YEU TO ANH mfCiNG TOI TY LE AN TOAN VON:
BANG C H I T N G Tir HE THONG N G A N HANG VIET NAM
Nguyen Thi Hien
Vien VJCC, Truang Dai hoc Ngoai thucmg Email. [email protected] Ngaynhan: 24/5/2017
Ngay nhanMn sua: 28/6/2017 Ngay duyet dang: 25/8/2017
Tdm tat:
Bdi viet nghien cuu ve cdc yeu to dnh huong tai ty le an todn von cua he thong ngdn hdng trong giai doan 2014-2016. Thong qua casa die lieu cua 33 ngdn hdng Vi^tNam vd dp dung mo hinh dinh luang cho thdy, viec kiem sodt ty le du phdng ton that tin dung vd ty l^ lai can bien co y nghia quan trong trong tdc dQng tai ty I? an todn von. Cdc yeu to vi mo khdc nhu ty suat Igi nhuan tren tong tdi sdn hay cdc chi tieu ve ty le tien gui co ky han tren tien gui khong ky han.
ty le dong tien giri vdo so v&i ddng tien gih nit ra, qui mo ngan hdng... chua cd bdng chimg ro rdng Id se co tdc dpng tdi ty le an todn von.
Tie khoa: Ty le an toan vdn, Nhan td anh hudng, Ngdn hang, Chudn muc Basel, Viet Nam.
Factors aflecting the capital adequacy ratio: Empirical evidence from Vietnam banking system
Abstract:
This paper examines factors affecting the capital adequacy ratio (CAR) of 33 Vietnamese commercial banks in the period of 2014 to 2016. By using relevant data of 33 commercial banks and econometrical estimations, it is discovered that Loss Allowance to Loan Ratio and Net Interest Margin have statistically significant impacts on the banks' CAR in Vietnam. However, there is no statistically significant impacts of other factors such as Return on Asset, Ratio of Term Deposit to Demand Deposit, the Ratio of Deposit In-Jlows over Deposit Out-flows, Bank Size on the commercial banks'CAR in Vietnam.
Keywords: Capital adequacy ratio; determinants; commercial banks, Basel Accord; Vietnam.
1. Dat v^n dl
Trong bdi cdnh hdi nhap kinh te the gidi, vdi sy tham gia ngay edng sdu rdng cua cac ngan hang nude ngoai, dac biet Id cdc dinh che tai ehinh den tu My, Nhat Ban, Singapore vd Australia theo Hiep dinh Ddi tdc Chien luge Xuyen Thdi Binh Duong, h | thdng ngdn hdng Viet Nam cdn phdi kien todn mpt each ddng bg, tien ddn ve ehuan myc qude te trong viec tao dyng hdnh lang dam bao an todn cho ho$t ddng ngan hang, gdp phdn ndng eao nang luc canh tranh va qudn tri nii ro eiia tung ngdn hdng.
Nhin lai cdc eude khiing hoang tdi ehinh tren the gidi, cd the thdy mdt trong nhiing nguyen nhdn ca
ban gay nen khung hodng chinh la viec ede ngdn hdng sir dung vdn huy ddng ngan han de eho vay/
ddu tu vay dai han qud miic, dan den mdt can ddi ky han tdi sdn va ngudn vdn va dan den nii ro thanh khodn. Da cd nhieu nghien ciru chi ra rang, klii nen kinh te cd nhieu bien ddng bat Ipi, nhirng ngan hdng mat can ddi ve ky han tdi sdn vd ngudn vdn de bpc Id nguy CO ddi mat vdi nii ro thanh khoan (Gobat &
edng su, 2014).
Nhdn thiie ro van de neu trdn, Uy ban Basel da ban hanh Hiep udc Basel III vdi trpng tdm Id xu ly eac vdn de vd quan ly riii ro ngdn hang, gnip cdc ngan hang tranh dugc cdc cu sdc tdi chinh va idiiing
Sd 243 thdng 9/2017
kinhti'J'yirien
hodng trong tuang lai. Trong do, Basel III dac bipt chii trong thilt lap khung chudn myc trong qudn tri rui ro thanh khodn, bao gdm (i) ty le dam bao thanh khoan (Liquidity Coverage Ratio -LCR) va (ii) Ty le ngudn vdn dn dinh rdng (Net Stable Funding Ratio - NSFR) ben canh cdc ty le an toan va gidi han khac. Cdc quy dinh nay se dugc hmh thdnh dan vd cd thi dua vdo dp dung chinh thirc dy kien vao thdng 1 nam 2018.
