Ảnh hưởng của bất định thế giới đến rủi ro tín dụng của hệ thống ngân hàng: Vai trò của vốn và tập trung
Từ khóa:
Bất định thế giới, tỷ lệ nợ xấu, tập trung, vốn chủ sở hữu, hệ thống ngân hàngTóm tắt
Nghiên cứu được thực hiện nhằm đánh giá tác động của yếu tố bất định thế giới đến rủi ro tín dụng được phản ánh qua tỷ lệ nợ xấu của 115 hệ thống ngân hàng trên thế giới trong giai đoạn 2008 - 2020. Thông qua phương pháp hồi quy GMM hệ thống hai bước, kết quả cho thấy rằng bất định toàn cầu tăng lên sẽ làm cho tình trạng nợ xấu của hệ thống ngân hàng trở nên trầm trọng hơn. Ngoài ra, những hệ thống ngân hàng có mức độ tập trung cao hơn, vốn chủ sở hữu lớn hơn có khả năng chống đỡ tốt hơn khi bất định thế giới gia tăng. Dựa trên kết quả nghiên cứu, bài viết đưa ra một số hàm ý chính sách cho các nhà hoạch định chính sách và các nhà quản trị ngân hàng.
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