Interest rates and systemic risk:Evidence from the Vietnamese economy

Abstract

This research examines the impact of interest rates on Vietnam's systemic risk following the 2007–2008 financial crisis. The data was collected over a period of 11 years (2010–2020), with monthly statistics, from the Vietnamese stock market, which is composed of 29 listed financial institutions, including commercial banks, insurance companies, and securities firms. The study employs the marginal expected shortfall (MES) method to measure Vietnam's systemic risk and a vector autoregressive model (VAR model) to analyze the influence of monetary policy interest rates. After the global financial crisis, monetary policy interest rates affected Vietnam's financial institutions' systemic risk. From 2010 to 2012 and 2013 to 2020, systemic risk reacted differently to monetary policy interest rate shocks. In order to improve Vietnam's stock market, the State Bank of Vietnam must assess how monetary policy affects the systemic risks of financial institutions.