Tai Viet Nam, trong nhung nam gan ddy, dimg tren gdc dp qudn ly nhd nude, Ngan hang Nha nude da ban hanh nhilu thdng tu, van ban tao Idp khudn khd phap !>' dilu chinh vl cac gidi han, ty le an toan trong hoat ddng ngan hdng. Cdc quy dmh nay dugc xay dung va ban hanh tiem can ddn tdi cac chudn muc qude tl cua Uy ban Basel. Tuy nhien, nlu soi xet ky thuc tl van dung cdc quy dinh tai cdc ngdn hang Viet Nam, cd thi thdy edn nhieu khodng cdch dl dap ling chudn mue ciia Basel III, tham chi chudn myc Basel II. Thuc tiln tai cac ngdn hang thuong mai cho thdy, viec ap dyng cdc gidi han vd ty le an toan trong hoat ddng cdn mang nang tinh ddi phd, bl mat nhdm ddp ling yeu edu eiia cac quy dinh ma chua thuc sy di vao muc tieu cdt Idi cua hoat ddng ngan hdng, dam bdo an toan trong hoat ddng. Mac du vdy, trong xu hudng hdi nhap kinh te qude te, he thdng ngdn hang thuong mai Viet Nam neu khdng dilu chinh nguyen tdc hoat dpng ciia minh se diing trudc rdt nhilu nguy ca thdt bai, Vi vdy, nghien ciiu vl cac ylu td dnh hudng tdi tj- le an todn vdn cua cdc ngan hang thuang mai se mang l^i nhiing ca sd trudc tien Id cho ehinh cdc ngdn hdng ehii dpng dieu chinh ho^t ddng ciia minh va sau niia Id cho cae nha quan ly ban hdnh cdc quy dinh ciing nhu giam sat cdc hoat ddng rui ro ciia he thdng ngdn hang.
2. Tong quan tinh hinh nghien ciiu va co- sd ly tfiuyet Cac nghien ciiu ve he sd an toan vdn va eac yeu td tdc ddng den he sd an todn vdn tren the gidi ciing nhu d Viet Nam Id tuang ddi phong phu va tdn tai nhieu hudng tiep can khac nhau, vi du nhu cdc hudng tiep can ve tae ddng ciia cae bien so kinh t6 vT md hay tdc ddng cua cdc loai nii ro khac nhau nhu riti ro thi tnrdng, rui ro lai suat, rui ro tin dyng hay tac ddng cua hieu sudt van hanh eua ngdn hdng len he sd an todn vdn. Tir cdc nghien ciiu di trudc ciing nhu cae ly thuyet lien quan den he sd an todn vdn, ngodi cac yeu td he thdng nhu ty le an toan vdn trung binh eho todn bd he thdng cdn cd cac yeu td vi md, ndi tai cua cdc ngdn hang thuong mai, eu thi nhu sau;
2.1. Quy md cua ngdn hdng
Quy md ngan hang dugc phan dnh bang gia tri tdng tdi sdn ciia ngdn hdng. Mdt ngdn hang ed tdng tai san cao thi hign dugc siic manh cua ngdn hang Cling nhu t^o dupe miie dp tin nliiem ddi vdi cac chu till cho vay vd ngudi gdi tiSn vao ngan hdng.
Sv gia tang vl tdng tdi sdn la mdt ddu hiSu cho thdy ngdn hdng dang trong giai doan md rdng ve quy m5.
Khi ngan hang tang trudng, md rdng vl ngudn v6n till quy md ciia ngan hang eung ddng tiidi dugc md rdng. Viec tang trudng ngudn vdn ed thi dugc thyc hien thdng qua tang vdn ehii sd hiiu hojc tiidng qua vay ng nhung tang tnrdng dua vao ngudn vdn chu s6 hiiu se giup ngdn hang tang trudng quy md ben viing han so vdi dua tren vay ng va gidm thilu nli ro pha sdn cua ngdn hdng.
Tae ddng eua gia tri tdng tdi sdn len he sd an toan vdn eua ngdn hdng dugc cac tdc gid ehung minh theo cd hai hudng, ttiudn ehilu va ngugc chilu. Mekonnenl 1 (2015) dya trSn sd lieu trong 10 nam cua ede ngdn bang Ethiopia dl kilm dinh gid thilt va chiing minh quy md ngan hang cd tae ddng cimg chilu len he sd CAR. Shingjergji & Hyseni (2015) ti-ong nghien eiiu ciia minh vl hS thdng ngdn hang Albania trong 7 nam tir 2007 din 2014 ciing tim ra mdi tuang quan ty le thuan giiia quy md ngdn hdng vd he sd an toan vdn. Polat & Al-Kalaf (2014) nghien ciiu cae nhan td tdc dpng din he sd an toan vdn eiia he thdng ngdn hang cae qude gia A-rdp Xe-ut trong giai doan 2008- 2012 vd chiing minh cdc biln doe lap dua vao mfl hinh dIu cd tdc ddng ro ret len he sd CAR trir tac ddng eua Ng xdu la khdng rd rdng, trong dd bien the hien quy md ngan hang cd tdc ddng eung chieu den he sd an todn vdn. Trong khi dd, cac tdc gid khde nhu Bateni & epng sy (2014) lai dua ra quan dilm ve mdi quan he ngupe chieu giua 2 yeu td nay trong mo hinh kiem dinh su tac dong cua quy md ngan hang l&n he sd an todn vdn d Iran.
