CAC NHAN TO ANH HlTdNG DEN MU*C BO LANH MANH TAI CHINH CUA CAC NGAN HANG THl/ONG MAI VIET NAM
Dinh Thj Thanh Van*, Le Ngoc Thien Trang**, Bui Nguyen Hanh***
Ngay nhan: 23/4/2015 Ngay nhan ban siia: 22/7/2015 Ngay duyet dang: 25/01/2016
Torn tat:
Bdi nghien citu phdn tich mite dp dnh hucmg cua cdc nhdn td din su lanh mgnh tdi chinh cua 18 ngan hdng thuang mgi Viet Nam bdng bp chi sd FSIs cdt loi trong giai dogn 2008-2013.
Nghiin cim su dung cdc chi sd FSIs di xip hgng cho 18 ngdn hdng sau do tiin hdnh hdi quy dii lieu mdng v&i biin phu thupc Id xip hgng lanh mgnh tdi chinh cua cdc ngdn hdng vd biin dpc lap Id 6 chi sd FSIs dugc lua chgn phu hgp. Kit qud xdc dinh dugc mite dp dnh hu&ng cua ng xau den lanh mgnh tdi chinh la l&n nhdt, sau dd la CAR vd ROE, cudi ciing Id thanh khoan vd thu nhgp. Tit nhitng phdn tich Id hdng vd yiu kem cua hi thdng ngdn hdng, nghiin cim dua ra cdc khuyin nghi cho nhitng nhd lam chinh sdch nhdm ndng cao hieu qud hogt dpng ddnh gid lanh mgnh tdi chinh vd quan trgng han hit Id cdi thien miec dp lanh mgnh tdi chinh cua hi thdng ngdn hdng Viet Nam.
Tir khda: FSIs, lafa mafa tai chifa, ngfa hfag thuang mai
Factors affecting financial soundness of commercial banks in Vietnam Abstract:
This paper analyzes effect level of factors on financial soundness of 18 commercial banks in Viet Nam using core-FSIs in the period 2008-2013. The paper uses FSIs indicators to grade 18 banks, then panel data regression with financial soundness ranking as the dependent variables and the independent variables including 6 FSIs indicators. The results show that nonperfom- ing loans is the factor that has strongest effect on financial soundness, followed by CAR and ROE, liquid indicator and earning indicators. Based on the results derived from the regression model the authors propose policy implications to bank managers and policy makers tn order to improve financial soundness for Vietnamese banking sector
Keywords: FSIs; financial soundness; commercial bank.
1. Gidi thieu giija cto quoc gia khto nhau, Quy tiln te thi gidi Tir khi bit diu cudc khung hotog tai chifa nam (IMF) xay dyng bd chi sd FSI "Bd chi so lafa mafa 2008 va mdt vai he thdng tai chifa tren thi gidi da tai chinh" nhim dfah gia do dn djnh va Itoh manh bj syp dd, nhtog ngudi Iam cdng tto giam sat ngan tai chinh cua moi qudc gia cung fau tofa clu vdi hfag da chd trgng din tim quan trgng cua an tofa ™dt hutag din cu thi va thdng fait to IMF. Nhfag va lafa mafa tai chifa (Natasha & Yoko, 2014). chi sd nay chto dyng cto vln dl cua on difa tai Cto bd chi sd va phuang phap dafa gia ctog dugc chifa fau mdt hien tagng mang tinh he thong, do cto td chto tai chinh qudc tl, giam sat ngfa hfag "Id nd khdng chi lien quan din cto he thdng tai chinh thyc hifa cho nhieu qudc gia va khu vyc vdi cto dl ma cdn afa hutag din khu vyc chinh phii (IMF &
xuat va khuyin khich ap dyng thich hgp. Dl tao WB, 2005).
dieu kifa cho viec tfag tinh minh bach va so stoh Cto bto cto cto Ngto htog thi gidi (WB), IMF, SS 224 thdng 02/2016 80
Ngfa hfag phat teiln chto A (ADB) thutag xuyen dafa gia tdng quan he thdng tai chifa, de cap mot sd khia cafa lafa mafa cto he thdng tai chifa Viet Nam. Ci Viet Nam, viec tifa toto FSIs dugc thyc hien mdt ctoh ddc lap teong mdt sd co quan faa nude fau Ngan hfag faa nude, Uy ban chtog khoto, Uy ban giam sat tai chifa qudc gia ma chua cd sy phdi hgp tifa tofa bd chi sd hoto chifa va thdng faat. Ngoai ra, mdt sd nghifa cto teong nude da sit dung cdng cy FSIs teong phfa tich va dafa gia he thdng tai chifa. Nghien cto Nguyin Thi Mifa Hue (2012) sit dung cto chi sd FSIs cdt ldi dl dafa gia sy Itoh mafa cua he thdng ngto htog Viet Nam.
