宏观经济变量对系统性风险的影响:来自越南经济的证据

IF 0.9 Q3 ECONOMICS
Thị Xuan Huong Tram, Nguyen Thanh Hoai
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引用次数: 3

摘要

本文旨在找出越南系统性风险与宏观经济因素(包括汇率、利率和经济增长)的影响之间的关系。我们收集了2010-2018年期间越南股市的数据,特别是29家上市金融公司(银行、保险公司和证券公司)。该分析分两步进行,包括基于系统预期短缺(SES)方法的越南系统风险测量,以及提供与风险决定因素评估相关的分析证据。除了普通最小二乘(OLS)方法外,我们还使用了固定效应(FEM)估计、随机效应(REM)估计和系统广义矩法(SGMM)。本文的实证证据表明,越南经济增长与系统性风险呈负相关,而汇率对系统性风险有正向影响,利率对系统性危险呈负相关。未来的研究可以解决这一时期利率对系统性风险的影响。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Effect of macroeconomic variables on systemic risk: Evidence from Vietnamese economy
This paper aims to find out the relationship between systemic risk in Vietnam and the effects of macroeconomic factors, including exchange rate, interest rates, and economic growth. We collect data from the Vietnamese stock market, specifically 29 listed financial firms (banks, insurance companies, and securities firms) for the period 2010-2018. The analysis is performed in two steps including systematic risk measurement in Vietnam based on the Systemic Expected Shortfall (SES) method and providing evidence from analysis related to the risk determinants assessment. Besides ordinary least squares (OLS) methods, we make use of fixed-effects (FEM) estimations, random-effects (REM) estimations, and system generalized method of moments (SGMM). The empirical evidence in this paper indicates that economic growth has a negative relationship on systemic risk in Vietnam while the exchange rate has a positive impact on systemic risk, and the interest rate has a negative relationship on systemic risk in Vietnam. Future studies can address the effects of interest rate on systemic risk during this period.
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来源期刊
CiteScore
1.80
自引率
11.10%
发文量
18
期刊介绍: Economics and Business Letters is an open access journal that publishes both theoretical and empirical quality original papers in all economics and business fields. In addition, relevant discussions on current policy issues will be considered for the Policy Watch section. As general strategy of EBL, the journal will launch calls for papers for special issues on topics of interest, generally with invited guest editors. The maximum length of the letters is limited to 2,500 words.
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