Tài liệu Truyền dẫn chính sách tiền tệ và kênh cho vay tại việt nam (monetary policy transmission and bank lending channel in vietnam)

i MINISTRY OF EDUCATION AND TRAINING UNIVERSITY OF ECONOMICS HO CHI MINH CITY ***** NGUYEN PHUC CANH MONETARY POLICY TRANSMISSION AND BANK LENDING CHANNEL IN VIETNAM PHD THESIS ii HO CHI MINH CITY, 2016 MINISTRY OF EDUCATION AND TRAINING UNIVERSITY OF ECONOMICS HO CHI MINH CITY ***** NGUYEN PHUC CANH MONETARY POLICY TRANSMISSION AND BANK LENDING CHANNEL IN VIETNAM Major: Finance and Banking Code: 62.34.02.01 PHD THESIS ACADEMIC ADVISORS 1. Prof. Dr. SU DINH THANH 2. Assoc. Prof. Dr. VO XUAN VINH HO CHI MINH CITY, 2016 i ACKNOWLEDGEMENTS I am deeply indebted to my academic advisers Pro.Dr. Sử Đình Thành and Assoc.Pro.Dr. Võ Xuân Vinh for their fundamental roles. Pro.Thành and Pro.Vinh have provided me with guidance, assistances, and supports during my study. They have given me autonomy on decision making and researching the topic, while continuing to provide valuable feedbacks, advices, and encouragement. In addition to our academic collaboration, I greatly appreciate the bonding relationships between Thành, Vinh and I. Additionally, I am deeply thankful to Dr. Trầm Thị Xuân Hương, my lecturer and my researching partner at School of Banking, who has assisted me in researching the topic in this thesis. She has also advised, encouraged and generously allowed me to apply our shared works in presenting this thesis. I gratefully acknowledge lecturers from the research methodology course at University of Economics Ho Chi Minh City who have provided me with basis methodologies for this study. Such methodologies have helped me understand, find and utilize correct methods. I would like to thank my dear colleagues at School of Banking and University of Economics Ho Chi Minh City for their substantial influence. The School of Banking and University of Economics Ho Chi Minh City provide the best environment for studying and researching. I also give my thanks to colleagues in International department at School of Banking, they always supported and encouraged me in this study and helped me a lot throughout my career. I also would like to thank the board of professors and the independent external reviewers who gave me a lot of useful comments and advices on my first presentation, their comments are one of the major contributing factors that allowed me to complete this version of my thesis. I am deeply thankful to my family for their love, support, and sacrifice. Without them, this thesis would never have been written. Ho Chi Minh City, Apr/2016 Nguyen Phuc Canh ii ABBREVIATIONS Words Meanings ADB Asia Development Bank APC Asset Price Channel AR Autoregression ARDL Autoregressive Distributed Lag Model BLC Bank Lending Channel BSC Balance Sheet Channel BRICS BRICS Group (including Brazil, Russia, India, China and South Africa) CC Credit Channel CFC Cash Flow Channel CPI Consumer Price Index DSGE Dynamic Stochastic General Equilibrium Model EC Expectation Channel ECB European Central Bank ECM Error Correction Model EDF Expected Default Frequency ERC Exchange Rate Channel E.U. European Union FAVAR Factor Augmented Vector Autoregression FDICIA Federal Deposit Insurance Corporation Improvement Act Fed Federal Reserve System FFR Fed Fund Rate GDP Gross Domestic Production GMM Generalized Method of Moments G7 Canada, France, Germany, Italy, Japan, UK, US iii HLE Household Liquidity Effects HNX Hanoi Stock Exchange HSX Ho Chi Minh Stock Exchange IRC Interest Rate Channel IS-LM Investment, Saving–Liquidity Preference, Money Supply IMF International Monetary Fund IPVN Vietnam Industrial Production IRF Impulse Response Function IT Inflation Targeting Policy LER Lending Interest Rate LIBOR London Interbank Offer Rate MPTM Monetary Policy Transmission Mechanism M2 Money Supply definition (expanded money supply) NEER Nominal Effective Exchange Rate NPV Net Present Value OECD Organization for Economic Co-operation and Development OLS Ordinary Least Squares KMV EDF KMV’s Expected Default Frequency QE Quantitative Easing program RDR Rediscounting Rate RFR Refinancing Rate SBV State Bank of Vietnam SME Small and Medium Enterprises S&P 500 S&P 500 Index SVAR Structured Vector Autoregression VAR Vector Autoregression VECM Vector Error Correction Models VIX The implied volatility of S&P 500 index options iv VND Vietnam Dong (Currency of Vietnam) VNI VNindex VNIBOR Vietnam Interbank Offer Rate VNindex Vietnam composite stock index U.K. The United Kingdom UPLC Unexpected Price Level Channel U.S. The United State USD US Dollar WACC Weighted Average Capital Cost WTO World Trade Organization v TABLE OF CONTENTS ACKNOWLEDGEMENTS .......................................................................................... i ABBREVIATIONS.......................................................................................................ii LIST OF TABLES ........................................................................................................ x LIST OF FIGURES ....................................................................................................xii CHAPTER 1 .................................................................................................................. 1 INTRODUCTION ........................................................................................................ 1 1.1. The overview of Vietnamese economy and monetary policy ...................... 