Dya tren ket qua tifa tofa cto chi sd FSIs co bfa ctia 34 teong sd 42 ngfa hfag thuang mai (NHTM) Viet Nam, nghien cto da cho thay cto ngto hfag tap tnmg faieu vto boat ddng cho vay, chua khai thto tdi da tiem lyc bfa teong, ty le vdn teen tdng tai sto so vdi cto nude teong khu vyc cdn thip. Tuy faien, nghien cto dafa gia trong nam 2010 va tifa tofa cto sd lieu dya tefa bto cto tai chinh khdng diy du nen mdt sd dafa gia chua cd y ngbla cho he thdng ngto hfag qua ca giai doan. Trong hdi thao tim hilu va phto tich bd chi sd lafa mafa tai chifa do ADB va VEPR td chto, nghien cto Nguyen Dto Thafa
& Vfi Mifa Long (2014) thyc hifa trfa mdt fadm cto ngto hfag teong giai doan 2008-2012, dua ra mdt sd ket lufa: ti le an tofa vdn tham chi cao hon 9%, tay faifa chat lugng tai sfa cd gfa day khdng an tofa do cto khoto ng xfa tfag cao. Mto du ttog tratag faafa trong giai doan trade faung cac chi sd do lutag thu nhap va lgi nhufa dfa giam va cung vdi dd la cac chi sd thafa khofa dfa cd xu hufag giam. Nghien cto nay ctog so safa dya teen cto bieu dd ma chua dafa gia dugc mto do tto ddng cy the cua tang fafa td dfa lafa mafa tai chinh. Bfa cafa dd, nghien cto Trjfa Qudc Trang & Nguyen Vto Sang (2013) dafa gia cac fato td afa hufag den hieu qua boat ddng cua ngto hfag, chu yeu la afa hutag dfa ROE va ROA hay Lilu Thu Tnic &
Vd Thfah Danh (2012) ctog dtoh gia hieu qua boat ddng kinh doanh ngto htog ve mat chi phi va quy md. Nhung fain chung, cac nghien cto diu dafa gia d mdt khia cafa trong boat dgng cua ngto htog ma chua tifa dfa yeu td lafa manh tai chinh. HIU hit cto nghien cto chua di sto vto dafa gia mto do tac dgng cita cto yeu td tiem to ben trong din sy lafa manh tai chifa cto ngto btog.
d Viet Nam, teong giai doan 2008- 2013, cto bit dn cua kifa tl vT md da gay ra failu rdi ro Iam tdn
thuong he thdng ngfa hfag trfa failu khia cafa (Nguyen Thj Miii, 2015). Theo bao cao vT md cto ngfa hfag HSBC dfa nam cho thay, 2015 la mdt nam khd khto vdi nen kifa te Viet Nam. Theo Uy ban giam sat tai chifa qudc gia (2015), 6 thfag dfa nam 2015 tifa hifa thafa khofa tam thdi dn djnh, tifa giti khtoh hfag ttog 1,62% nhung vfa thap hon so vdi tdc do tfag tratag cfag ki nam 2014 (4%), cto td chto tin dyng da cd giam tai sto lifa ngfa hfag nhtmg vfa cdn d ti le cao. Dto biet, ta dfa nam den nay, da cd ba ngto htog bi Ngto hfag Nha nude mua lai vdi gia 0 ddng, chfag td he thdng ngfa hfag Viet Nam tdn tai nhifa yeu kem. Bfa cafa dd, tifa hifa ng xto teong he thdng ngto htog vfa chua cd trien vgng cai thifa khi ma viec xit ly ng xto cdn cham va chi tap hgp lai chii chua giai quyet tfa gdc vto de. Nhto thay edn faieu tdn tai va yeu kem bfa trong ngfa hfag, nghien cto da quyet djnh xem xet yeu td nto la yeu td then chdt tto ddng mafa den an tofa va Ifah manh tai chifa cto he thdng ngfa hfag teong giai doan 2008-2013. De dam bto mdt he thdng ngfa hfag cd sto khde tdt va dn djfa, cac ngfa hfag phai dugc phto tich va dafa gia de tim ra cac Id hdng tiem fa va yeu kem dang tdn tai.
