Open AccessFactors affecting credit risk in lending activities of joint-stock commercial banks in Vietnam
Author(s) -
Thanh Xuan Ngo,
Vinh Sy Le,
Huiling Le
Publication year - 2021
Publication title -
journal of eastern european and central asian research
Language(s) - English
Resource type - Journals
eISSN - 2328-8280
pISSN - 2328-8272
DOI - 10.15549/jeecar.v8i2.666
Subject(s) - credit risk , profitability index , loan , business , inflation (cosmology) , stock (firearms) , capital adequacy ratio , economics , financial system , econometrics , finance , profit (economics) , engineering , mechanical engineering , physics , theoretical physics , microeconomics
This paper studies factors affecting credit risk in lending activities of joint-stock commercial banks in Vietnam. Data is collected from audited financial statements of 23 banks, and macroeconomic data from General Statistics Office of Vietnam in the period of 2009 – 2019. This paper uses GMM method which is carried out by using R programing language in Jupyter Notebook. The findings show that lagged credit risk, profitability and inflation have positive effects on credit risk, while bank capital, bank size, economic growth and loans to deposits ratio have negative ones. In addition, the findings also show that the nonlinear effects of loan growth on credit risk with U shape relationship, and this paper also calculates the relative importance of each variable.