Header Page of 89 i MINISTRY OF EDUCATION AND TRAINING UNIVERSITY OF ECONOMICS HO CHI MINH CITY ***** NGUYEN PHUC CANH MONETARY POLICY TRANSMISSION AND BANK LENDING CHANNEL IN VIETNAM PHD THESIS Footer Page of 89 Header Page of 89 ii HO CHI MINH CITY, 2016 MINISTRY OF EDUCATION AND TRAINING UNIVERSITY OF ECONOMICS HO CHI MINH CITY ***** NGUYEN PHUC CANH MONETARY POLICY TRANSMISSION AND BANK LENDING CHANNEL IN VIETNAM Major: Finance and Banking Code: 62.34.02.01 PHD THESIS ACADEMIC ADVISORS Prof Dr SU DINH THANH Assoc Prof Dr VO XUAN VINH HO CHI MINH CITY, 2016 Footer Page of 89 Header Page of 89 i ACKNOWLEDGEMENTS I am deeply indebted to my academic advisers Pro.Dr Sử Đình Thành and Assoc.Pro.Dr Võ Xuân Vinh for their fundamental roles Pro.Thành and Pro.Vinh have provided me with guidance, assistances, and supports during my study They have given me autonomy on decision making and researching the topic, while continuing to provide valuable feedbacks, advices, and encouragement In addition to our academic collaboration, I greatly appreciate the bonding relationships between Thành, Vinh and I Additionally, I am deeply thankful to Dr Trầm Thị Xuân Hương, my lecturer and my researching partner at School of Banking, who has assisted me in researching the topic in this thesis She has also advised, encouraged and generously allowed me to apply our shared works in presenting this thesis I gratefully acknowledge lecturers from the research methodology course at University of Economics Ho Chi Minh City who have provided me with basis methodologies for this study Such methodologies have helped me understand, find and utilize correct methods I would like to thank my dear colleagues at School of Banking and University of Economics Ho Chi Minh City for their substantial influence The School of Banking and University of Economics Ho Chi Minh City provide the best environment for studying and researching I also give my thanks to colleagues in International department at School of Banking, they always supported and encouraged me in this study and helped me a lot throughout my career I also would like to thank the board of professors and the independent external reviewers who gave me a lot of useful comments and advices on my first presentation, their comments are one of the major contributing factors that allowed me to complete this version of my thesis I am deeply thankful to my family for their love, support, and sacrifice Without them, this thesis would never have been written Ho Chi Minh City, Apr/2016 Nguyen Phuc Canh Footer Page of 89 Header Page of 89 ii ABBREVIATIONS Words Meanings ADB Asia Development Bank APC Asset Price Channel AR Autoregression ARDL Autoregressive Distributed Lag Model BLC Bank Lending Channel BSC Balance Sheet Channel BRICS BRICS Group (including Brazil, Russia, India, China and South Africa) CC Credit Channel CFC Cash Flow Channel CPI Consumer Price Index DSGE Dynamic Stochastic General Equilibrium Model EC Expectation Channel ECB European Central Bank ECM Error Correction Model EDF Expected Default Frequency ERC Exchange Rate Channel E.U European Union FAVAR Factor Augmented Vector Autoregression FDICIA Federal Deposit Insurance Corporation Improvement Act Fed Federal Reserve System FFR Fed Fund Rate GDP Gross Domestic Production GMM Generalized Method of Moments G7 Canada, France, Germany, Italy, Japan, UK, US Footer Page of 89 Header Page of 89 iii HLE Household Liquidity Effects HNX Hanoi Stock Exchange HSX Ho Chi Minh Stock Exchange IRC Interest Rate Channel IS-LM Investment, Saving–Liquidity Preference, Money Supply IMF International