2.2. Ty Ii Dif phong riii ro tin dung Dy phdng nil ro tin dung la khodn tiln dugc trich lap de dy phdng cho nhiing tdn that cd the xdy ra d6i vdi nhiing khodn cho vay cua ngdn hang do khdch hang khdng thuc hiSn nghia vu theo cam ket trong hgp ddng tin dung. Du phdng nii ro thi dyng dupe tinh theo du ng gdc va bach todn vao ciii phi hoat dpng ciia ngan hang. Do dd, ty le du phdng nil ro tin dyng duac tinh bdng ty sd giiia khoan trich lap dir phdng nii ro tin dyng tinh tren tdng du ng cho vay phdn dnh chdt lugng cae khodn tin dyng cua ngan
So 243 thdng 9/2017
kinliiyiiiittmn
hdng cung nhu khdu vi nii ro eua ngdn hang.
Tren the gidi eiing nhu d Viet Nam da cd cdc nghien cim dugc ttiuc hien de xdc dinh dnh hudng eiia Ty le dy phdng rui ro tin dung len hd sd an toan von CAR vd ket qud cua eac nghien cuu ndy khdng hoan toan ddng nhat. Choi (2000) khi nghien eiru ve cac ngan hdng Hdn Qude va Blose (2001) da chi ra rdng khi cac ngan hdng tang trich lap du phdng nil ro eho cdc khodn tin dung se ddn din gidm he sd CAR. Tuy nhien, nghien ciiu cua Dreca (2013) vdi dii lieu tir 10 ngan hang d Bosnia trong vdng 6 nam cho thay ty le du phdng riii ro tin dung phan anh nii ro trong hoat ddng cho vay ciia ngan hang, do dd mirc dp nil ro tin dung cd tuong quan duang vdi xac suat phd san vd tac ddng cua du phdng nii ro tin dung ddi vdi he sd CAR Id tich eye. Mot ty le du phdng rui ro tin dyng cao thudng ed nghia la ngdn iidi^ ddnh gid cdc khoan eho vay cd nguy co vd ng cao cd the 1dm anh hudng den sire khoe tai chinh ciia ngan hang, va do do ngdn hdng se duy tri mpt ty le an toan vdn cao han. Tuy nhien, tai Viet Nam, nghien ciru cua Than Thi Thu Thuy & Nguyin Kim Chi (2015) dIu chi ra rang ty le trich lap dy phdng nii ro tin dyng deu khdng cd dnh hudng y nghia ve mat thdng ke tdi he sd an todn vdn trong cac ngan hang thuong mai Viet Nam.
2.3. Ty le thu nhap lai can bien
Ty le thu nhap lai can bien dupe xdc dinh bdi "lai rdng can bien so vdi tdi sdn" cua ngdn hdng. Ddy la chi sd dugc sit dung de xae dinh ehenh leeh giira thu nhap lai vd chi phi lai phdi trd cua ngan hdng, phdn anh hoat ddng kiem sodt chat che tdi sdn smh lai va theo dudi cae ngudn vdn ed ehi phi thap nhdt. Ty le lai can bien cao Id mdt ddu hieu quan trpng eho thdy ngan hang dang thdnh edng trong viec qudn ly tdi san vd ng. Ngugc lai, ty le lai c^n bien thdp se cho thay ngan hdng gap Idid khan trong viee tao Ipi nhuan. Thdng qua ty le nay, ngan hdng cd the kiem sodt tai san sinh lai vd ddnh gid ngudn vdn nao cd ehi phi thdp nhdt.
