Khủng hoảng tài chính thế giới và khả năng sinh lời của ngân hàng thương mại Việt Nam: Cách tiếp cận theo phương pháp Bayes

Nam Phạm Hải

doi:10.24311/jabes/2020.31.1.1

Các tác giả

Phạm Hải Nam Trường Đại học Công nghệ TP. Hồ Chí Minh Tác giả

DOI:

https://doi.org/10.24311/jabes/2020.31.1.1

Từ khóa:

Khả năng sinh lời, Bayes, Khủng hoảng tài chính, Ngân hàng thương mại

Tóm tắt

Nghiên cứu được thực hiện nhằm đánh giá tác động của khủng hoảng tài chính thế giới và các yếu tố bên trong, bên ngoài đến khả năng sinh lời của các ngân hàng thương mại Việt Nam. Bằng cách sử dụng dữ liệu của 30 ngân hàng thương mại Việt Nam và dữ liệu vĩ mô giai đoạn 2007–2018, cùng với cách tiếp cận theo phương pháp Bayes và thuật toán lấy mẫu Gibbs, nghiên cứu cho thấy: Khủng hoảng tài chính, quy mô ngân hàng, vốn ngân hàng, tài sản thanh khoản, tiền gửi khách hàng và dư nợ cho vay có tác động tích cực đến khả năng sinh lời; các yếu tố có tác động ngược lại là: Dự phòng rủi ro tín dụng, chi phí trả lãi, chi phí hoạt động.

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