 'The relationship between liquidity and profitability of listed banks in Ghana', International Journal of Business and Social Sciences, No 3, 48-56.
  • 21. Nguyen Thi My Linh (2016), 'Determinants of bank liquidity ratio in Vietnamese commercial bank', Banking review, No 9, 50-60.
  • 22. Moussa, M. (2015), 'The Determinants of Bank Liquidity: Case of Tunisia', International Journal of Economics and Financial Issues, No 5 (1), 249-259.
  • 23. Munteanua, I. (2012), 'Bank liquidity and its determinants in Romania', Procedia Economics and Finance, No 3, 993 – 998.
  • 24. Pham Thi Hoang Anh. et al. (2015). 'System banking liquidity: Global experiences and some recommendation for Viet Nam'. (Head of thesis: Phạm Thị Hoàng Anh, Code Number: DTNH.18.2014, Place of acceptance: State bank of Việt Nam, Date of acceptance: 24/10/2015).
  • 25. Praet, P. and Herzberg, V. (2008), 'Market liquidity and banking liquidity: linkages, vulnerabilities and the role of disclosure', Financial Stability Review, No 11, 95-111.
  • 26. Rauch, C. et al. (2010), 'Determinants of Bank Liquidity Creation', SSRN Electronic Journal.
  • 27. Trenca, I. et al. (2015), 'Impact of Macroeconomic Variables upon the Banking System Liquidity', Procedia Economics and Finance, No 32, 1170-1177.
  • 28. Truong Quang Thong (2013), 'Determinants of bank liquidity risk in Viet Nam Banking system', Journal of Asian Business and Economic Studies, No 276, 50-62.
  • 29. Umar, M. and Gang, S. (2016), 'Interaction among funding liquidity, liquidity creation and stock liquidity of banks Evidence from BRICS countries', Journal of Financial Regulation and Compliance, No 24 (4), 430-452.
  • 30. Valla, N. et al. (2006), 'Bank liquidity and financial stability', Banque de France financial stability review, No 9, 40-47.
  • 31. Vodova, P. (2011), 'Liquidity of Czech Commercial Banks and its Determinants', International Journal of mathematical models and methods in applied sciences, No 5 (6), 1060-1067.
  • 32. Vodova, P. (2013), 'Determinants of commercial bank liquidity in Hungary', www.Slu.cz, 180-188.
  • 33. Wang, Y. (2002), 'Liquidity management, operating performance, and corporate value: evidence from Japan and Taiwan', Journal of Multinational Financial Management, No 12 (2), 159-169.
  • 34. Wetmore, J. L. (2004), 'Liquidity Risk and Increasing Loans-to-core Deposits Ratio of Large Commercial Bank Holding Companies', American Business Review, No 2 (22), 99-107.
  • 35. Wojcik-Mazur, A. and Szajt, M. (2015), 'Determinants of Liquidity Risk in Commercial Banks in the European Union', Argumenta Oeconomica, No 35 (2), 26-47.
Uwagi
1. Preface
2. Session: International Conference on Research in Management and Technovation
Typ dokumentu
Bibliografia
Identyfikator YADDA
bwmeta1.element.baztech-d4f0a0de-1bde-4e71-94ec-ba937af93f18
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