Nghien cto sit dung md hifa dinh lugng vdi bd chi sd FSI de dafa gia cto fato td toh hufag dfa sy an tofa va Itoh mafa tai chifa cto he thdng ngfa hfag trong giai doan 2008-2013. Ket qua se tim ra fafag yeu td nto thyc sy tac ddng Ifa den lafa mafa tai chifa de ta dd dua ra fatog ket lufa va khuyen nghj cu the phii hgp cho cac ngto htog, ddng gdp nhfag nhu cto thyc tifa khtoh quan ve cai thifa mto do lafa mafa tai chifa.
2. Cff sd ly thuyet ve lanh manh tai chinh Sy lafa mafa tai chinh la khai niem khd de difa nghia, theo Yayla & cdng sy (2008), lafa mafa tai chifa nghia la he thdng ngfa htog cd kha ntog thyc hien cto tetoh faiem cua nd hoto theo each khac neu he thdng dd cd sy thieu hyt lgi fauto rat thap trong bat ki hoto ctoh nto. Khai niem lafa mafa tai chifa dugc Ken ket chat che vdi dn djfa tai chifa.
Mdt he thdng tai chinh dugc coi la dn djnh va lafa manh khi khdng cd sy xuat hien cua yeu td de bien ddng, suy thoai hay khung hofag. Djnh nghia nay thi don gifa de dua ra nhung thieu sy bao bam day du chto ntog cua mdt be thdng tai chinh (Gadanecz
& Jayaram, 2010). Dya tren faieu quan diem, bai nghifa cto fafa thay sy dn djfa va Itoh manh tai chinh dugc dinh nghTa mot ctoh day du theo Jose- Manuel (2007) la mdt trang thai ma he thdng tai
chifa (bao gdm cac teung gian tai chifa, c t o tinic thj fa-utag tai chinh), cd thi chiu dyng faung cu sdc va cd kha ntog bdc Id sdm sy m i t c t o b t o g tai chifa, do dd lam giam sy gito doan cua quy trifa trang gian tai chinh rit phiic tap dii d l lam phan tto co hdi diu ta cd lgi cua n h t o g ngudi nam giii tien.
Moi dit nude cd mdt djfa nghia rieng v l dn djnh va lafa manh tai chifa dya teen dto thii va m t o do phat triln cua he thdng tai chifa d qudc gia do. Bai bao gidi thieu mot sd djnh nghia v l dn djfa va lanh manh tai chinh d mdt sd qudc gia.
3. Phu-ffng p h a p nghien cuu 3.1. Phuffng phdp thu thdp sd lieu
Nghifa c t o lya chgn dfah gia cac fato td afa hufag den Itoh manh tai chinh cua cac NHTM Viet Nam giai doan 2008-2013. Theo Nguyen D t o Thafa (2009), to diu quy 4/2008 n l n kifa t l Viet Nam mdi thyc sy chju failu tto ddng do sy suy thoai vdn d i u ta nude ngoai va sut giam cfa xuat khlu faung trade dd da cd failu bieu hifa bat dn trong nln kifa t l fau lam phat cao, tham hut ngfa sach, doanh nghiep dieu d t o g vi thit chat tien te.
Bfa cafa do, be thdng ngto hfag la mdt trong ba try cdt cua nln kifa te cfag chju tto ddng tit bat dn cua nln kifa t l vT md ta nam 2008 cho dfa nay. Dfa giiia nam 2015, hiu bet cac ngto hfag chua cdng bd bao cto tai chinh hgp nhat da kiem toto cua nam 2014, vi vay, dya tren sd lieu thu thap dugc nghien c t o lya chgn dafa gia Itoh manh tai chifa NHTM giai doan 2008-2013 de cd the thyc hifa dafa gia he thdng ngto htog vdi sd lieu day dii.
