Template-Type: ReDIF-Article 1.0
Author-Name: Nguyen Tran Thai Ha
Author-Workplace-Name: Finance and Accounting Faculty, Saigon University 28 Nguyen Thong Street, Ward 7, Dist. 3, Ho Chi Minh City, Vietnam
Author-Email: nguyen.tranthaiha@sgu.edu.vn
Author-Name: Phan Gia Quyen
Author-Workplace-Name: Saigon Thuong Tin Commercial Joint Stock Bank, Vietnam 266 – 268 Nam Ki Khoi Nghia Street, Ward 6, Dist. 3, Ho Chi Minh City, Vietnam
Title: Monetary Policy, Bank Competitiveness and Bank Risk-Taking: Empirical Evidence from Vietnam
Abstract: This study assesses the impact(s) of monetary policy and further influence of competitiveness on bank risk-taking of the Vietnamese commercial banks over the period of 2007–2016, an unstable period of the domestic monetary policy. The monetary policy is captured by a set of different variables including money supply, refinancing interest rate and treasury bill interest rate. Using the GMM methodology, the study finds that the monetary policy of Vietnam has a significant impact on bank risk-taking level, as measured by Z-score index. The empirical findings also indicate that bank risk-taking increases in the context of a loose monetary policy. In addition, the competitiveness of banks, presented by the Lerner index, is found as a determinant of bank risk-taking levels. By using interacting variables, the findings indicate that the impact of the competitiveness of banks outweighs that of monetary policy on bank risk-taking behaviour. It implies that the banks with high market power demonstrate less risk-taking behaviour even in a loose monetary policy environment. Besides that, liquidity, credit level and cost inefficiency could increase risk-taking behaviour of banks while bank size poses restrictions on bank risk-taking.
Keywords: bank, risk-taking, monetary policy, competitiveness, GMM, Vietnam
Pages: 137-156
Volume: 14
Issue: 2
Year: 2018
File-URL: http://web.usm.my/journal/aamjaf/aamjaf14022018/aamjaf14022018_6.pdf
File-Format: Application/pdf
Handle: RePEc:usm:journl:aamjaf01402_137-156