巴塞尔协议III净稳定融资比率和风险回报权衡:来自越南的银行层面证据。

IF 0.7 Q4 BUSINESS, FINANCE
V. Dang
{"title":"巴塞尔协议III净稳定融资比率和风险回报权衡:来自越南的银行层面证据。","authors":"V. Dang","doi":"10.21315/aamjaf2021.17.2.10","DOIUrl":null,"url":null,"abstract":"The Net Stable Funding Ratio (NSFR) liquidity rule under Basel III guidelines is designed to handle long-term liquidity risk, promoting the sustainable structures of bank funding. This study estimates the NSFR and analyses the impact of this liquidity ratio on banks according to a risk-return trade-off in Vietnam prior to the Basel III implementation. Using yearly data for commercial banks from 2007 to 2018, I find that banks with higher NSFR gain more potential benefits than banks with lower NSFR. Concretely, a rise in NSFR increases bank profitability and decreases bank funding costs, credit risks and liquidity creation, as evidenced by a comprehensive set of alternative measures. The findings of this study offer insightful implications on the bank policy framework advocating the Basel III liquidity regulation in Vietnam as well as other emerging markets.","PeriodicalId":44370,"journal":{"name":"Asian Academy of Management Journal of Accounting and Finance","volume":null,"pages":null},"PeriodicalIF":0.7000,"publicationDate":"2021-12-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"5","resultStr":"{\"title\":\"The Basel III net stable funding ratio and a risk-return tradeoff: Bank-level evidence from Vietnam.\",\"authors\":\"V. Dang\",\"doi\":\"10.21315/aamjaf2021.17.2.10\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"The Net Stable Funding Ratio (NSFR) liquidity rule under Basel III guidelines is designed to handle long-term liquidity risk, promoting the sustainable structures of bank funding. This study estimates the NSFR and analyses the impact of this liquidity ratio on banks according to a risk-return trade-off in Vietnam prior to the Basel III implementation. Using yearly data for commercial banks from 2007 to 2018, I find that banks with higher NSFR gain more potential benefits than banks with lower NSFR. Concretely, a rise in NSFR increases bank profitability and decreases bank funding costs, credit risks and liquidity creation, as evidenced by a comprehensive set of alternative measures. The findings of this study offer insightful implications on the bank policy framework advocating the Basel III liquidity regulation in Vietnam as well as other emerging markets.\",\"PeriodicalId\":44370,\"journal\":{\"name\":\"Asian Academy of Management Journal of Accounting and Finance\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.7000,\"publicationDate\":\"2021-12-10\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"5\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Asian Academy of Management Journal of Accounting and Finance\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.21315/aamjaf2021.17.2.10\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q4\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Asian Academy of Management Journal of Accounting and Finance","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.21315/aamjaf2021.17.2.10","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 5

摘要

巴塞尔协议III指导方针下的净稳定融资比率(NSFR)流动性规则旨在处理长期流动性风险,促进银行融资的可持续结构。本研究估计了NSFR,并根据巴塞尔协议III实施前越南的风险回报权衡分析了该流动性比率对银行的影响。利用2007年至2018年商业银行的年度数据,我发现NSFR较高的银行比NSFR较低的银行获得了更多的潜在利益。具体而言,NSFR的增加增加了银行的盈利能力,降低了银行融资成本、信贷风险和流动性创造,一系列全面的替代措施就是明证。这项研究的结果为越南和其他新兴市场倡导巴塞尔协议III流动性监管的银行政策框架提供了深刻的启示。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
The Basel III net stable funding ratio and a risk-return tradeoff: Bank-level evidence from Vietnam.
The Net Stable Funding Ratio (NSFR) liquidity rule under Basel III guidelines is designed to handle long-term liquidity risk, promoting the sustainable structures of bank funding. This study estimates the NSFR and analyses the impact of this liquidity ratio on banks according to a risk-return trade-off in Vietnam prior to the Basel III implementation. Using yearly data for commercial banks from 2007 to 2018, I find that banks with higher NSFR gain more potential benefits than banks with lower NSFR. Concretely, a rise in NSFR increases bank profitability and decreases bank funding costs, credit risks and liquidity creation, as evidenced by a comprehensive set of alternative measures. The findings of this study offer insightful implications on the bank policy framework advocating the Basel III liquidity regulation in Vietnam as well as other emerging markets.
求助全文
通过发布文献求助,成功后即可免费获取论文全文。 去求助
来源期刊
CiteScore
1.50
自引率
0.00%
发文量
12
审稿时长
20 weeks
期刊介绍: To provide a forum for the exchange of ideas and dissemination of empirical findings and analytical research in the specialized areas of accounting and finance with special emphasis on scholarly works with policy implications for countries in the Asia Pacific. The following are some of the topical subject areas relevant to the journal (but are not limited to): Accounting • Financial reporting and accounting standards • Auditing issues • Value based accounting and its relevance • Theory of accounting firm • Environmental auditing • Corporate governance issues • Public sector accounting Finance • Valuation of financial assets • International capital flows • Ownership and agency theory • Stock market behavior • Investment and portfolio management • Islamic banking and finance • Microstructures of financial markets
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
确定
请完成安全验证×
copy
已复制链接
快去分享给好友吧!
我知道了
右上角分享
点击右上角分享
0
联系我们:info@booksci.cn Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术官方微信