Nghien c t o thu thap dii lieu cua 18 NHTM d Viet Nam giai doan 2008-2013 ta Bto cao tai chifa hgp
nhit, Thuylt m f a b t o cao tai chinb hop «"'' _ dugc kiem t o t o dugc liy to website chinh tb ^ 18 ngfa hfag. Sau khi xem xet toan bg h-? t ong NHTM Viet Nam, chi cd 18 ngfa htog/^"'^'^ . 7 ^ chgn cdng bd du B t o cao tai chifa hgp nhat da kiein tofa Ufa toe trong giai doan 2008-2013 va co du lieu d i y du d l tifa cto chi sd FSI. Tdng tai sfa cua 18 ngan hfag trong bai nghien c t o chiem tefa 60%
tdng tai sfa cua he thdng ngfa bfag qua cac nam nen du s t o dai difa d l d a f a gia Ifah m a f a tai chifa cho tofa he thdng.
3.2. Phuffng phdp phdn tich die lieu
Nghien c t o tinh tofa 10 chi tieu cdt loi cua FSIs cho cac ngan hfag trong 6 nam (2008-2013) dua tefa B t o c t o tai chifa hgp fait, Thuylt mifa bto c t o tai chifa hgp fait da k i l m tofa, do la cto chi tifa: Ti le an tofa vdn (CAR), Vdn tir cd cap 1/ Tai sfa dilu chifa theo trgng sd nii ro, N g x i u rdng/
Vdn, Ti suit sinh Idi teen tdng tai sfa (ROA), Ti suat sifa Idi trfa vdn chu sd h t o (ROE), Ti le ng xiu (NPLs), Ti le lai thuln/Tdng thu faap, Ti le chi phi ngoai lai/Tdng thu nhap, Ti le tai sfa thafa khoan/Tdng Tai sfa, Tai sfa thafa khofa/Ngudn vdn ngfa ban.
Biln phy thudc la xep hang lafa m a f a tai chifa dugc tifa tofa theo nghien c t o Roman & Sargu (2008). Trong mdi nam, cto chi sd FSI dugc xip hang theo thu ty ta I d i n 18 toong tog vdi 18 ngto htog. Cto chi sd mang tin hieu tdt dugc xep hang to I dfa 18 va ngugc lai. De Iam rd hon viec tifa tofa, hai chi sd dai difa de phfa tich la NPLs va ROA.
NPLs la chi sd the hifa ti le ng xfa cua ngfa htog nghia la chi sd nay cfag thap se the hifa ngfa hfag Bang 1: Dinh nghia ve dn dinh va lanh manh tai chinh ciia cac ngan hang trung uong
Ngan hang Trung uong Dinh nghia Ngudn
Ngto htog Du trii Uc Mpt he thong on dinh va Itoh manh tai chinh la noi ma tmng gian chuyen tien co dieu kien dS dtog de luan chuyen cac ddng tien gito ngudi tiet kiem va ngudi dto to, to do dong gop thuc day tang trutag kito te.
htttp://www.rba.gov.au
Deutsche Bundesbank
Czech National Bank(CNB)
On dinh va Itoh manh tai chinli khi ma he http://www.bundesbank.de thong tai chinh c6 kha nang thuc hien tot chto
nang kito te vi mo chinh cua no, tham chi teong tinh trang suy thoai va trong suot giai doan thay doi ve mat cau tnic.
On dito va Itoh manh tai chinh khi ma he Bao cto on dito tai chinh thong tai chinh hoat dong ma khong co toiing
ton that nghiem trong tac dong den nen kinh te hien tai va toong lai va the hien mot kha nang phuc hoi nhanh vdi cac cii soc
Ngudn: Abayomi & Mohammed (2008)
82
cd chit lugng tin dung tdt. Vi vay, ngfa hfag nao cd chi sd NPLs thip fait se taong tog vdi xip hang cao fait la 1, ngto htog cd chi so NPLs cao nhit se xip hang thip fait la 18. ROA la chi sd the hien ti le sifa Idi trfa tong tai sto, chi sd nay cfag cao the hien ngto hfag cd tai sto mang lai hieu qua cao. Vi vay, ngan htog cd chi sd ROA cao nhat taong fag vdi xip hang 1, ngfa htog cd chi sd ROA thap faat se xip hang thap nhat la 18. Bien phy thudc la gia trj teung bifa xep hang 10 chi sd cua mdt ngfa hfag teong mdt nam, vi vay, mdi ngfa hfag se taong tog dugc xep hang teong 6 nam.