Aktas & edng su (2015) cho rdng ty le thu nhap lai can bien la mpt trong nhiing yeu td quan trpng tac ddng den he sd CAR. Cdc nghien cim eua eac tdc gid khde ciing tim ra mdi quan he nay, tuy nhien quan dilm khdng ddng nhat. Theo Ahmad & epng su (2008), thu nhap lai rdng cao se giup eho cac cd ddng eua ngan hang cd Igi nhuan va tir dd gia tang dugc vdn chii sd hihi nham chdng lai nii ro phd san eho ngdn hdng. Ket ludn tuong ty eiing dugc nit ra tir nghien cihi Hodng Thi Thu Ha (2015) tren 15 ngdn hang thuang mai Viet Nam cho giai doan
2006-2014. Ben canh do, Yu (2000) lai cho rang Igi nhuan cao cd the lam giam vai trd ciia vdn nhu mpt tdm dem chdng lai nii ro phd sdn, dieu nay ddn den ty le thu nhap lai can bien va ty le an todn vdn cd mdi tuong quan dm. Tuong ty, Margaretha &
Setiyaningrum (2011) su dung sd lieu td bdo edo tai ehinh cua cdc ngdn hdng niem yet tren Sd giao dich chiing khoan Indonesia trong khoang thai gian tir 2003 den 2008 de chay md hinh kiem dinh vd tim ra rang ty le thu nhap lai can bien cd tdc ddng ngugc chieu tuang ddi ro ret len he sd an todn vdn.
2.4. Ty le Tdng Dtr na Cho vay/Tdng Tien gui Ty le du np cho vay so vdi tdng tien gui Id mdt trong nhung ty le an todn ngdn hang dugc quan tam nhdt, cd tae ddng den cdc quyet dinh ve ddu tu va cho vay cua ngdn hang. Mdt sy gia tang ty le ndy nghia Id "tdm dem" eiia ngan hang de chdng lai nguy ca nit tien giii ddt ngdt dang bi "mdng" di, khien khd nang thanh khoan cua ngdn hang bi anh hudng.
Moi quan he giiia ty le cho vay tren tien gui va ty le an todn vdn cd the xem xet d khia c^tih mpt mirc do cao ciia ty sd eho vay tren tien giri cd nghia la nii ro thanh khodn cua ngan hang cao hem va can dupe bu dap bdi miie vdn eao han. Ddng thdi khi ty sd eho vay tren tien giii tang cd nghia Id ngdn hang tang cuong hoat dpng sir dyng vdn de tdng them dugc thu nhap tir Idi. Lgi nhuan tang them nay cd the bd sung vdo thu nhap giu lai de lam tang vdn eho ngan hang va do dd, he sd an toan vdn se tang len.
Tren the gidi da cd mdt sd tae gid thuc hien cac nghien ciju ve dnh hudng cua ty le cho vay tren tien giii tdi he sd CAR. Abusharba & edng sy (2013) trong nghien euu ve he sd an toan vdn tai eac ngan hang Hdi giao Indonesia dd ket ludn ty le cho vay/
tien gui cd tdc ddng ciing chieu len CAR, nghia la khi ngdn hang tang eudng sit dung vdn de cho vay thi he sd CAR ciia ngdn hdng ciing tang theo Tuy nhien, Buyuksalvarci & Abdioglu (2011) nghien eiiu ve cdc yeu td tdc ddng den he sd CAR cua cdc ngdn hang Thd NhT Ky giai doan 2006-2010 lai ehi ra ty sd cho vay tren tien giri cd tae ddng ngupe chieu len he sd CAR. Mdt bang chiing khdc ve mdi tuong quan am giiia ty sd cho vay tren tien gui vdi he sd an todn vdn dupe tim thdy trong nghien edu nam 2015 tren he thdng ngdn hang Albania eiia Shingjergji &
Hyseni (2015) khi tinh ra gia tri beta giiia hai bien la -0.1125, nghia la khi ty sd eho vay tren den gui tdng se dan den he sd CAR giam.
2.5. Ty suat loi nhuan tren tong tdi sdn
S6 243 thdng 9/2017
kinlitciliattripii
Ty sudt Igi nhudn tren tdng tai san (ROA) la mdt ehi sd quan trpng dl ddnh gid khd nang smh Ipi, phan dnh hieu qua ho^t ddng kinh doanh cua ngan hdng.
