Số 238 | Tháng 01/2026
Nghiên cứu các nhân tố tác động tới rủi ro tín dụng: Bằng chứng thực nghiệm từ các ngân hàng khu vực Đông Nam Á
Nguyễn Nhật Minh, Phạm Thị Hoàng Anh, Nguyễn Đức Trung
Tóm tắt:
Mục tiêu nghiên cứu: Bài viết phân tích các nhân tố có tác động đến rủi ro tín dụng (RRTD) của những ngân hàng khu vực Đông Nam Á (ĐNA). Trong đó, trọng tâm nghiên cứu về các yếu tố nội tại của ngân hàng như tăng trưởng tín dụng (TTTD), quy mô, cơ cấu vốn và hiệu quả hoạt động. Đồng thời, nghiên cứu xem xét vai trò của các điều kiện kinh tế vĩ mô và những cú sốc kinh tế lớn như khủng hoảng tài chính toàn cầu 2007–2009 và đại dịch Covid-19.
Thiết kế nghiên cứu/phương pháp/tiếp cận: Nghiên cứu sử dụng bộ dữ liệu bảng không cân bằng của 185 ngân hàng tại ĐNA giai đoạn 2000–2022 kết hợp cùng mô hình hồi quy hiệu ứng cố định với phân cụm hai chiều.
Kết quả nghiên cứu chính: TTTD, quy mô ngân hàng, tỷ lệ vốn chủ sở hữu, hiệu quả hoạt động, tăng trưởng cung tiền M2 và tăng trưởng kinh tế có tác động ngược chiều tới RRTD. Ngược lại, đa dạng hóa thu nhập và lạm phát làm gia tăng nợ xấu. Khủng hoảng tài chính toàn cầu 2007–2009 làm RRTD tăng đáng kể, trong khi chưa có bằng chứng rõ ràng về tác động của đại dịch Covid-19.
Giá trị đóng góp mới: Nghiên cứu cung cấp bằng chứng thực nghiệm cập nhật và toàn diện về RRTD ngân hàng tại khu vực ĐNA, đồng thời đưa ra hàm ý chính sách nhằm kiểm soát RRTD cho các ngân hàng thương mại Việt Nam.
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Determinants of Credit Risk: Empirical Evidence from Southeast Asian Banks
Abstract:
Purpose: This study examines the determinants of credit risk in banks across Southeast Asia, with a primary focus on bank-specific factors such as credit growth, bank size, capital structure, and operational efficiency, while also considering the role of macroeconomic conditions and major economic shocks, including the 2007–2009 global financial crisis and the COVID-19 pandemic.
Design/methodology/approach: The study employs an unbalanced panel dataset of 185 banks across Southeast Asia from 2000 to 2022 and applies a two-way clustered fixed-effects regression model to estimate the impact of key determinants on credit risk.
Findings: Credit growth, bank size, capital ratios, operational efficiency, M2 money supply growth, and economic growth exhibit negative effects on credit risk. In contrast, income diversification and inflation are found to increase non-performing loans. The Global Financial Crisis significantly heightened credit risk, whereas no clear empirical evidence is observed regarding the impact of COVID-19 on bank credit risk.
Originality value: This study provides updated and comprehensive empirical evidence on the drivers of credit risk in Southeast Asian banking over more than two decades, including crisis periods. The findings offer important policy implications for strengthening credit risk management and enhancing financial stability in Vietnamese commercial banks.