Cto bien dgc lap (Bfag 2) dugc lya chgn dya tren tdng hgp cto nghifa cto trudc day va do fah hutag ciia hien tagng da cdng tayfa nfa nghien cto se xem xet afa hutag cua 6 chi sd nay den lafa manh
tai chifa cua he thdng ngfa hfag trong giai doan 2008-2013.
3.3. Md hinh nghien cuu
Md hinh hdi quy toyfa tinh vdi du lieu mfag thyc hifa tren phfa mem STATA 12. Thdng ke md ta dit lieu ve cac bien sit dung trong md hinh nghien cto.
Md hifa tdng quat:
Rank^t = Po + Pi-CO'-,, + ^2-"P^s.i + ^yroe.^ + P^.laithuan.^ + P^.ngoailai.^ + ^^.tkjs.^ + Uj, (I)
Trong dd:
rank^^. Bien phy thugc
ca^jj, «p/.Sj|, rogji, laithuan.^, ngoailai^^, tkts.^.
Bien ddc lap
Pj, pj,...,pg: Cto he sd hdi quy Uj,: Sai sd ngfa faien Bang 2: Cac bien su dung trong md hinh
Nghien cto Ten bien Y nghia Ky hieu Ky vong dau
Navajas & Thegeya (2013)
Ti le an toto von Do lutag ty le an loan von toi thieu cua to chto nhto tien giri hay do lutag kha nang dap tog day dii nghia vu doi vdi ngudi giri tien cua to chto
___^
to ^^ _ ^
Ti suat sinh ldi Dtoh gia ve lgi nhuan cua to chto tren von chu sd nhto tien giri va do lutag hieu qua hiru cua to chitc nhan lien gui trong viec
sit dung von chii sd hto.
MacDonald & Koch (2003)
Karim, Chan & cong su (2010)
Ti le lai Dtoh gia thu nhap to boat dong tin laithuan thuto/Tong thu dung so vdi cac hoat dgng khac teong
nhap viec tao ra thu nhap cho ngan hang
Ti le chi phi Do lutag chi phi quan ly so vdi tong ngoailai ngoai lai/Tong thu nhto ™ danh gia hieu qua su
thu nhap dung nguon von ciia cac to chto nhan tien giri.
Ti le ng xau Dtoh gia chat lugng tin dung ciia cac npls khoan vay ngto hang.
Tsomocos & Sepulveda (2011)
Ti le Tai sto Cung cto thong tin ve kha nang dap tk_ts thanh thoan/fong irng nhu cau nit tien mat du tinh va
Tai sto bat thudng cua khach hang giri tai to chto nhto tien gui.
Lanh manh tai Gia trj tmng binh ciia cac xep hang ca rank chinh 6 chi so FSIs cila ttog ngto htog
trong 6 nam (2008-2013).
Bang 3: Thdng ke cac quan sat theo bien ddc lap
Bien 86 quan sat Gia tri trung binh GT nho nhat Gia tri ldn nhat car
npls roe laithuan ngoailai tk ts
105 106 108 108 108 108
0.16755 0.23479 0.10766 0.80922 0.58464 02204
0.0494 0.0034 0.0007 0.2144 0.0921 0.0284
07378 0.09 02846
1.585 0.9274 0.5828 Ngudn: Dua trin thdng ki trin phdn mim STATA 12
SS 224 thing 02/2016 83
Bang 4: Hdi quy md hinh theo FEM va REM va Kilm fluih Hausman Mo hinh
Variables car npls roe laithuan ngoailai tk ts Constant Observations Number of nganhang Hausman Test Duib in-Watson Test
REM rank -17.10203***
(4.55164) 39.85723 (25.69014) -16.37247**
(7.96736) 4.97793**
(2.17916) 5.82922*
(3.20286) -9.29528**
(4.18405) 8.48515***
(2.90123) 105 18 Prob>chi2 = 1.2227515
105 18 0.3102
FEM rank -12.28735*
(6.46136) 34.47941 (27.10430) -17.28183*
(8.95374) 5.65418**
(2.32038) 1.12208 (3.87663) -13.61616***
(5.02384) 10.64256***
(3.19609)
^_-
- —Ngudn: Nhdm tdc gid kiim dinh
Gia djnh ring cto biln ddc lap khdng ngto faien va cac sd hang sai sd tafa theo cto gia djfa kinh diln, l y la E(uit) ~ N(0, 02).