1 1.1.1. The Vietnamese economy.......................................................................... 1 1.1.2. The State Bank of Vietnam ....................................................................... 2 1.1.3. The Vietnamese monetary policy .............................................................. 3 1.1.4.1. Market interest rates ........................................................................... 4 1.1.4.2. Inflation ............................................................................................... 4 1.1.4.3. Exchange rate ...................................................................................... 6 1.1.4.4. Credit ................................................................................................... 6 1.1.4.5. Stock markets ....................................................................................... 7 1.2. Research gap identification ............................................................................ 8 1.3. Research objectives and questions .............................................................. 10 1.4. The scope of this study .................................................................................. 11 1.5. Research methodologies and data ............................................................... 12 1.5.1. Methodologies.......................................................................................... 12 1.5.2. Research data .............................................................................................. 13 1.6. Some key concepts......................................................................................... 13 1.7. The structure of study .................................................................................. 15 CHAPTER 2 ................................................................................................................ 18 vi THEORETIAL FRAMEWORK AND LITERATURE REVIEW ....................... 18 2.1. Monetary policy............................................................................................. 18 2.1.1. Introduction ................................................................................................ 18 2.1.2. Central bank ............................................................................................ 19 2.1.3. Monetary policy targets ........................................................................... 19 2.1.4. Monetary policy tools .............................................................................. 20 2.1.5. The ineffectiveness of monetary policy .................................................. 21 2.1.6. Monetary policy and fiscal policy ........................................................... 21 2.1.7. Unconventional monetary policies ......................................................... 22 2.1.7.1. Quantitative easing program............................................................. 22 2.1.7.2. Inflation targeting policy ................................................................... 23 2.1.8. 2.2. Summary .................................................................................................. 24 Monetary policy transmission ...................................................................... 25 2.2.1. Conceptual framework ............................................................................ 25 2.2.2. Monetary policy transmission channels ................................................. 26 2.2.2.1. Interest rate channel .......................................................................... 27 2.2.2.2. Exchange rate channel ...................................................................... 29 2.2.2.3. Asset price channel ............................................................................ 30 2.2.2.4. Credit channel ................................................................................... 32 2.2.2.5. Expectation channel .......................................................................... 35 2.2.3. 2.3. The lag and effectiveness of monetary policy transmission .................. 36 2.2.3.1. The transmission lags of monetary policy ......................................... 36 2.2.3.2. The effectiveness of monetary policy transmission ........................... 38 Bank lending channel ................................................................................... 38 2.3.1. Introduction ............................................................................................. 38 vii 2.3.2. Transmission mechanism ....................................................................... 39 2.3.3. Existing conditions .................................................................................. 39 2.3.4. Empirical evidences................................................................................. 40 2.3.5. Determinants of bank lending channel .................................................. 41 2.4. 2.3.5.1. Macroeconomic conditions ............................................................... 41 2.3.5.2. The development of financial markets ............................................... 44 2.3.5.3. Regulations in banking sector ........................................................... 45 2.3.5.4. The competition in banking sector .................................................... 46 2.3.5.5. Microeconomic determinants ............................................................ 47 Studies of monetary policy transmission and bank lending channel in developing countries................................................................................................ 