Chi sd nay cho bilt vl Ipi nhu^n thu duge ti-en mdt ddng tai sdn, do do thi hi$n khd ndng chuyen hda tai sdn thanh lgi nhuan cho ngdn hang. Khi ngdn hang dat duge chi sd ROA eao ddng nghia vdi vipe ngan hdng sir dung tdi sdn de chuyen hda thanh lgi nhuan dat hieu qud cao vd khi dd se cd khuynh hudng su dyng ngudn tao vdn tir npi bd la lgi nhuan giii Isii de gia tang vdn chu sd hiiu ngdn hdng. Buyuksalvarci
& Abdioglu (2011) cho rang phan Idn cac ngdn hang dua vdo lgi nhuan giii lai de gia tang vdn. Nghien ciiu ciia Gropp & Heider (2009) sir dung dii lieu thii cdp tir nam 1991 din 2004 cua cac ngan hang chdu Au da chi ra cdc ngdn hang ndy khi dat dugc mot ty suat Igi nhuan tren tdng tdi san khd di thudng cd khuynh hudng gia tang vdn ty cd b5ng Igi nhuan khdng phan phdi cung nhu ddu tu vao tdi sdn cd dmh vdi ky vpng t^o them dugc nhieu Ipi nhuan han nua trong tuang lai.
Nhieu nghiSn ciiu trong vd ngodi nude da chiing minh tdn tai mdi quan h? rd ret giiia ty sudt lgi nhugn tren tdng tdi sdn vd gidi ban an toan vdn ciia ngan hdng. Cu the nhu eac nghien cihi ciia Buyuksalvarci
& Abdioglu (2011), dIu tim ra tdc ddng thu^n chilu cua ROA len he sd CAR Idn lugt tg.i he thdng ngdn hang ede qude gia Thd NhT Ky, Jordan. Tai Viet Nam, Binh Dao Thanh & Thomas (2014) trong nghien eiiu ve moi quan he gma ty le an todn vdn vd nii ro ngdn hang da su dyng dii lieu thii cdp eua 11 ngdn hdng Viet Nam trong vdng 6 nam tir 2008 din 2013 eiing da dua ra kit ludn vl mdi tuang quan duong giiia hai ehi sd ROA vd CAR. Tuy nhien, Thdn Thi Thu Thuy
& Nguyin Kim Chi (2015) lai tim ra tac dpng ngugc chieu cua ROA len CAR t^ii cdc ngdn hang thuang mai VidtNam, cy thi la khi ROA tang idn 1% se lam ROA giam 1.2025% d miie y nghia 5%. Kit lu^n ndy dugc giai thich bdi giai doan 2005-2010 la tiidi ky ROA ciia he thdng ngdn hdng Viet Nam dat dugc gia tn cao, trung binh la 1.48% nhung mdt trong nhimg nguyen nhdn dan din kit qua ROA nay la do chi phi du phdng nii ro tin dung cua cdc ngan hdng giam, trong khi hoat dpng tin dung cua ngdn hang lai tiem an nhilu nguy ea trong giai doan nay do hau qua ciia tang tnrdng tin dyng ndng va chdt lupng tin dung kem. Dilu nay se dnh hudng din siic khde tdi chinh eiing nhu sy an todn von eua ngdn hdng.
3. Mo hinh phan tich
De udc lugng cac ylu td dnh hudng din ty le an todn trong ho^t dong ngan hang ma phdn Idn cac nghien ciiu trudc day da thuc hipn, md hmh nghien euu eho he thdng ngan hang Vipt Nam duge dupe xay dyng td tdng hgp cac nhan td anh hudng ma cdc nghien euu trudc ddy da xem xet, bao gdm ca yeu td chung cho toan h? thdng nhu ty Ip an todn vdn trung binh vd yeu td vi md eua cac ngan hang thuang mai nhu quy mo ngan hang, ty le du phdng riii ro tin dung, ty le Idi can bien, ty suat smh Idi tren tdng tai san, ty Ip du ng cho vay so vai tdng tiln giii.
Ngodi ra, mot sd yen td khdc nhu ty le ddng tiln gih vao vd ddng tien giri nit ra hay ty le tiln gui cd ky han so vdi tien gui khdng ky han ciing dugc xem xiC vi cae ty le nay anh hudng tdi tinh thanh khodn c i ^ cdc ngdn hdng thuang mai, do dd anh hudng tdi rid ro cua chiing. Md hinh udc lupng dugc md td eu thi trong phuong trinh (1) nhu sau:
CAR,, =p„ + p, RISK,, + p^ IMR, ^ P3ROA;, + P.DEPVAR, + pj INTRAT,-!- p^ DEPR,, + p/VCI*
+ pglnASSZ„+ E,, ' (1) Trong dd:
CAR,; Phdn anh ty le vdn an todn cua ngdn hang i tai thai gian t;
RISK,,; Ty le du phdng nii ro tin dung dugc do bang "Du phdng tdn thdt cho vay/Du ng eho vay"
eiia ngdn hang i tai tiidi dilm t;
IMR,; Ty le lai can biSn duge xdc dinh bdi "lai rdng can bien so vdi tai sdn" cua ngan hdng i tai then gian t;
ROA„: Ty suat lgi nhuan so vdi tong tai san;
DEPVAR,: Bien dpng tiln gui khdng ky ban dupe do ludng bdi "ddng tiln giii vao/ ddng tiln giii nit ra" eua ngdn hang i tai thdi gian t;
INTRAT,; Ty le du ng cho vay tren tdng tiln gui ciia ngan hang i tai thdi gian t;
DEPR,,: Ty le tiln gui cd ky han/ tiln giii khdng ky hgn ciia ngdn hang i t^i thdi dilm t;
AVCP,: T^ Ip an toan vdn trung binh cho tdt cd cSc ngdn hang trong thai gian t;
ASSZ,,: Quy md ngdn hang i tai tiidi dilm t dugc do ludng bang quy md tdng tdi sdn ed dilu chmh chi so gid tieu diing;
£,; sai sd.