Dya tren md hifa tdng quat, tto gia tifa hfah phto tich djfa lugng theo cto budc sau:
- Budc 1. Hdi quy md hifa cto yeu td afa h u f a g cd djfa - FEM
- Budc 2. Hdi quy md hifa cto yfa td afa h u t a g ngto faifa - REM
- Budc 3. Kiem djfa Hausman, lya chgn md hifa thich hgp cho nghifa c t o (FEM hoto REM)
- Budc 4. Kiem djfa cto khuyet tat cua md hifa - Budc 5. Khac phuc cto khuyet tat cua md hinh (neu cd) bfag phuong phap bifa phuang fad nhat cd trgng sd FGLS.
4. Ket qua va thao luan 4.1. Kit qud nghien ciru
Dya teen fatog co sd ly thuylt da trifa bay d phfa (1) va (2), tien hfah udc lugng md hifa tren phfa mem STATA 12 thu dugc kit qua nhu sau:
Bang 5: Kiem tra da cong tuyen giira cac bien
K i t qua k i l m difa Hausman cho thay: Vdi m t o y nghia a = 5%, p-value = 0.3102 > 0.05.
K i t lufa: Gia thuylt Hg bj bto bd, md hifa REM la thich hgp hon FEM.
Md hifa dugc kilm djfa b i n g kiem difa Durbin- Watson va thu dugc k i t qua fau sau:
Gia tej d thu dugc to kilm djfa Durbin-Watson la 1.2227515, thda m f a \<d<2,
Ket luto: Md hmh khdng cd hien tagng tet taong quan Kilm djfa phat hien da cdng tayfa: Sit dung lefa correlate trfa STATA va thu dugc ma tefa taong quan g i t o cto bifa fau teifa bay o Bfag 5.
Cto bien teong md hifa deu cd r^ thda mfa -0.5 <
r. < 0.5
Ket lufa: Md hifa khdng xay ra hien tagng da cdng tayen.
Kiem djfa phuong sai sai sd thay ddi: Bfag kiem djnh Breusch - Pagan cho md hifa REM vdi cto Ifah xttestO, k i t qua thu dugc: Gia tej Prob = 0.0002
< a. Do dd, bac bd gia thuyet H^.
Npls laithuan ngoaibi tk is
car npls roe laithuan ngoailai tk ts
0.0096 -0.2777 0.3141 -0.0913 -0.1462
1 -0.2656 0.0276 0.23 -0.3922
1 -02246 -0.4202 0.3203
1 0.2015 0.049
1 -0.1 Nguon: Nhdm tdc gid kiim dinh
SS 224 thing 02/2016 84
Bang 6: K8t qua mo hinh Mo hinh
Hing so car npls roe
Hes6 5,885317 -21,47457 77,62667 -18,54581
Sai so chuan 2,50969 3,780788 20,51168 6,450497
Gia tri z 2,35 -5,68 3,78 -2,88
Mu-c y nghia 0,019 0,000 0,000 0,004 laithuan
ngoailai tk ts
5,282022 9,595865 -8,634657
1,741651 2,87877 3,480917
3,03 3,33 -2,48
0,002 0,001 0,013 Ghi chu: a. Biin phu thupc: rank
Kit lufa: Md hifa REM cd xay ra hien tagng phuong sai sai sd thay ddi.
Tien hafa khto phuc hien togng phuong sai sai sd thay ddi btog phuong phap udc lugng FGLS btog cto lefa xtgls va thu dugc ket qua fau sau:
Phuang tifah hdi quy:
Rank.^ = 5.885317 21.47457cari, + 11.62661 npls-^ - I8.5458Iroei( + 5.282022laithuan.^^
+ 9.595S65ngoaUai.^ - S.634651tk_ts.^
4.2. Thdo ludn kit qud
Trong dieu kifa cto yfa td khto khdng ddi, n l u CAR ttog 1% se d t o tdi xep hang lafa mafa tai chifa cua ngto hfag ttog 21,47%. Dieu nay hoto toto phu hgp vdi cto nghien c t o cua Mayes &
Steemmel (2012) va Esteella & cdng sy (2000). Cto nghien c t o nay deu chi ra rtog CAR la chi so hieu qua faat dy b t o sy khung hotog, dto biet teong khotog thdi gian dai va khtog djnh chi sd an toto vdn la chiec chia khda quan trgng de dam b t o s t o khde cua cto ngto hfag.