Monetary Fund IPVN Vietnam Industrial Production IRF Impulse Response Function IT Inflation Targeting Policy LER Lending Interest Rate LIBOR London Interbank Offer Rate MPTM Monetary Policy Transmission Mechanism M2 Money Supply definition (expanded money supply) NEER Nominal Effective Exchange Rate NPV Net Present Value OECD Organization for Economic Co-operation and Development OLS Ordinary Least Squares KMV EDF KMV’s Expected Default Frequency QE Quantitative Easing program RDR Rediscounting Rate RFR Refinancing Rate SBV State Bank of Vietnam SME Small and Medium Enterprises S&P 500 S&P 500 Index SVAR Structured Vector Autoregression VAR Vector Autoregression VECM Vector Error Correction Models VIX The implied volatility of S&P 500 index options Footer Page of 89 Header Page of 89 iv VND Vietnam Dong (Currency of Vietnam) VNI VNindex VNIBOR Vietnam Interbank Offer Rate VNindex Vietnam composite stock index U.K The United Kingdom UPLC Unexpected Price Level Channel U.S The United State USD US Dollar WACC Weighted Average Capital Cost WTO World Trade Organization Footer Page of 89 Header Page of 89 v TABLE OF CONTENTS ACKNOWLEDGEMENTS i ABBREVIATIONS .ii LIST OF TABLES x LIST OF FIGURES xii CHAPTER INTRODUCTION 1.1 The overview of Vietnamese economy and monetary policy 1.1.1 The Vietnamese economy 1.1.2 The State Bank of Vietnam 1.1.3 The Vietnamese monetary policy 1.1.4.1 Market interest rates 1.1.4.2 Inflation 1.1.4.3 Exchange rate 1.1.4.4 Credit 1.1.4.5 Stock markets 1.2 Research gap identification 1.3 Research objectives and questions 10 1.4 The scope of this study 11 1.5 Research methodologies and data 12 1.5.1 Methodologies 12 1.5.2 Research data 13 1.6 Some key concepts 13 1.7 The structure of study 15 CHAPTER 18 Footer Page of 89 Header Page of 89 vi THEORETIAL FRAMEWORK AND LITERATURE REVIEW 18 2.1 Monetary policy 18 2.1.1 Introduction 18 2.1.2 Central bank 19 2.1.3 Monetary policy targets 19 2.1.4 Monetary policy tools 20 2.1.5 The ineffectiveness of monetary policy 21 2.1.6 Monetary policy and fiscal policy 21 2.1.7 Unconventional monetary policies 22 2.1.7.1 Quantitative easing program 22 2.1.7.2 Inflation targeting policy 23 2.1.8 2.2 Summary 24 Monetary policy transmission 25 2.2.1 Conceptual framework 25 2.2.2 Monetary policy transmission channels 26 2.2.2.1 Interest rate channel 27 2.2.2.2 Exchange rate channel 29 2.2.2.3 Asset price channel 30 2.2.2.4 Credit channel 32 2.2.2.5 Expectation channel 35 2.2.3 2.3 The lag and effectiveness of monetary policy transmission 36 2.2.3.1 The transmission lags of monetary policy 36 2.2.3.2 The effectiveness of monetary policy transmission 38 Bank lending channel 38 2.3.1 Footer Page of 89 Introduction 38 Header Page of 89 vii 2.3.2 Transmission mechanism 39 2.3.3 Existing conditions 39 2.3.4 Empirical evidences 40 2.3.5 Determinants of bank lending channel 41 2.4 2.3.5.1 Macroeconomic conditions 41 2.3.5.2 The development of financial markets 44 2.3.5.3 Regulations in banking sector 45 2.3.5.4 The competition in banking sector 46 2.3.5.5 Microeconomic determinants 47 Studies of monetary policy transmission and bank lending channel in developing countries 53 2.5 Studies of monetary policy transmission and bank lending channel in Vietnam 58 2.6 Summary and research motivations 60 CHAPTER 62 METHODOLOGY 62 3.1 Monetary policy transmission testing models 62 3.1.1 The relationships between monetary policy, output and inflation 62 3.1.2 Estimating effects of monetary policy 63 3.1.3 Database in study of monetary policy transmission 65 3.1.4 Proxy variables for monetary policy 66 3.1.4.1 Policy rates 66 