53 2.5. Studies of monetary policy transmission and bank lending channel in Vietnam .................................................................................................................... 58 2.6. Summary and research motivations............................................................ 60 CHAPTER 3 ................................................................................................................ 62 METHODOLOGY ..................................................................................................... 62 3.1. Monetary policy transmission testing models ............................................ 62 3.1.1. The relationships between monetary policy, output and inflation ....... 62 3.1.2. Estimating effects of monetary policy .................................................... 63 3.1.3. Database in study of monetary policy transmission............................... 65 3.1.4. Proxy variables for monetary policy ....................................................... 66 3.1.4.1. Policy rates ........................................................................................ 66 3.1.4.2. Money supply ..................................................................................... 67 3.1.5. Variables of commercial bank characteristics in bank lending channel 68 3.2. Econometric models for monetary policy transmission testing ................ 69 viii 3.2.1. VAR and related models .......................................................................... 69 3.2.1.1. VAR model ......................................................................................... 69 3.2.1.2. SVAR model ....................................................................................... 74 3.2.2. Cointegration models .............................................................................. 76 3.2.2.1. ECM ................................................................................................... 76 3.2.2.2. VECM ................................................................................................ 77 3.2.2.3. ARDL ................................................................................................. 77 3.2.3. DSGE model ............................................................................................ 78 3.2.4. GMM model for panel data ..................................................................... 78 3.3. Research methodologies for this study........................................................ 81 3.3.1. Research procedures and testing hypothesizes ...................................... 81 3.3.2. Vietnam monetary policy transmission testing models .......................... 85 3.3.2.1. VAR model ......................................................................................... 85 3.3.2.2. SVAR model ....................................................................................... 86 3.3.3. Bank lending channel testing model ...................................................... 90 3.3.4. Research data .......................................................................................... 94 3.4. Summary ........................................................................................................ 96 CHAPTER 4 ................................................................................................................ 97 EMPIRICAL EVIDENCES FROM VIETNAM ..................................................... 97 4.1. Monetary policy transmission ...................................................................... 97 4.1.1. Data ......................................................................................................... 97 4.1.2. VAR model results ................................................................................... 99 4.1.3. SVAR model results ............................................................................... 106 4.1.4. Robustness check................................................................................... 108 4.2. Bank lending channel in Vietnam ............................................................. 116 ix 4.2.1. Data ........................................................................................................ 116 4.2.2. GMM results and discussions ............................................................... 116 4.2.3. Robustness test ....................................................................................... 123 4.2.4. The effects of the crisis on the bank lending channel in Vietnam ...... 126 CHAPTER 5 .............................................................................................................. 130 CONCLUSIONS AND POLICY IMPLICATIONS ............................................. 130 5.1. Introduction ...................................................................................................... 130 5.2. Review of research questions, methodology and findings............................. 130 5.3. Academic contributions.................................................................................... 137 5.4. Policy implications ............................................................................................ 139 5.4.1. Choosing monetary policy tools ............................................................ 139 5.4.2. Appling unconventional monetary policies .......................................... 