SỐ 242 | Tháng 5/2026
Ngưỡng tỷ lệ đảm bảo thanh khoản tối ưu cho khả năng sinh lời của ngân hàng Việt Nam
Ngô Thành Trung
Tóm tắt:
Mục tiêu nghiên cứu: Nghiên cứu kiểm định tác động phi tuyến của tỷ lệ đảm bảo thanh khoản (Liquidity Coverage Ratio – LCR) đến khả năng sinh lời (KNSL) của các ngân hàng thương mại niêm yết tại Việt Nam, đồng thời đánh giá vai trò điều tiết của đại dịch Covid-19 đối với tác động này.
Thiết kế nghiên cứu/phương pháp/tiếp cận: Nghiên cứu sử dụng dữ liệu bảng từ báo cáo tài chính quý của 18 ngân hàng thương mại cổ phần niêm yết giai đoạn Q1/2015–Q4/2024. LCR được ước lượng gần đúng (proxy) dựa trên bảng cân đối kế toán và báo cáo lưu chuyển tiền tệ quý. KNSL được đo bằng ROA và NIM. Mô hình tác động cố định (FEM) với hiệu chỉnh sai số chuẩn được sử dụng để ước lượng.
Kết quả nghiên cứu chính: LCR có tác động phi tuyến hình chữ U ngược với ROA và NIM. Mức LCR proxy tối ưu cho ROA trong giai đoạn non-Covid khoảng 12,8 và cao hơn trong giai đoạn Covid-19. Đối với NIM, bằng chứng về tác động phi tuyến mang tính gợi ý.
Giá trị đóng góp mới: Bài viết cung cấp bằng chứng thực nghiệm về tác động phi tuyến của LCR đến KNSL của ngân hàng Việt Nam. Phát hiện về vai trò điều tiết của Covid-19 cung cấp hàm ý cho quản trị thanh khoản trong bối cảnh khủng hoảng
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An optimal liquidity coverage ratio for Vietnamese bank profitability
Abstract:
Purpose: This study examines the non-linear impact of the Liquidity Coverage Ratio (LCR) on the profitability of listed commercial banks in Vietnam and assesses the moderating role of the Covid-19 pandemic.
Design/methodology/approach: The study uses quarterly panel data from 18 listed joint-stock commercial banks over Q1/2015–Q4/2024. LCR is estimated using a proxy based on the balance sheet and quarterly cash flow statements. Profitability is measured by ROA and NIM. Fixed effects models (FEM) with panel-corrected standard errors are employed following Hausman tests and diagnostic checks.
Findings: LCR exhibits an inverted U-shaped impact on ROA. The optimal LCR proxy for ROA is approximately 12.8 in non-Covid periods and shifts upward during Covid. For NIM, the evidence of nonlinearity is suggestive but weaker.
Originality/value: This study provides empirical evidence for the non-linear impact of LCR on Vietnamese bank profitability, supplementing previous studies that only considered linear effects. The results suggest that there exists an optimal LCR threshold at which profitability is maximized; beyond this threshold, the cost of holding liquid assets degrades profitability. The findings regarding the moderating role of Covid-19 offer implications for liquidity management in crisis contexts.