3.1.4.2 Money supply 67 3.1.5 Variables of commercial bank characteristics in bank lending channel 68 3.2 Econometric models for monetary policy transmission testing 69 Footer Page of 89 Header Page 10 of 89 3.2.1 viii VAR and related models 69 3.2.1.1 VAR model 69 3.2.1.2 SVAR model 74 3.2.2 Cointegration models 76 3.2.2.1 ECM 76 3.2.2.2 VECM 77 3.2.2.3 ARDL 77 3.2.3 DSGE model 78 3.2.4 GMM model for panel data 78 3.3 Research methodologies for this study 81 3.3.1 Research procedures and testing hypothesizes 81 3.3.2 Vietnam monetary policy transmission testing models 85 3.3.2.1 VAR model 85 3.3.2.2 SVAR model 86 3.3.3 Bank lending channel testing model 90 3.3.4 Research data 94 3.4 Summary 96 CHAPTER 97 EMPIRICAL EVIDENCES FROM VIETNAM 97 4.1 Monetary policy transmission 97 4.1.1 Data 97 4.1.2 VAR model results 99 4.1.3 SVAR model results 106 4.1.4 Robustness check 108 4.2 Bank lending channel in Vietnam 116 Footer Page 10 of 89 Header Page 296 of 89 cxxix GMM model with Refinance rate (RFR) Dynamic panel-data estimation, one-step difference GMM Group variable: id Time variable : year Number of instruments = 136 F(9, 173) = 28.23 Prob > F = 0.000 Number of obs Number of groups Obs per group: avg max Std Err t P>|t| = = = = = 182 30 6.07 dloan Coef [95% Conf Interval] lloan L1 -.5850573 1235772 -4.73 0.000 -.8289705 -.341144 lgdp 4094471 1197154 3.42 0.001 1731562 645738 drf L1 -.0484352 -.0302206 0063571 0068457 -7.62 -4.41 0.000 0.000 -.0609826 -.0437325 -.0358877 -.0167088 rfdsize 036891 0071065 5.19 0.000 0228644 0509177 dsize L1 .1874605 118198 1.59 0.115 -.0458353 4207563 dcapr L1 .6033085 3070107 1.97 0.051 -.0026604 1.209277 dliqr L1 .4506191 2571313 1.75 0.081 -.0568992 9581375 dllpr L1 1.823232 3.597409 0.51 0.613 -5.277231 8.923696 Instruments for first differences equation Standard D.(L.lgdp L.drf) GMM-type (missing=0, separate instruments for each period unless collapsed) L(2/7).(L.lloan rfdsize L.dsize L.dcapr L.dllpr L.dliqr) Arellano-Bond test for AR(1) in first differences: z = Arellano-Bond test for AR(2) in first differences: z = Sargan test of overid restrictions: chi2(127) Footer Page 296 of 89 = 122.69 -3.65 -0.16 Pr > z = Pr > z = 0.000 0.870 Prob > chi2 = 0.591 Header Page 297 of 89 cxxx Dynamic panel-data estimation, one-step difference GMM Group variable: id Time variable : year Number of instruments = 137 F(9, 173) = 21.37 Prob > F = 0.000 Number of obs Number of groups Obs per group: avg max Std Err t P>|t| = = = = = 182 30 6.07 dloan Coef [95% Conf Interval] lloan L1 -.6229844 1353723 -4.60 0.000 -.8901783 -.3557905 lgdp 4544225 1311441 3.47 0.001 1955741 7132709 drf L1 -.0371741 -.0298195 0065665 0075001 -5.66 -3.98 0.000 0.000 -.0501349 -.0446229 -.0242133 -.0150161 rfdcap -.0056667 0776466 -0.07 0.942 -.1589233 1475899 dsize L1 .2279324 1291899 1.76 0.079 -.0270589 4829237 dcapr L1 .4346308 3338813 1.30 0.195 -.2243745 1.093636 dliqr L1 .2358314 2759768 0.85 0.394 -.3088838 7805465 dllpr L1 1.825834 3.936244 0.46 0.643 -5.943412 9.59508 Instruments for first differences equation Standard D.(rfdcap L.lgdp L.drf) GMM-type (missing=0, separate instruments for each period unless collapsed) L(2/7).