142 5.4.3. Developing debt and equity markets ..................................................... 144 5.4.4. Capability of commercial banks ........................................................... 145 5.4.5. Risk of commercial banks ..................................................................... 147 5.5. Limitations and suggestions for further research ........................................ 149 6. LIST OF AUTHOR’S PUBLICATION ............................................................... i 7. LIST OF REFERENCES ...................................................................................... v 8. APPENDIXES ................................................................................................xxxvii x LIST OF TABLES Table 3.1. Restriction matrix in SVAR model of Neri & d'Italia................................. 87 Table 3.2. SVAR restriction matrix .............................................................................. 89 Table 3.3. Expected correlations .................................................................................. 92 Table 3.4. Formulas and sources of variables in VAR and SVAR models.................. 94 Table 3.5. Formulas and sources of variables in GMM model .................................... 95 Table 4.1. Data statistical description........................................................................... 97 Table 4.2. New statistical description........................................................................... 97 Table 4.3. Granger causality test results ....................................................................... 98 Table 4.4. The development of Vietnam stock market .............................................. 104 Table 4.5. Granger causality test for DLVNI ............................................................. 105 Table 4.6. Variance decomposition for CPI from SVAR........................................... 108 Table 4.7. Variance decomposition for CPI from SVAR with DRDR ...................... 113 Table 4.8. Variance decomposition for CPI from SVAR with DRFR ....................... 115 Table 4.9. GMM data description............................................................................... 116 Table 4.10. Bank lending channel with each effect of bank characteristics .............. 117 Table 4.11. Bank lending channel with whole effects of bank characteristics .......... 120 Table 4.12. Bank lending channel with new measure of bank characteristics ........... 121 Table 4.13. Bank lending channel with whole effects by new measure of bank characteristics ............................................................................................................. 122 Table 4.14. Bank lending channel with RFR for each effects .................................... 123 Table 4.15. Bank lending channel with RFR for whole determinants ....................... 124 xi Table 4.16. Bank lending channel with RDR for each effects ................................... 125 Table 4.17. Bank lending channel with RDR for whole determinants....................... 125 Table 4.18. The impacts of the 2008 global financial crisis on bank lending channel in Vietnam ...................................................................................................................... 128 Table 5.1 Financial market development in Vietnam ................................................ 144 xii LIST OF FIGURES Figure 1.1. Vietnamese macroeconomic factors ............................................................ 1 Figure 4.1. Impulse response function of CPI in IRC ................................................ 100 Figure 4.2. Impulse response function for ERC ......................................................... 102 Figure 4.3. Impulse response function of VAR(5) for APC ...................................... 104 Figure 4.4. Impulse response function of SVAR ....................................................... 107 Figure 4.5. Impulse response function of VAR for IRC with DLM2 ........................ 109 Figure 4.6. Impulse response function of VAR for ERC with DLM2 ....................... 110 Figure 4.7. Impulse response function of VAR for APC with DLM2 ....................... 111 Figure 4.8. Impulse response function of SVAR with DRDR ................................... 112 Figure 4.9. Impulse response function of SVAR with DRFR .................................... 114 Figure 4.10. VIX index ............................................................................................... 127 Figure 5.1. Moody’s KMV EDF index ...................................................................... 147 xiii Abstract The transmission of monetary policy is the center of economic studies, this field was renewed in light of the 2008 global financial crisis with arguments about the effectiveness and the determinants of transmission channels especially in emerging markets such as Vietnam which may have strong bank lending channel while asset price channel and exchange rate channel may be weak. This study tries to investigate the existing of interest rate channel, exchange rate channel, asset price channel, and bank lending channel in Vietnam which are seen as the main channels in monetary policy transmission. In addition, this study tries to investigate the determinants of bank lending channel and the effects of the 2008 global financial crisis on bank lending channel in Vietnam that are important for Vietnamese policy makers in conducting monetary policy, stabilizing banking