Overview

Original Research

LENDING INTEREST RATE AND CREDIT RISK: EMPIRICAL EVIDENCE IN VIETNAMESE COMMERCIAL BANKS

ANH NGUYEN QUOC

Vol 17, No 11 ( 2022 )   |  DOI: 10.5281/zenodo.7313763   |   Author Affiliation: University of Economics Ho Chi Minh City, Vietnam.   |   Licensing: CC 4.0   |   Pg no: 365-375   |   To cite: ANH NGUYEN QUOC. (2022). LENDING INTEREST RATE AND CREDIT RISK: EMPIRICAL EVIDENCE IN VIETNAMESE COMMERCIAL BANKS. 17(11), 365–375. https://doi.org/10.5281/zenodo.7313763   |   Published on: 11-11-2022

Abstract

The study was conducted to determine and measure the impact of interest rates on the credit risk of Vietnamese commercial banks. Research data is collected from 17 Vietnamese commercial banks in the period 2010 to 2021. The dependent variable of the model is RISK (credit risk), and the independent variable includes RATE (Lending interest rate), CAP (Capitalization rate), LG (Credit Growth Rate), ROA (Profitability), SIZE (Size), CAR (Capital Adequacy Ratio). To process data, this study uses Pooled OLS, FEM, REM, and FGLS methods. The results show the influence of interest rates on the credit risk of banks, which ROA has the strongest impact on credit risk, and LnSIZE has the strongest impact on credit risk. second, GDP has the third strongest impact, CAP has the fourth strongest impact, CAR has the fifth strongest impact, RATE has the sixth strongest impact, and LG has the seventh strongest impact on the credit risk of banks.

Keywords

interest rate, commercial bank, credit risk