(L.lloan L.dsize L.dcapr L.dllpr L.dliqr) Arellano-Bond test for AR(1) in first differences: z = Arellano-Bond test for AR(2) in first differences: z = Sargan test of overid restrictions: chi2(128) Footer Page 297 of 89 -4.61 0.39 = 131.12 Pr > z = Pr > z = 0.000 0.694 Prob > chi2 = 0.407 Header Page 298 of 89 cxxxi Dynamic panel-data estimation, one-step difference GMM Group variable: id Time variable : year Number of instruments = 137 F(9, 173) = 22.15 Prob > F = 0.000 Number of obs Number of groups Obs per group: avg max dloan Coef Std Err lloan L1 -.6126706 132663 lgdp 4568202 drf L1 t = = = = = 182 30 6.07 P>|t| [95% Conf Interval] -4.62 0.000 -.874517 -.3508243 1274182 3.59 0.000 2053259 7083146 -.0389 -.0296104 0066223 0073829 -5.87 -4.01 0.000 0.000 -.0519709 -.0441826 -.0258291 -.0150382 rfdliq 0808926 0658723 1.23 0.221 -.0491242 2109094 dsize L1 .2177343 127508 1.71 0.090 -.0339374 469406 dcapr L1 .3929704 3292631 1.19 0.234 -.2569197 1.042861 dliqr L1 .1778483 2761295 0.64 0.520 -.3671681 7228647 dllpr L1 1.81706 3.878799 0.47 0.640 -5.838803 9.472923 Instruments for first differences equation Standard D.(rfdcap L.lgdp L.drf) GMM-type (missing=0, separate instruments for each period unless collapsed) L(2/7).(L.lloan rfdliq L.dsize L.dcapr L.dllpr L.dliqr) Arellano-Bond test for AR(1) in first differences: z = Arellano-Bond test for AR(2) in first differences: z = Sargan test of overid restrictions: chi2(128) Footer Page 298 of 89 = 133.35 -4.52 0.23 Pr > z = Pr > z = 0.000 0.819 Prob > chi2 = 0.355 Header Page 299 of 89 cxxxii Dynamic panel-data estimation, one-step difference GMM Number of obs Number of groups Obs per group: avg max Group variable: id Time variable : year Number of instruments = 136 F(9, 173) = 21.83 Prob > F = 0.000 Std Err t P>|t| 182 30 6.07 = = = = = [95% Conf Interval] dloan Coef lloan L1 -.5891291 1339519 -4.40 0.000 -.8535196 -.3247387 lgdp 3943804 1299333 3.04 0.003 1379218 6508391 drf L1 -.0345442 -.0293199 0067257 0074371 -5.14 -3.94 0.000 0.000 -.0478193 -.043999 -.0212692 -.0146407 rfdllp 3.523943 1.976275 1.78 0.076 -.3767718 7.424658 dsize L1 .2226744 1279999 1.74 0.084 -.0299682 475317 dcapr L1 .5839325 3337228 1.75 0.082 -.07476 1.242625 dliqr L1 .3514137 2778745 1.26 0.208 -.197047 8998745 dllpr L1 -.0074974 4.065604 -0.00 0.999 -8.032071 8.017076 Instruments for first differences equation Standard D.(L.lgdp L.drf) GMM-type (missing=0, separate instruments for each period unless collapsed) L(2/7).(L.lloan rfdllp L.dsize L.dcapr L.dllpr L.dliqr) Arellano-Bond test for AR(1) in first differences: z = Arellano-Bond test for AR(2) in first differences: z = Sargan test of overid restrictions: chi2(127) Footer Page 299 of 89 = 125.20 -4.40 0.35 Pr > z = Pr > z = 0.000 0.724 Prob > chi2 = 0.528 Header Page 300 of 89 cxxxiii Dynamic panel-data estimation, one-step difference GMM Group variable: id Time variable : year Number of instruments = 137 F(11, 171) = 25.34 Prob > F = 0.000 Number of obs Number of groups Obs per group: avg max Std Err t P>|t| = = = = = 182 30 6.07 dloan Coef [95% Conf Interval] lloan L1 -.5898557 1197342 -4.93 0.000 -.8262031 -.3535083 lgdp 4149672 1158313 3.58 0.000 1863238 6436106 drf L1 -.049787 -.0284845 0062572 0066171 -7.96 -4.30 0.000 0.000 -.0621383 -.0415463 -.0374357 -.0154228 rfdsize rfdcap rfdliq 0447003 2169666 -.0286247 0082477 0791909 0630511 5.42 2.74 -0.45 0.000 0.007 0.650 0284199 0606489 -.1530833 0609807 3732843 0958339 dsize L1 .1851755 1143105 1.62 0.107 -.0404658 4108169 dcapr L1 .3977737 2962155 1.34 0.181 -.1869361 9824834 dliqr L1 .3456426 2488766 1.39 0.167 -.1456234 8369087 dllpr L1 1.776586 3.469858 0.51 0.609 -5.072685 8.625857 Instruments for first differences equation Standard D.(rfdcap L.lgdp L.drf) GMM-type (missing=0, separate instruments for each period unless collapsed) L(2/7).