Bk udc lupng eac ylu td anh hudng tdi ty le vSn an toan cua he thdng ngdn hang, nghien euu sii dyng cdc md hinh thudng dugc dp dung cho phdn tich
So 243 thdng 9/2017 kiiilili'.J'iiiillriei
Bang 1. Thong ke mo ta Std. Dev.
CAR RISK IMR ROA DEPVAR INTRAT DEPR AVCP ASSZ
0.145 0.007 0.015 0.005 0.125 1.907 18.152 0.143 31.734
0.061 0.013 0.019 0.021 0.141 6.216 104.387
0.014 1.243
0.0 0.0 -0.1 0.0 0 0.1 0.0 0.1 28.3
0.4 0.2 0.1 0.2 1.0 56.1 522.7 0.2 34.5 du lipu mang Pooled OLS, FEM, REM vd md hinh
GMM. Trong dd, nghien ciiu sir dimg kiem dinh F de danh gid su phu hgp cua md hinh Pooled OLS.
Trong trudng hgp md hinh Pooled OLS khdng phu hgp, Idem dinh Hausman dugc tien hdnh sir dung de so sdnh hai md hinh FEM vd REM. Sau khi tim ra md hinh phu hgp vdi dii Heu nghien ciiu, cac kiem dinh ve ty tuang quan, phucmg sai thay ddi se dugc thyc hien nhdm kiem djnh sy tin cay md hinh. Md hinh vi pham se dugc tdc gid sii dyng md hinh GMM de hipu chinh
Dii lieu duge su dung de udc lugng dupe Idy tir co sd dir lieu eiia Cong ty cd phdn Stoxplus vdi 33 ngdn hdng dupe dua vao nghien ciiu cho dii lidu theo nam trong khoang thdi gian 3 nam 2014, 2015 vd2016.
4. K^t qua vd thao lu^n 4.1. Thdng ke md ta dir lieu
Dir lieu md td trong Bang Icho thdy ty le an todn vdn CAR tinh trung binh ea giai doan cua cdc ngdn hang dat 0.1446 tucmg ling vdi 14.46%, la mdt ty IS kha eao so vdi quy dinh ciia Ngan hang Nhd nude theo Basel II la 9%. Cac nhdn td khde dugc the hien chi tilt trong Bdng 1.
4.2. Kiem tra van de da cgng tuyen Bdng 2 md td kit qua kiem tra da edng tuyen ehi ra rdng cac biln ASSZ, AVCP va INTRAT cd da cgng tuyen trong md hinh, do dd cdc bien ndy ra khdi md hinh trudc khi phdn tich hdi quy.
4.3. Phdn tich hoi quy
Ket qua hdi quy chi ra md hinh Pooled OLS khdng phu hgp vdi du lieu (p-value eua kiem dinh F nhd hem 0.05). Kilm dinh Hausan chi ra md hinh FEM la phu hop ban so vdi md hinh REM. Tuy nhidn, md hinh FEM gap cd khuyet tat ve tu tuang quan vd phuang sai thay ddi. Do dd, md hinh GMM dugc tdc gia sii dung de phdn tich khi dat su tin cay vdi AR(2) va Hansen test deu ed mirc y nghia 5% (Bang 3).
Ket qua hdi quy cho thay ty le dy phdng nii ro vd ty Ip lai can bien cd tac dgng ciing chieu len ty le an todn vdn. Khi cac ngdn hang tang ty le du phdng nil ro vd ty le lai can bien se lam gia tang ty le an todn vdn. Ket qua nay hoan todn phii hgp vdi nhdn dinh tii ly thuyet.
