Abstract

We empirically investigate and present evidence of nonlinearity and heterogeneity in the impact of abnormal loan growth on risk-taking in the Vietnamese banking system between 2007 and 2019, using a quantile regression method. Our results showed that abnormal loan growth initially helped banks to reduce risk-taking. However, this relationship was U-shaped and heterogeneous. The effect of abnormal loan growth was more significant for banks at the upper tail of the risk-taking distribution. Our findings also demonstrated that the turning point of abnormal loan growth increased throughout the risk-taking distribution. Hence, our findings suggest that the pursuit of excessive lending is more likely to result in greater bank risk-taking.

摘要

我们使用分位数回归方法，以实证方式调查并提出了异常贷款增长对越南银行系统在2007年至2019年之间承担风险的影响中的非线性和异质性的证据。我们的结果表明，异常的贷款增长最初有助于银行降低风险承担。但是，这种关系是U形的并且是异质的。处于异常冒险分布中的银行对银行异常贷款增长的影响更为显着。我们的研究结果还表明，在整个风险分配过程中，异常贷款增长的转折点有所增加。因此，我们的研究结果表明，追求过多的贷款更有可能导致银行承担更大的风险。