(L.lloan rfdliq rfdsize L.dsize L.dcapr L.dllpr L.dliqr) Arellano-Bond test for AR(1) in first differences: z = Arellano-Bond test for AR(2) in first differences: z = Sargan test of overid restrictions: chi2(126) Footer Page 300 of 89 = 137.43 -3.61 -0.15 Pr > z = Pr > z = 0.000 0.879 Prob > chi2 = 0.229 Header Page 301 of 89 cxxxiv Dynamic panel-data estimation, one-step difference GMM Group variable: id Time variable : year Number of instruments = 137 F(12, 170) = 23.20 Prob > F = 0.000 Number of obs Number of groups Obs per group: avg max Std Err t P>|t| = = = = = 182 30 6.07 dloan Coef [95% Conf Interval] lloan L1 -.5891407 1198751 -4.91 0.000 -.8257761 -.3525053 lgdp 4123523 1161008 3.55 0.000 1831673 6415373 drf L1 -.0487953 -.0282821 0066348 0066393 -7.35 -4.26 0.000 0.000 -.0618925 -.0413882 -.0356981 -.0151759 rfdsize rfdcap rfdliq rfdllp 0432451 2127352 -.0202735 867602 0088583 0798245 0657514 1.913214 4.88 2.67 -0.31 0.45 0.000 0.008 0.758 0.651 0257586 0551603 -.1500679 -2.909115 0607316 3703101 1095209 4.644319 dsize L1 .1866066 1144786 1.63 0.105 -.039376 4125892 dcapr L1 .4079708 2973896 1.37 0.172 -.1790813 9950228 dliqr L1 .3396177 2495019 1.36 0.175 -.1529032 8321385 dllpr L1 1.27783 3.643601 0.35 0.726 -5.914698 8.470359 Instruments for first differences equation Standard D.(rfdcap L.lgdp L.drf) GMM-type (missing=0, separate instruments for each period unless collapsed) L(2/7).(L.lloan rfdsize rfdliq rfdllp L.dsize L.dcapr L.dllpr L.dliqr) Arellano-Bond test for AR(1) in first differences: z = Arellano-Bond test for AR(2) in first differences: z = Sargan test of overid restrictions: chi2(125) Footer Page 301 of 89 = 137.71 -3.59 -0.14 Pr > z = Pr > z = 0.000 0.891 Prob > chi2 = 0.206 Header Page 302 of 89 cxxxv GMM models with Rediscount rate (RDR) Dynamic panel-data estimation, one-step difference GMM Group variable: id Time variable : year Number of instruments = 136 F(9, 173) = 27.69 Prob > F = 0.000 Number of obs Number of groups Obs per group: avg max Std Err t P>|t| = = = = = 182 30 6.07 dloan Coef [95% Conf Interval] lloan L1 -.5834134 1239151 -4.71 0.000 -.8279936 -.3388333 lgdp 4103985 1200324 3.42 0.001 1734819 6473151 drd L1 -.0435271 -.027429 0057986 0062555 -7.51 -4.38 0.000 0.000 -.0549722 -.0397759 -.0320819 -.015082 rddsize 0335919 0064839 5.18 0.000 0207942 0463897 dsize L1 .1876814 1184781 1.58 0.115 -.0461672 42153 dcapr L1 .5817714 3107865 1.87 0.063 -.0316502 1.195193 dliqr L1 .4454582 2580602 1.73 0.086 -.0638935 9548099 dllpr L1 1.916347 3.607031 0.53 0.596 -5.203108 9.035801 Instruments for first differences equation Standard D.(L.lgdp L.drd) GMM-type (missing=0, separate instruments for each period unless collapsed) L(2/7).(L.lloan rddsize L.dsize L.dcapr L.dllpr L.dliqr) Arellano-Bond test for AR(1) in first differences: z = Arellano-Bond test for AR(2) in first differences: z = Sargan test of overid restrictions: chi2(127) Footer Page 302 of 89 = 122.27 -3.68 -0.18 Pr > z = Pr > z = 0.000 0.856 Prob > chi2 = 0.602 Header Page 303 of 89 cxxxvi Dynamic panel-data estimation, one-step difference GMM Number of obs Number of groups Obs per group: avg max Group variable: id Time variable : year Number of instruments = 137 F(9, 173) = 20.87 Prob > F = 0.000 Std Err t P>|t| 182 30 6.07 = = = = = [95% Conf Interval] dloan Coef lloan L1 -.6176758 1358566 -4.55 0.000 -.8858256 -.349526 lgdp 4488371 1316775 3.41 0.001 1889359 7087384 drd L1 -.0331004 -.026774 0059797 0068547 -5.54 -3.91 0.000 0.000 -.0449031 -.0403036 -.0212978 -.0132444 rddcap -.0039647 0709688 -0.06 0.956 -.1440409 1361115 dsize L1 .2247942 1295853 1.73 0.085 -.0309777 480566 dcapr L1 .3994062 3372513 1.18 0.238 -.2662507 1.065063 dliqr L1 .2271046 2769065 0.82 0.413 -.3194454 7736546 dllpr L1 1.913479 3.948611 0.48 0.629 -5.880176 9.707133 Instruments for first differences equation Standard D.