npls tang 1% se dfa tdi gia tri trang bifa xep hang lafa mafa tai chifa c t o ngfa hfag giam 77,63%. Ket qua nay hofa tofa phu hgp vdi cac nghien c t o tettdc day. Theo Andrie§ & cong sy (2011), ng x t o la mdt khoto rat tdn kem va lam giam dtog ke lgi fauto c t o cto ngfa hfag. Ng xfa cfag gay ra sy tdn kem chi phi qufa ly. Do vay, afa h u t a g tieu cyc ma ng x t o gay ra cho cto ngfa hfag la rat dfag lo ngai.
roe cfag la mdt fato td tto ddng dtog k l din sy lafa mafa tai chifa cua ngto htog, cu thi: roe tfag 1%, gia tej tenng bifa xip hang lafa mafa tai chifa tfag 18,54%. Theo dd, fatog ngan hfag cd chi tifa ve Igi faufa tdt se it cd kha ntog phai ddi mat vdi
khfag hofag teong toong lai (Poghosyan & Cihak, 2009). Theo Nguyin Mifa Kilu (2007), mot sd chi tieu tai chifa mang tifa chat cdng lan cdng tdt, teong dd cd roe.
Hai chi tieu laithuan va ngoailai deu cd tto ddng ddi vdi sy lafa mafa tai chifa c t o cto NHTM. Cy the: neu chi phi ngoai lai ttog 1% se dfa dfa m t o do Itoh mafa tai chifa c t o ngto htog giam 9,6% va thu faap lai thufa ttog 1 % se dfa den m t o do lafa mafa tai chifa cua ngto htog giam 5,3%. Dieu nay hofa tofa phu hgp vdi quan diem eua MacDonald &
Koch (2003).
Chi tieu tkjs: Ti le thafa khofa tfag 1% se ttog m t o do lafa mafa tai chifa len 8,63%. Theo Wag- ner (2005), trong mdt giai doan thutag, sy tfag len cua tinh thafa khofa khdng afa h u t a g qua faifa dfa sy dn djfa c t o he thdng ngfa htog, do do, con sd 8,63% la hgp ly.
Nhu vay, md hifa cto yeu td afa h u t a g d i n sy lafa mafa tai chifa cua cto NHTM Viet Nam ma nghifa c t o dua ra la hgp ly ve mat y nghia thdng ke va y nghia kifa te.
5. Ket luan va khuyen nghi 5.7. Kit ludn
Sau qua trifa p h t o tich dii lieu, hdi quy md hifa va kiem djfa cto gia thuyet, nghifa c t o nit ra dugc cto ket lufa.
- Cto fafa td tac ddng tich cyc dfa m t o do lafa mafa tai chifa cua cac NHTM la CAR, ROE va Ti le tai sfa thanh khoan/Tdng tai sfa, vdi m t o tto dgng lin lugt la 21,47%, 18,55% va 8,63% trong dieu kifa cto yeu td khto khdng ddi.
- Cto fafa td cd afa h u t a g tieu cyc den m t o do lafa mafa tai chinh cua cto NHTM Viet Nam la ti
SS 224 thing 02/2016 85
le ng xiu, Ti le thu faap lai thuln/Tdng thu faap va Ti le chi phi ngoai lai/Tdng thu faap, vdi mto tac ddng lln lugt la 77,63%, 5,28% va 9,60% teong dilu kifa cac ylu td khto khdng ddi.
- Ba faan id quan tegng fait, cd mto toh hutag cao fait din mto do lafa mafa tai chinh cto cto NHTM Viet Nam la Ti le an toto vdn, Ti le lgi fauto rdng/vdn chu sd hto va Ti le ng xto.