systems, financial markets and the economy. Firstly, this study utilizes the VAR model to examine the existing of interest rate channel, asset price channel and exchange rate channel, one by one, by using monthly macroeconomics data from 2003 to 2012 including market interest rates, the stock market index and exchange rate to proxy for interest rate channel, asset price channel and exchange rate channel respectively. Then this study uses SVAR models to test the existing of these channels in a system with the same data sample. Secondly, this study collects yearly data from 30 Vietnamese commercial banks such as loans, assets, loan loss provision, capital from 2003 to 2012 to investigate the existing and the determinants of bank lending channel through the system GMM models. Then, this study uses the S&P 500 implied volatility index to investigate the effects of the 2008 global financial crisis on bank lending channel through the same system GMM models. With the first main objective, this study has found the evidence of cost channel in Vietnam that reflects the ineffective of monetary policy in controlling inflation thus it is a big challenge for Vietnamese policy makers in conducting monetary policy. But, this study did not find statistical evidences of exchange rate channel and asset price channel which may be suggest that they are weak or do not exist in Vietnam. xiv In the second main objective, this study found the evidences of bank lending channel in Vietnam, it was also affected by the commercial bank characteristics such as bank capital, bank size. This study also found that the 2008 global financial crisis had significant effects on bank lending channels which is stronger in crisis. First of all, this study has contribution to the empirical literature about the existence of cost channel in a small open economy. Secondly, this study contributes empirical evidences of bank lending channel, the determinants and the effects of the crisis on bank lending channel in an emerging market. Thirdly, this study has major contributions to Vietnamese policy makers in conducting monetary policy and stabilizing the banking system and financial markets, especially in the case of facing further external shocks in the future such as the global crisis. With the academic contributions, this study defined that economists should test all transmission channels in one model for better controlling the interactions between channels and better measuring the effectiveness of each channel. With the empirical results, this study has significant practical implications for Vietnamese policy makers in developing debt and equity markets, controlling the risky activities of banking systems and applying unconventional monetary policies such as inflation targeting. 1 CHAPTER 1 INTRODUCTION 1.1. The overview of Vietnamese economy and monetary policy 1.1.1. The Vietnamese economy The ‘Doi Moi” policy since 1980s has been transmitted to the Vietnamese economy from plan to market-oriented economy, but it is still limited to phrase "market economy under the management of the state". The changes in economy led to many changes in the economic structure and even in the law system with the birth of the 1992 constitution that had acknowledged private sectors (see table 1.1 in Appendix 1 for more information about law system innovations). The Vietnamese economy has gone through high growth periods from 1994, in which it has had two slow periods due to the 1997 Asian economic crisis and the 2008 global financial crisis (see figure 1.1 and 1.2 in appendix 1). To cope with crisis and slowdown in the economy, Vietnamese government implemented a stimulus packages worth 143,000 billion VND (equivalent to USD 8 billion at 2009 exchange rate) in 2009, then increased to 160,000 billion VND later (equivalent to USD 9 billion), it has recovered GDP growth to 6.8% in 2010, but their effects did not last long, Vietnam fell into instability again in in 2011 and 2012. Vietnamese macroeconomic factors 70.00 60.00 50.00 40.00 30.00 20.00 10.00 (10.00) (20.00) (30.00) (40.00) 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 GDP growth Inflation M2 growth VNIBOR Figure 1.1. Vietnamese macroeconomic factors Source: ADB (2014). 2 In the trend of international integration, Vietnam has integrated stronger and deeper into the world economy by signing the Vietnam – U.S. trade agreement in 2001 and officially joined WTO on 11/Jan/2007, thus trade activities have increased from 10 billion USD in 1994 to over 80 billion USD in 2006, and over 200 billion USD in 2012 (see figure 1.3 in Appendix 1), which makes the Vietnamese economy more vulnerable to the international shocks which became clearer in the 2008 global financial crisis when the Vietnamese economy fell into a difficult situation: bad debt in the banking system, inventory rising, recession in the real estate market and securities market, especially the real estate market which severely degraded in 2011 and 2012. 