(rddcap L.lgdp L.drd) GMM-type (missing=0, separate instruments for each period unless collapsed) L(2/7).(L.lloan L.dsize L.dcapr L.dllpr L.dliqr) Arellano-Bond test for AR(1) in first differences: z = Arellano-Bond test for AR(2) in first differences: z = Sargan test of overid restrictions: chi2(128) Footer Page 303 of 89 = 130.15 -4.61 0.36 Pr > z = Pr > z = 0.000 0.717 Prob > chi2 = 0.430 Header Page 304 of 89 cxxxvii Dynamic panel-data estimation, one-step difference GMM Group variable: id Time variable : year Number of instruments = 136 F(9, 173) = 21.15 Prob > F = 0.000 Number of obs Number of groups Obs per group: avg max = = = = = 182 30 6.07 dloan Coef lloan L1 -.5747533 134835 -4.26 0.000 -.8408868 -.3086198 lgdp 4069327 1303856 3.12 0.002 1495813 6642842 drd L1 -.035288 -.0270927 0060813 0067944 -5.80 -3.99 0.000 0.000 -.0472911 -.0405032 -.0232849 -.0136821 rddliq 082738 0604216 1.37 0.173 -.0365204 2019964 dsize L1 .2041618 1288128 1.58 0.115 -.0500853 4584088 dcapr L1 .4604255 3383892 1.36 0.175 -.2074774 1.128328 dliqr L1 .2784896 282138 0.99 0.325 -.2783863 8353655 dllpr L1 2.134138 3.917557 0.54 0.587 -5.598224 9.866499 Std Err t P>|t| [95% Conf Interval] Instruments for first differences equation Standard D.(L.lgdp L.drd) GMM-type (missing=0, separate instruments for each period unless collapsed) L(2/7).(L.lloan rddliq L.dsize L.dcapr L.dllpr L.dliqr) Arellano-Bond test for AR(1) in first differences: z = Arellano-Bond test for AR(2) in first differences: z = Sargan test of overid restrictions: chi2(127) Footer Page 304 of 89 = 125.61 -4.44 0.19 Pr > z = Pr > z = 0.000 0.851 Prob > chi2 = 0.518 Header Page 305 of 89 cxxxviii Dynamic panel-data estimation, one-step difference GMM Group variable: id Time variable : year Number of instruments = 136 F(9, 173) = 21.41 Prob > F = 0.000 Number of obs Number of groups Obs per group: avg max dloan Coef Std Err lloan L1 -.5860103 1342433 lgdp 3916911 drd L1 t = = = = = 182 30 6.07 P>|t| [95% Conf Interval] -4.37 0.000 -.850976 -.3210447 1302048 3.01 0.003 1346967 6486856 -.0307405 -.0263325 0061146 0067931 -5.03 -3.88 0.000 0.000 -.0428092 -.0397405 -.0186717 -.0129244 rddllp 3.20493 1.798142 1.78 0.076 -.3441922 6.754052 dsize L1 .2204128 1282546 1.72 0.087 -.0327325 473558 dcapr L1 .5542944 3376183 1.64 0.102 -.112087 1.220676 dliqr L1 .3429438 2786374 1.23 0.220 -.2070228 8929104 dllpr L1 .1694837 4.056484 0.04 0.967 -7.837088 8.176056 Instruments for first differences equation Standard D.(L.lgdp L.drd) GMM-type (missing=0, separate instruments for each period unless collapsed) L(2/7).(L.lloan rddllp L.dsize L.dcapr L.dllpr L.dliqr) Arellano-Bond test for AR(1) in first differences: z = Arellano-Bond test for AR(2) in first differences: z = Sargan test of overid restrictions: chi2(127) Footer Page 305 of 89 = 124.90 -4.41 0.33 Pr > z = Pr > z = 0.000 0.743 Prob > chi2 = 0.536 Header Page 306 of 89 cxxxix Dynamic panel-data estimation, one-step difference GMM Group variable: id Time variable : year Number of instruments = 137 F(11, 171) = 24.73 0.000 = Prob > F Number of obs Number of groups Obs per group: avg max = = = = = 182 30 6.07 dloan Coef lloan L1 -.5859649 1203376 -4.87 0.000 -.8235033 -.3484265 lgdp 4125666 1164568 3.54 0.001 1826886 6424446 drd L1 -.0448139 -.0258612 0057235 006055 -7.83 -4.27 0.000 0.000 -.0561118 -.0378133 -.033516 -.013909 rddsize rddcap rddliq 0407102 1974152 -.0258581 0075313 0723089 0575602 5.41 2.73 -0.45 0.000 0.007 0.654 025844 0546822 -.1394782 0555764 3401483 087762 dsize L1 .185187 1148066 1.61 0.109 -.0414336 4118077 dcapr L1 .3852593 2996334 1.29 0.200 -.2061973 976716 dliqr L1 .3409187 2493683 1.37 0.173 -.1513178 8331552 dllpr L1 1.862431 3.486512 0.53 0.594 -5.019714 8.744577 Std Err t P>|t| [95% Conf Interval] Instruments for first differences equation Standard D.