Tuy nhien, ylu td ROA cd tde ddng ngupe ehieu len ty le an todn vdn. Ket qua nay cd ciing ket luan vdi nghien ciiu cua Thdn Thi Thu Thuy & Nguyen Bang 2: Kilm dinh da epng tuyen
Variable VIF VIF
ASSZ AVCP INTRAT
140.5 113.6 27.8
29.0 21.6 RISK
IMR DEPVAR DEPR ROA
10.6 8.0 5.4 4.6 1.3
10.6 7.9 4.5 3.9 1.3
84 6.9 4.2 3.2 1.3
6.1 3.5 3.9 1.0 1.2
SS 243 thing 9/2017
(iDhlpJhatlmn
Bang 3. Cac yeu t^ anh hirdng tdi ty II an toan von
n . i k
AR(2) RISK IMR ROA DEPVAR DEPR Constant P-value cua F-test Kiem dinh Hausman Tv tucmg quan Phuang sai bang nhau AR(2)
Kiem dinh Hansen S6 ngan hang Ghi chii: Phucmg sai dugc d
Pooled OLS
-1.531 (0.931) 0.843*' (0.353) -0 335**
(0.137) -0.004 (0.0433) -1.43e-05 (3.82e-05) 0.143*"
(0.018) 0.000
trong ngoac don; **
FEM
0.883 (0.980) 0.864*
(0.448) -0.066 (0.128) 0.088 (0.0846) 5.50e-06 (3.54e-05) 0.088**' (0.024)
0.002 0.000
33 CAR
0.009 REM
-0.184 (0.888) 0.951»*
(0.382) -0.149 (0.124) 0.017 (0.057) -6.40e-06 (3.32e-05) 0.119***
(0.020)
33
*,**,* phan anh muc y nghia tucmg GMM 0.490***
(0.021) 0.975**
(0.446) 0,453***
(0.145) -0.186***
(0.057) -0.010 (0.017) 6,60e-05 (460e-05) 0.0407***
(0.007)
0.420 33 ling 1%, 5%, 10%
Kim Chi (2015). Theo nghien eihi Than Thi Thu Thiiy & Nguyin Kim Chi (2015), khi ROA tang Ign 1% se lam ty 16 CAR giam 1.2025% d miic y nghia 5%. KSt lu^n ndy duge gidi thich bdi giai doan 2005- 2010 Id tiidi ky ROA ciia he thdng ngdn hang Viet Nam dat dupe gia tri eao, trung binh la 1.48% nhung mdt trong nhiing nguyen nhan ddn din kit qua ROA ndy la do ehi phi du phdng nii ro tin dyng cua cac ngdn hang gidm, trong khi hoat ddng tin dyng cua ngdn hang lai tilm dn nhilu nguy co trong giai doan ndy do hdu qud ciia tang trudng tin dung ndng vd chdt lugng tin dung kem. Trong khi dd, vdi nghien eiiu ndy cho giai doan 2014-2016, tinh hudng ed thi ngugc lai khi ma he thdng ngan hang vua trdi qua mdt dpt khiing hodng vdi nhilu hottt ddng tdi ea edu da lam cho cdc ngan hdng than trpng trong duy tri ty le an toan vdn. Nhiing ngdn hang cd Igi nhuan cao tiiudng la nhimg ngdn hang Idn, do tinh thanh khodn tdt nen thudng khdng duy tii ty le an toan vdn Idn trong khi do cae ngdn hang nhd hon, kha ndng thanh khoan kem hon nen mac du ty suat sinh Idi thdp vdn phdi duy tri mpt ty le an todn vdn eao.
5. Kit luan
He thdng ngan hang da, dang vd se ddng vai trd vd cung quan trpng ddi vdi nIn kinh tl xd hdi ciia
bdt ky qude gia ndo trong dd cd Viet Nam bdi sy van ddng cua nd Id kit ndi ngudi tilt kiSm vdi ngudi cd nhu cau ddu tu; ngdn hang ciing tao phuang tien thanh toan va lam trung gian thanh toan cho cdc hoat ddng kinh tl trong nude va qude tl. Vdi dac thu kinh doanh nhu vdy, hoat ddng ngdn hang ludn dn chiia nhieu nii ro, anh hudng khdng nhd din moi mat kinh te, xa hpi ciia mdt qude gia. Ld mdt nIn kinh tl dang trong qud trmh chuyin ddi vdi he thdng tai chmh dang tirong qud trinh phdt tiiln da dat he tiidng ngdn hdng Viet Nam diing tiirde nhilu tiidch thiic trong qud trinh hdi nhap qude tl.
