SỐ 242 | Tháng 5/2026
Khi an toàn làm giảm thanh khoản: Tác động bất đối xứng của LCR và NSFR lên sáng tạo thanh khoản
Vũ Hữu Thành
Tóm tắt:
Mục tiêu nghiên cứu: Bài viết xem xét riêng biệt tác động của tỷ lệ đảm bảo thanh khoản (Liquidity Coverage Ratio - LCR) và tỷ lệ nguồn vốn ổn định ròng (Net Stable Funding Ratio - NSFR) đến sáng tạo thanh khoản (STTK, ký hiệu biến: LC) của ngân hàng thương mại Việt Nam.
Thiết kế nghiên cứu/phương pháp/tiếp cận: LC được đo theo Berger & Bouwman (2009) (LC_ratio). LCR/NSFR ước lượng bằng proxy từ báo cáo tài chính quý theo hướng Basel, điều chỉnh theo bối cảnh Thông tư số 22/2019/TT-NHNN. Dữ liệu bảng cân bằng 25 ngân hàng giai đoạn 2012–2024 (1.300 quan sát ngân hàng–quý) được ước lượng bằng System GMM hai bước (Windmeijer) để xử lý động học và nội sinh.
Kết quả nghiên cứu chính: LCR_proxy có tác động âm và đạt ý nghĩa đến LC_ratio (β = −0,0087; p = 0,004); NSFR_proxy cũng âm và có ý nghĩa (β = −0,034; p = 0,028). Các kiểm định chẩn đoán xác nhận tính hợp lệ của mô hình: AR(2) không ý nghĩa; Hansen p = 0,416; số công cụ 22 < 25 nhóm.
Giá trị đóng góp mới: Nghiên cứu cung cấp bằng chứng thực nghiệm tại Việt Nam cho thấy siết thanh khoản theo hai kênh Basel III đều làm giảm STTK: LCR qua hiệu ứng “lấn át” tài sản kém thanh khoản, NSFR qua ràng buộc chuyển đổi kỳ hạn, hàm ý đánh đổi giữa ổn định và cung ứng thanh khoản.
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When Safety Reduces Liquidity: Asymmetric Effects of LCR and NSFR on Liquidity Creation
Abstract:
Purpose: This study separately examines the effects of the Liquidity Coverage Ratio (LCR) and the Net Stable Funding Ratio (NSFR) on bank liquidity creation (LC) in Vietnam.
Design/methodology/approach: Liquidity creation is measured following Berger & ctg (2009) using the “cat fat” measure and scaled by total assets (LC_ratio). LCR and NSFR are proxied from quarterly financial statements in a Basel III–style framework, adjusted to Vietnam’s regulatory context (e.g., Circular 22/2019/TT-NHNN). A balanced panel of 25 commercial banks over 2012–2024 (1,300 bank–quarter observations) is estimated using two-step System GMM with Windmeijer-corrected standard errors to address the dynamic nature of LC_ratio and potential endogeneity.
Findings: The LCR proxy is negatively and statistically significantly associated with liquidity creation (β = −0.0087; p = 0.004). The NSFR proxy also shows a negative and significant relationship with liquidity creation (β = −0.034; p = 0.028). Diagnostic tests indicate no second-order serial correlation and acceptable instrument validity, with the number of instruments kept below the number of banks.
Originality/value: The study provides evidence from Vietnam that tightening liquidity requirements reduces banks’ liquidity creation through two channels: (i) LCR constrains liquidity creation via a balance-sheet substitution (“crowding-out”) effect toward high-quality liquid assets, and (ii) NSFR reduces liquidity creation by tightening maturity transformation. The findings highlight a policy trade-off between enhancing resilience and maintaining banks’ liquidity provision to the real economy.