(rddcap L.lgdp L.drd) GMM-type (missing=0, separate instruments for each period unless collapsed) L(2/7).(L.lloan rddsize rddliq L.dsize L.dcapr L.dllpr L.dliqr) Arellano-Bond test for AR(1) in first differences: z = Arellano-Bond test for AR(2) in first differences: z = Sargan test of overid restrictions: chi2(126) Footer Page 306 of 89 = 135.72 -3.65 -0.15 Pr > z = Pr > z = 0.000 0.879 Prob > chi2 = 0.261 Header Page 307 of 89 cxl Dynamic panel-data estimation, one-step difference GMM Group variable: id Time variable : year Number of instruments = 137 F(12, 170) = 22.64 Prob > F = 0.000 Number of obs Number of groups Obs per group: avg max Std Err t P>|t| = = = = = 182 30 6.07 dloan Coef [95% Conf Interval] lloan L1 -.5852693 1204707 -4.86 0.000 -.8230805 -.347458 lgdp 4099218 1167258 3.51 0.001 1795032 6403404 drd L1 -.043927 -.0256691 0060628 0060764 -7.25 -4.22 0.000 0.000 -.055895 -.0376639 -.0319589 -.0136742 rddsize rddcap rddliq rddllp 0394052 1935684 -.0183273 7802614 0080838 072892 0600282 1.744293 4.87 2.66 -0.31 0.45 0.000 0.009 0.761 0.655 0234476 0496784 -.136824 -2.663003 0553627 3374584 1001694 4.223526 dsize L1 .1865307 1149633 1.62 0.107 -.0404088 4134701 dcapr L1 .3953321 3007841 1.31 0.191 -.1984207 9890849 dliqr L1 .3361239 2498535 1.35 0.180 -.157091 8293388 dllpr L1 1.398313 3.641039 0.38 0.701 -5.789158 8.585784 Instruments for first differences equation Standard D.(rddcap L.lgdp L.drd) GMM-type (missing=0, separate instruments for each period unless collapsed) L(2/7).(L.lloan rddsize rddliq rddllp L.dsize L.dcapr L.dllpr L.dliqr) Arellano-Bond test for AR(1) in first differences: z = Arellano-Bond test for AR(2) in first differences: z = Sargan test of overid restrictions: chi2(125) Footer Page 307 of 89 = 136.02 -3.62 -0.14 Pr > z = Pr > z = 0.000 0.892 Prob > chi2 = 0.236 Header Page 308 of 89 cxli The effects of the 2008 global financial crisis on bank lending channel Dynamic panel-data estimation, one-step difference GMM Number of obs Number of groups Obs per group: avg max Group variable: id Time variable : year Number of instruments = 154 20.44 = F(13, 169) 0.000 = Prob > F Std Err t P>|t| 182 30 6.07 = = = = = [95% Conf Interval] dloan Coef lloan L1 -.5360774 1214915 -4.41 0.000 -.7759138 -.2962409 lgdp 3722204 1213933 3.07 0.003 1325777 611863 di L1 -.0411484 -.030904 0060287 0065583 -6.83 -4.71 0.000 0.000 -.0530497 -.0438508 -.029247 -.0179571 vixidsize vixidcap vixidliq vixidllp 0015153 0064521 0001887 0239406 0002863 0023703 0018049 052738 5.29 2.72 0.10 0.45 0.000 0.007 0.917 0.650 0009501 0017728 -.0033743 -.0801694 0020805 0111313 0037518 1280507 lsize L1 .1163833 117544 0.99 0.324 -.1156604 3484271 capr L1 .0602466 303423 0.20 0.843 -.538741 6592341 liqr L1 .3540715 2463479 1.44 0.152 -.132244 8403869 llpr L1 2.634043 3.615388 0.73 0.467 -4.503096 9.771181 vix 0096373 0028481 3.38 0.001 0040149 0152596 Instruments for first differences equation Standard D.(vixidcap L.lgdp L.di) GMM-type (missing=0, separate instruments for each period unless collapsed) L(2/7).