Factors affecting liquidity risk in the system of Vietnamese commercial banks

Abstract

The research tries to identify causes of liquidity risk for the system of Vietnamese commercial banks. Data for the research are collected from annual reports in the years 2002-2011 by 27 Vietnamese commercial banks. The liquidity risk examined in the research is financing gap; and independent variables, or factors affecting the liquidity risk, are divided into two groups: internal and external ones. The estimated results of the models show that the liquidity risk among banks depends not only on internal factors, such as total asset size, liquidity reserve, inter-bank loan, and ratio of equity to capital, but also on external ones, or macroeconomic factors, such as growth rate, inflation, and especially effects of policy lags.