CREDIT RISK AMID BANKING UNCERTAINTY IN VIETNAM

Dang Van Dan () and Hoang Chung Nguyen ()
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Dang Van Dan: Banking University of Ho Chi Minh City
Hoang Chung Nguyen: Thu Dau Mot University

Bulletin of Monetary Economics and Banking, 2022, vol. 25, issue 1, 73-96

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.

Keywords: Bank characteristics, Banking uncertainty, Credit risk; State ownership, Uncertainty (search for similar items in EconPapers)
JEL-codes: D81 E50 G21 G32 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:idn:journl:v:25:y:2022:i:1e:p:73-96

DOI: 10.21098/bemp.v25i1.1798

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