Nghien ciiu vl cdc ylu td dnh hudng tdi ty 1? an todn vdn cua he thdng ngan hang trong giai doan 2014-2016 tiidng qua cac md hinh dinh lupng cho thdy viec kiem sodt ty le du phdng tdn thdt vd ty le lai can bien cd y nghta quan trpng trong tac ddng tdi ty 1? an todn von. Cac ylu td vi md khac nhu ty sudt lgi nhu^n tren tdng tai sdn hay cae ehi tieu vl ty \k tien giii cd ky han tren tiln giii khdng ky han, ty le ddng tien giii vdo so vdi ddng tiln giri nit ra, qui mo ngan hdng chua ed bdng chiing ro rang la se cd tdc ddng tdi ty le an todn vdn.
So 243 thdng 9/2017
kJnliteJ'liiiltmii
Tdi Ueu tham khao
Abusharba, M.T., Triyuwono, I., Ismail, M. & Rahman, A.F. (2013), 'Determinants of capita! adequacy ratio (CAR) in Indonesian Islamic commercial banks'. Global Review of Accounting and Finance, 4(1), 139-170.
Aktas, N., Crocib, E. & Petmezasc, D. (2015), 'Is working capital management value-enhancing? Evidence from firm performance and investments'. Journal of Corporate Finance, 30, 98-113.
Ahmad R., Ariff, M. & Skully, M.J. (2008), 'The Determinants of Bank Capital Ratios in a Developing Economy', Asia-Pacific Financial Markets, 15(3-4), 255-272.
Bateni, L., Asghari, F. & Vakilifard, H. (2014), 'The Influential Factors on Capital Adequacy Ratio in Iranian Banks, InternationalJournal of Economics and Finance, 6(11), 108-116
Binh Thanh Dao & Thomas, A. (2014), Capital Adequacy & Banking Risk -An Empirical Study on Vietnamese Banks, retneved on September, 1" 2017, Irom <https.//ssm.com/abstract=2524233 ngay l/9/2017>.
Blose, L.E. (2001), 'Information asymmetry capital adequacy, and market reaction to loan loss provision announcements in the banking industry'. The Quarterly Review of Economics and Finance, 41(2), 239-258
Buyuksalvarci, A. & Abdioglu, H. (2011), 'Delerminanls of capital adequacy ratio in Turkish Banks: A panel data analysis', African Journal of Business Management, 5(27), 11199-11209.
Choi, G. (2000), 'The macroeconomic implications of regulatory capital adequacy requirements for Korean banks'.
Economic Notes, 29(1), 111-143.
Dreca, N. (2012), Determinants of capital adequacy ratio in selected Bosnian, retrieved on August, 30"^ 2017, from
<https://birimler.dpu.edu,n-/app/views/panel/ckfinder/userfiles/17/files/DERG_/EY ^ZEL_SAYI/n(l).pdf>.
Gobat, J., Yanase, M. & Maloney, J. (2014), The Net Stable Funding Ratio: Impact and Issues for Consideration, The macroeconomic implications of regulatory capital adequacy requirements for Korean banks, IMF Working Paper, WP/14/106.
Hoang Thi Thu Ha (2015), 'Tac dong cita nii ro vd hieu qua hoat dong din sy an toan von cua ngan hang thuang mai Viet Nam', Luan van thac sy Dai hpc Md Thanh pho Ho Chi Minh.
Margaretha, F. & Setiyanmgmm, D. (2011), 'Capital Adequacy Ratio Bank-Bank yang Terdaftar di Bursa Efek Indonesia', Jumal Akunfansi dan Keuangan, 13(1), 47-56.
Mekonnen, Y. (2015), 'Determinants of Capital Adequacy of Ethiopia commercial banks', European Scientific Journal, 11(25), 315-331.
Polatand, A. & Al-khalaf, H. (2014), 'What Determines Capital Adequacy in the Banking System of Kingdom of Saudi Arabia? A Panel Data Analysis on Tadawul Banks', Journal of Applied Finance <& Banking, 4(5), 27-43.
Grapp, R. & Heider, F. (2009), The Determinants of Bank Capital Structure, European Central Bank Working papers senes,No 1096, Septermber 2009.
Shingjergji, A. & Hyseni, M. (2015), 'The Determinants of the Capital Adequacy Ratio in the Albanian Banking System dunng2007-2014\ Intemational Journal of Economics, Commerce and Management, 3(1), 1-10.
Than Thi Thu Thiiy & Nguyen Kim Chi (2015), 'Nghien ciiu cac ylu td anh hudng den h? sd an toan v6n tai cac ngan hang thucmg mai Viet Nam', Tap chi Ngdn hdng, 11,14-22.
Yu, H.C. (2000), 'Banks' capital structure and the liquid asset - policy implication of Taiwan', Pacific Economic Review, 5{l), 109-114.
