The determinants of liquidity risk of commercial banks in Vietnam

  • Received December 17, 2018;
    Accepted February 6, 2019;
    Published February 26, 2019
  • Author(s)
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  • Article Info
    Volume 14 2019, Issue #1, pp. 94-110
  • Cited by
    8 articles

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This work is licensed under a Creative Commons Attribution 4.0 International License

This research identifies factors that explain the liquidity of commercial banks in the Vietnam banking system from 2010 to 2015. Using the OLS regression method for analysis, it was found that:

  1. the interbank market helps commercial banks improve their liquidity;
  2. the larger the loan size, the higher the liquidity risk;
  3. good credit risk management has a positive impact on liquidity risk management; and
  4. long-term interest rate is negatively related to the liquidity of commercial banks.

The research also makes recommendations on liquidity risk management policies to banks and policy-makers from the Government and the State Bank of Vietnam.

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    • Figure B1. Deposit and lending rates of the commercial banks in Vietnam from June 2012 to December 2015
    • Figure B2. Interbank interest rate from July 1, 2016 to August 26, 2016
    • Figure B3. Liquidity of Vietnamese commercial banking system and LDR ratio from April 2012 to October 2015
    • Table 1. Heteroskedasticity test: the White test results
    • Table 2. Breusch-Godfrey Serial Correlation LM test
    • Table 3. Test of homogeneity of variances
    • Table 4. The results of the ANOVA test
    • Table A1. The internal variables in the study
    • Table A2. The results of four regression models
    • Table B1. The results of Akaike (AIC) and Schwarz (SC) test
    • Table B2. Correlation matrix of the variables
    • Table B3. R-squared value of sub-models
    • Table B4. Relationship between independent variables and dependent variables
    • Table B5. The interbank rate from January 2015 to December 2015
    • Table B6. Eviews result 1
    • Table B7. Eviews result 2
    • Table B8. Eviews Result 3