Nghifa cto nay vln cdn ban chl vl thu thap dil heu, du lieu sin cd thu thap dugc mdi chi dtog lai d 18 ngto htog. Cac nghien cto tilp theo cd the thu thap diy du sd lieu cua bd chi sd cdt ldi (Core FSIs) va md rdng thyc hien d giai doan hdi phuc va tfag tenfag, sau dd kit hgp ca ba giai doan va bd sung cac biln kifa tl vT md se thu dugc fafag kit qua cd y nghia vl mat vi md va vi md ciia nfa kifa te trade, teong va sau khung hofag.
5.2. Khuyen nghi
Khuyin nghi nham ndng cao hiiu qua hogt dpng ddnh gid lanh mgnh tdi chinh hi thong NHTM Viet Nam
D I ntog cao hieu qua boat ddng dfah gia lafa mafa tai chifa, fafag giai phap sau cin dugc luu y thyc hien:
- Ngfa hfag Nha nude cfa yeu cto bat budc cdng bd va cung cap thdng tin day dii ve bto cto tai chinh da kiem tofa, bao gdm ca Thuyet mifa bto cao tai chinh day du cua cto NHTM tren website chifa thto cto mdi ngto htog de ttog tifa mifa bach va tifa cd the so safa dugc, ddng thdi giiip ngudi thyc hien dafa gia giam bdt khd khfa trong viec tim kiem thdng tin, ngoai ra Ngto hfag Nha nude cin chi dao cac NHTM tifa hfah lap bto cao tai chinh theo Chuto myc Bto cto tai chifa qudc tl (IFRS) thay vi Chuto myc Ke toto Viet Nam (VAS).
Hoat ddng dafa gia lafa manh tai chifa cac NHTM cto dugc tifa hafa thutag xuyen, lifa tac va cd djfa htog nam (hoto nto nam) tefa toto bd he thdng ngto htog dl Ngan htog Nha nude va fatog
ngudi sti dung thdng tin cd cai fain cap nhat n a tinh hifa sto khde cua he thdng.
Khuyin ngM nham cdi thien su dn dinh va mgnh tdi chinh hi thing NHTM Viet Nam.
Kit qua cua nghifa cto cho thiy ba ylu to quan tegng cd tim afa hutag Ifa fait din sy dn dinh va lafa mafa tai chifa he thdng NHTM Viet Nam la:
CAR, ROE va NPLs, do dd cto khuyin nghi sau day tap trang vto giai quyet fafag vfa de cdn ton tat ta ba fafa td nay.
Ti le an tofa von - CAR: Quy djfa dam bto chi tieu an tofa vdn song song vai viec dam bto du ng cho vay, toe la cto ngfa hfag se khdng thi giam du ng cho vay dl dat muc dich tang CAR. Ddi vdi fafag ngfa hfag c6 quy md vdn fad, gap faieu khd khfa va khdng thi tfag vdn, giai phap kha thi fait chifa la hgp fait, sap faap, bfa lai. Ddi voi cto ngto hfag gap khd khfa ve vdn, cfa day mafa bto ng xiu cho Cdng ty qufa ly tai sfa VAMC va thu ve teai philu dto biet, trfa co sd do se dugc phe duyet khofa vay tai cap vdn to Chifa phu.
Ti le Ng xiu - NPLs: Nha nude cfa hofa thifa hieu qua boat dgng cto Cong ty qufa ly tai sfa (VAMC) bing ctoh teao quyfa dgc lap de cdng ty hoat ddng cd hieu qua. Mdt cdng ty qufa ly tai sfa cfa phai cd day du tham quyfa, hoat dgng ty do, ddc lap khdi sy cfa ted ve mat chinh trj (Fimg &
cfag sy, 2004). Cto khofa ng xfa ma VAMC mua lai phai la fatog khofa cd kha nfag thu hdi dugc, gia mua lai khofag 40 - 45% gia tri khofa ng sd sach (theo kifa nghiem cua Hfa Qudc va Malaysia).
- Ti le lgi faufa rdng/vdn chu sd h t o - ROE: De eai thifa ti sd ROE, cto ngfa hfag cfa tap trung faieu hon vto mfag bfa le la hoat dgng dem lai doafa thu chac chfa, han che va phfa tfa rui ro cho cac ngfa hfag. Ngoai ra, cto ngfa hfag cfa kiem soat tdt cac ddng chi phi fau chi phi fafa vifa, mua cdng cy, dung cu,... teafa tifa trang gay Ifag phi Iam giam lgi faufa cua ngfa hfag.n
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