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Credit Risk Amid Banking Uncertainty In Vietnam

Author

Listed:
  • Van Dan Dang

    (Banking University of Ho Chi Minh City)

  • Hoang Chung Nguyen

    (Thu Dau Mot University)

Abstract

Using a new measure of micro uncertainty based on the cross-sectional dispersion of bank-level shocks, we analyze the impact of banking uncertainty on credit risk in Vietnam during the period 2007–2019. We document that a higher level of banking uncertainty may increase credit risk, and this unfavorable impact is mitigated at larger, better capitalized, and more liquid banks. As compared to private-owned banks, stateowned banks experience higher credit risk during periods of uncertainty. Further analysis supports the “search for yield†hypothesis and helps to better understand why credit risk increases amid uncertainty.

Suggested Citation

  • Van Dan Dang & Hoang Chung Nguyen, 2022. "Credit Risk Amid Banking Uncertainty In Vietnam," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 25(1), pages 73-96, June.
    • Handle: RePEc:idn:journl:v:25:y:2022:i:1e:p:73-96
    DOI: https://doi.org/10.21098/bemp.v25i1.1798
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    More about this item

    Keywords

    Bank characteristics; Banking uncertainty; Credit risk; State ownership; Uncertainty;
    All these keywords.

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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