tailieunhanh - Factors affecting liquidity risk in the system of Vietnamese commercial banks

The research tries to identify causes of liquidity risk for the system of Vietnamese commercial banks. Data for the research are collected from annual reports in the years 2002-2011 by 27 Vietnamese commercial banks. | 34 | Trương Quang Thông | 34 - 48 Factors Affecting Liquidity Risk in the System of Vietnamese Commercial Banks TRƯƠNG QUANG THÔNG University of Economics HCMC truongquangthong@ ARTICLE INFO ABSTRACT Article history: Received: July 09, 2013 Received in revised form Aug. 06, 2013 Accepted: Dec. 31, 2013 The research tries to identify causes of liquidity risk for the system of Vietnamese commercial banks. Data for the research are collected from annual reports in the years 2002-2011 by 27 Vietnamese commercial banks. The liquidity risk examined in the research is financing gap; and independent variables, or factors affecting the liquidity risk, are divided into two groups: internal and external ones. The estimated results of the models show that the liquidity risk among banks depends not only on internal factors, such as total asset size, liquidity reserve, inter-bank loan, and ratio of equity to capital, but also on external ones, or macroeconomic factors, such as growth rate, inflation, and especially effects of policy lags. Keywords: bank, risk, liquidity, Vietnam. Factors Affecting Liquidity Risk JED January 2014| 35 1. INTRODUCTION There are numerous debates about the liquidity problems of Vietnamese banking system. Some suggest that the main cause is an overall small scale, whereas others maintain that liquidity supply of such a developing economy as that of VN is comparatively limited. Several authors also argue that the liquidity problem is greatly influenced by fiscal and monetary policies adopted by the Government. The research aims to identify the causes of liquidity risk for the system of Vietnamese commercial banks. According to the model, one dependent variable is "financing gap" measured by the difference between bank loans and deposits divided by total assets while independent variables are categorized into two groups: (i) internal factors include total asset size, average asset size, ratio of liquidity reserve to total .