(L.lloan L2.vixidsize L2.lsize vixidliq L.capr L.llpr L2.liqr vixidllp) Arellano-Bond test for AR(1) in first differences: z = Arellano-Bond test for AR(2) in first differences: z = Sargan test of overid restrictions: chi2(141) Footer Page 308 of 89 = 146.55 Pr > z = Pr > z = 0.000 0.983 Prob > chi2 = 0.357 -4.27 0.02 Header Page 309 of 89 cxlii Dynamic panel-data estimation, one-step difference GMM Group variable: id Time variable : year Number of instruments = 138 F(13, 169) = 21.70 Prob > F = 0.000 Number of obs Number of groups Obs per group: avg max Std Err t P>|t| = = = = = 182 30 6.07 dloan Coef [95% Conf Interval] lloan L1 -.6713953 1246684 -5.39 0.000 -.9175032 -.4252873 lgdp 4735741 1220599 3.88 0.000 2326156 7145325 drd L1 -.0432154 -.0297186 0061089 0061734 -7.07 -4.81 0.000 0.000 -.055275 -.0419055 -.0311559 -.0175318 vixrddsize vixrddcap vixrddliq vixrddllp 0014239 0056929 -.0011511 0363267 0003196 0026127 0022147 062691 4.45 2.18 -0.52 0.58 0.000 0.031 0.604 0.563 0007929 0005353 -.005523 -.0874316 0020549 0108506 0032209 160085 dsize L1 .233322 1158739 2.01 0.046 0045752 4620688 dcapr L1 .5400253 2930527 1.84 0.067 -.0384902 1.118541 dliqr L1 .3642834 2535739 1.44 0.153 -.1362969 8648638 dllpr L1 2.492768 3.64427 0.68 0.495 -4.701387 9.686923 vix 0067295 0026312 2.56 0.011 0015353 0119238 Instruments for first differences equation Standard D.(vixrddcap L.lgdp L.drd vix) GMM-type (missing=0, separate instruments for each period unless collapsed) L(2/7).(L.lloan vixrddsize vixrddliq vixrddllp L.dsize L.dcapr L.dllpr L.dliqr) Arellano-Bond test for AR(1) in first differences: z = Arellano-Bond test for AR(2) in first differences: z = Sargan test of overid restrictions: chi2(125) Footer Page 309 of 89 = 139.20 -3.74 -0.25 Pr > z = Pr > z = 0.000 0.804 Prob > chi2 = 0.182 Header Page 310 of 89 cxliii Dynamic panel-data estimation, one-step difference GMM Group variable: id Time variable : year Number of instruments = 138 F(13, 169) = 21.90 Prob > F = 0.000 Number of obs Number of groups Obs per group: avg max Std Err t P>|t| = = = = = 182 30 6.07 dloan Coef [95% Conf Interval] lloan L1 -.6716043 1243022 -5.40 0.000 -.9169894 -.4262192 lgdp 4758143 1215032 3.92 0.000 2359548 7156739 drf L1 -.0479132 -.0323982 006703 0067567 -7.15 -4.79 0.000 0.000 -.0611457 -.0457366 -.0346807 -.0190597 vixrfdsize vixrfdcap vixrfdliq vixrfdllp 0015536 0062498 -.0012639 040654 0003499 0028647 0024229 0688463 4.44 2.18 -0.52 0.59 0.000 0.031 0.603 0.556 0008629 0005946 -.0060469 -.0952555 0022444 011905 0035192 1765636 dsize L1 .2296034 1156301 1.99 0.049 0013379 457869 dcapr L1 .5093827 2931883 1.74 0.084 -.0694004 1.088166 dliqr L1 .3628734 2535654 1.43 0.154 -.1376901 8634369 dllpr L1 2.417578 3.640104 0.66 0.507 -4.768353 9.603508 vix 0068033 0026239 2.59 0.010 0016235 0119831 Instruments for first differences equation Standard D.(vixrfdcap L.lgdp L.drf vix) GMM-type (missing=0, separate instruments for each period unless collapsed) L(2/7).(L.lloan vixrfdsize vixrfdliq vixrfdllp L.dsize L.dcapr L.dllpr L.dliqr) Arellano-Bond test for AR(1) in first differences: z = Arellano-Bond test for AR(2) in first differences: z = Sargan test of overid restrictions: chi2(125) Footer Page 310 of 89 = 139.33 -3.74 -0.26 Pr > z = Pr > z = 0.000 0.791 Prob > chi2 = 0.180 ... price channel, and bank lending channel in Vietnam which are seen as the main channels in monetary policy transmission In addition, this study tries to investigate the determinants of bank lending. .. the bank lending channel in Vietnam Since the bank lending channel is a sub -channel in credit channel, meanwhile the other channels such as interest rate channel, exchange rate channel, and asset... fluctuated: increasing sharply in 2008, decreasing in 2009, increasing again in 2010 and 2011, and then decreasing in 2012 The changes in VNIBOR reflected unstability in monetary policy, SBV tightened monetary