1.1.2. The State Bank of Vietnam Roles, duties, and functions of the State bank of Vietnam (SBV) was separated by the 1990 banking ordinance, it was defined as an agency of the council of ministers (now is government) with the functions of managing monetary policy, credit, and banking system in order to stabilize currency values, and the role of the exclusive money printing department of Socialist Republic of Vietnam. However, the 1990 banking ordinance didn’t clearly indicate the independence of SBV in monetary policy conducting under the government management (see table 2.1 in Appendix 2). According to the 1990 banking ordinance, SBV could use rediscount rate (article 43), reserve requirement (article 44), minimum deposit interest rates and maximum lending interest rates (article 43), clearing organization (article 45), but it didn’t directly mention how SBV could manage the money supply and policy rates. Then, the 1997 state bank act specified that SBV was a government agency with functions of monetary management, banking system management, and money issuing. SBV aimed to stabilize currency value, ensure safety of banking system and credit institutions, and promote economic development (clause 1, 2, 3 of article 1). Article 2 of the 1997 state bank act also stated that SBV was the monetary policy conductor, SBV could use: refinance rates, reserve requirements, interbank payments, and credit supply management to conduct monetary policy. Until 2003, the 2003 state bank act amendment was launched to amend some articles of the 1997 version that provided more specific details on rediscount rates, 3 refinance rates, open market operations, base rates, and banking operations, but the roles and functions of SBV did not change. The operations of SBV were more apparent in the 2007 – 2012 period when the Vietnamese economy fell into crisis. In 2010, the Vietnamese parliament approved the 2010 state bank act with changes in comparison to the 2003 version, in which the most important change was the SBV’s function of monetary policy conducting in article 2. However, the 2010 state bank act still defined that SBV was a government agency; it remains under government control in monetary policy conducting. The annual target of inflation is still defined by Vietnamese parliament thus there is no progression in the independence of SBV. However, there is an important step in determining the main target of monetary policy, the 2010 state bank act defines that price stability is sole target of monetary policy that doesn’t include the target of economic growth. Article 10 of the 2010 state bank act defines monetary policy tools as refinance rates, rediscount rates, foreign exchange rates, reserve requirements, open market operations, and other tools that are permitted by government. 1.1.3. The Vietnamese monetary policy SBV had expanded the monetary policy in the 2000 – 2007 period to cope with the 1997 Asian crisis and to stimulate economic growth, then they expanded and tightened monetary policy on numerous occasions in the 2008 – 2012 period. After the 1997 Asia crisis, Vietnam expanded monetary policy to stimulate investment and consumption to cope with crisis, thus M2 grew up to 39.2% in 1999 and 56.2% in 2000 (see figure 2.2 in Appendix 2). After joining the WTO in 2007, high economic growth combined with large capital inflows made M2 raise up to 46.1% in 2007, and it was still high in the 2008 – 2012 period (see figure 2.2 in Appendix 2). Money supply from under 50,000 billion VND in 1994 had increased to over 200,000 billion VND in 2000, nearly 1 million billion VND in 2006, and over 3.6 million billion VND in 2012 (see figure 2.1 in Appendix 2). Besides that, SBV constantly couldn’t keep targets of monetary policy. From 2004 to 2006, targets of M2 growth rate were 22%, 22%, and 23-25% per year respectively, but SBV always broke them in implementation, M2 growth rates were 4 actually higher than targets from 7% to 10% per year, this situation continued in 2007, 2009, 2010 and 2012 and then after (see table 2.2 in Appendix 2). Vietnam interbank offer rate (VNIBOR) decreased in 1999, 2000 and then stabilized at 6% to 7% per year in 2001 – 2007 period alongside money supply growth (see figure 2.3 in Appendix 2). SBV kept a low interest rate to cope with the 1997 Asian crisis and kept it for a long time to simulate economic growth in the latter period. In the next period, VNIBOR fluctuated: increasing sharply in 2008, decreasing in 2009, increasing again in 2010 and 2011, and then decreasing in 2012. The changes in VNIBOR reflected unstability in monetary policy, SBV tightened monetary policy to control inflation in 2008, expanded to stimulus economic growth in 2009, tightened again to control inflation in 2010 and 2011, and then expanded to stimulate the economy in 2012 and continuing (see figure 2.3 in Appendix 2). It is easy to realize that SBV has lost their proactive approach in monetary policy conducting (see figure 2.4 in Appendix 2). The changes in money supply and policy rates all confirmed that SBV had expanded monetary policy in 2000 – 2007 period, tightened in 2008, expanded in 2009, 2010, tightened in 2011, and expanded again in 2012 and the following years (see figure 2.4 in Appendix 2). These changes led to several changes in Vietnam’s macroeconomic factors. 1.1.4. The Vietnamese monetary policy and macroeconomics factors 1.1.4.1. Market interest rates Market deposit rates and lending rates had changed in the same patterns with VNIBOR. Average deposit rates fell sharply from 9.23% in 1998 to 3.65% in 2000, meanwhile lending rates fell less and slower then they were stable at a low level in the 2000 – 2007 period (see figure 2.5 in Appendix 2), but they fluctuated with the changes in monetary policy by increasing in 2008, decreasing in 2009, increasing in 2010, 2011, and dropping in 2012. 1.1.4.2. Inflation Prior to 2000, inflation was low and it even fell sharply to -1.6% in 2000, low inflation along with low economic growth motivated SBV to expand monetary policy