Tác động của chính sách tiền tệ đến rủi ro hệ thống của các tổ chức  tài chính: Nghiên cứu trường hợp tại Việt Nam

Hoài Nguyễn Thị Thanh; Hương Trầm Thị Xuân; Linh Nguyễn Thị Thùy

doi:10.24311/jabes/2022.33.11.7

Authors

Hoài Nguyễn Thị Thanh Ngân hàng TMCP Công thương Việt Nam Author
Hương Trầm Thị Xuân Trường Đại học Kinh tế TP. Hồ Chí Minh Author
Linh Nguyễn Thị Thùy Trường Đại học Kinh tế TP. Hồ Chí Minh Author

DOI:

https://doi.org/10.24311/jabes/2022.33.11.7

Keywords:

Monetary policy, Systemic risk, Financial institutions, Vietnam

Abstract

The study uses the VAR model and Granger causality test to analyze the impact of monetary policy on the systemic risk of financial institutions in Vietnam from 2010 to 2020. The systemic risk of 29 financial institutions in Vietnam is measured by the Marginal Expected Shortfall (MES) method. The Monetary policy data is represented by the monetary policy interest rate while the economic performance is measured by the inflation rate and output gap of Vietnam’s economy. Research results show that monetary policy has a Granger causal effect on the systemic risk of financial institutions in Vietnam. The response of systemic risk to monetary policy shocks is different between the 2010–2012 period and 2013–2020 period. Based on this result, the State Bank of Vietnam needs to consider the role of monetary policy on systemic risks of the financial institution; thereby contributing to promoting Vietnam's stock market promotion in the future.

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