Tác động chính sách an toàn vĩ mô đến rủi ro ngân hàng: Nghiên cứu tại các quốc gia có nền kinh tế mới nổi và dẫn dắt tăng trưởng kinh tế thế giới
DOI:
https://doi.org/10.24311/jabes/2020.31.8.1146Abstract
Nghiên cứu được thực hiện nhằm đánh giá tác động của chính sách an toàn vĩ mô (CSATVM) đến rủi ro ngân hàng tại Các nước có nền kinh tế mới nổi và dẫn dắt tăng trưởng kinh tế thế giới (Emerging and growth-leading economies – EAGLEs). Thông qua hồi quy đa biến theo cách tiếp cận Bayes, và cách lấy mẫu Gibbs, kết quả nghiên cứu cho thấy công cụ Giới hạn cho vay bằng ngoại tệ; Giới hạn phơi nhiễm hệ thống; dự trữ bắt buộc (DTBB) tăng thêm đối với tổ chức tín dụng có tầm quan trọng với hệ thống tài chính và/hoặc DTBB tiền gửi ngoại tệ cải thiện ổn định hệ thống ngân hàng rất rõ nét. Tuy nhiên, công cụ DTBB phản chu kỳ và tỷ lệ khoản vay trên giá trị tài sản lại làm tăng bất ổn hệ thống ngân hàng. Nghiên cứu cũng đánh giá tác động của lạm phát và tăng trưởng kinh tế đến rủi ro hệ thống ngân hàng, nhưng kết quả cho thấy ảnh hưởng của hai yếu tố vĩ mô này rất mờ nhạt.
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