TAI CHiNH-NGAN HANG-BAO HIEM

FACTORS AFFECTING NON-PERFORMING

LOANS OF JOINT STOCK COMMERCIAL
BANKS IN VIETNAM

• TRAN THI DIEM NGA - DANG BAC HAI

ABSTRACT:
Non-performing loans (NPLs) has been a great concern of Vietnam's banking system. The
increase m NPLs lowers the capital accesss and limits the expansion of business, production or
consumption acitivities of customers, negatively affecting the national economic growth. In the
long term, NPLs could cause the collapse of the national banking system, spark off a crisis with
negative impacts on the socio-economic development of Vietnam. As a result, it is necessary to
study the factors affecting NPLs to find out solutions. This study is to determine the major factors
which affect the NPLs of 14 Vietnamese joint stock commercial banks from 2008 to 2019. Studied
factors are the growth rate of gross domestic product, the unemployment rate, the average lending
interest rate, the after-tax return on assets, the provision for credit losses and the credit growth. The
results show that the unemployment rate, after-tax return on assets and provision for credit losses
have impacted on the NPLs of joint-stock commercial banks in Viemam.
Keywords: Non performing loans (NPLs), NPLs ratio, joint stock commercial banks.

1. Introduction Government directed the banking system to

Non-performing loans (NPL) is one of the
major challenges for commercial banks in
Vietnam today. In general, it affects the economy
negatively and the operation of commercial banks
and customers in particular. Specifically, non-
performing loans will increase pressure on
inflation, curb production and business activities.
Non-performing loans will cause commercial
banks to use capital inefficiently, reduce profits,
bear cash flow risks, reduce the ability to pay for
bank payments. Therefore, if the NPL situation
happens regularly, continuously and not dealt with
completely, it will cause commercial banks to lose
credibility in their credit business activities .Thus,
Solving non-performing loans is paid attention
especially by the Government. And the
drastically implement in order to bring about
positive changes in the coming lime.
According to the State Bank (SBV), as of the
end of December 2018, the whole system handled
149.2 trillion dong of non-performing loans. The
internal NPL ratio of credit institutions is 1.89%,
down from 1.99% in 2017 and 2.46% in 2016. Data
of the National Financial Supervisory Commission
proofs that NPL of credit institutions by the end of
2018 were estimated at VND 163 trillion, the NPL
ratio of the whole system was about 2.4%, slightly
lower than the figure of 2.5% of the previous year.
However, reported NPL ratios are still high for
some banks and could be higher. Moreover, the
recent. shift lo consumer lending, including
mortgages and durable goods, and margin lending,

So 16-Thang 7/2020 241

TAP CHi CONG THlfdNG
could sour in a cyclical downturn. Therefore,
finding the answer to the big question: Where does
the source of NPL come from? Which factors
directly affect the NPL? Since then, propose some
solutions to improve NPL status of joint stock
commercial banks in Vietnam.
2. Literature review
2.1. Macro factors
Including the unintended impacts of customers
and banks sueh as natural disasters, fires,
epidemics, changes in economic management
policies, regional and branch planning, legal
corridors for activities bank movements are not
appropriate, changes in domestic and foreign
markets, and the supply-demand relationship
changes... causing enterprises to fall into fmancial
difficulties that cannot be overcome. Since then,
enterprises with goodwill, still cannot pay bank
debts (Tran Huy Hoang, 2013). In addition, the
monetary policy - credit of the Government and
the National Bank of the Stale has been
excessively relaxed in many years (2006-2010)
also contributed to increasing NPL.
Salas and Saurina (2002), Fofack (2005),
Jimenez and Saurina (2006), Khemraj and Pasha,
(2009), Dash and Kabra (2010), Louzis et al
(2010), Bofondi and Ropele (2011), Messai and
Jouini (2013) have demonstrated an inverse
relationship between NPL and real GDP growth,
while also finding evidence to show relationship
between NPL and macroeconomie factors such as
real interest rate, annual GDP growth, annual
inflation rate, loan growth, real exchange rate,
unemployment rate, money supply... Besides,
interest rates also affect NPLs in case of floating
interest rates. According to research results of
Jimenez and Saurina (2006), Khemraj and Pasha
(2009), Louzis et al (2010), Bofondi and Ropele
(2011), Messai and Jouini (2013), Ahlem Selma
Messai and Fathi Jouini (2013) interest rates have
the same impact with NPL, the higher the interest
rate, the more customers have to pay an interest
payment.
2.2. Micro factors from the bank.
Unreasonable credit policy: According to
Nguyen Dang Don (2010), the problem is the
banks still lack a consistent credit policy,
including general orientation in lending, short-
term credit regime, medium and long term.
242 Sd 16-Thang 7/2020
regulations on loan security, customer selection
list in each period. At the same time, Phan Thi Thu
Ha (2009) also commented that the bank s credit
policy is currently unreasonable, loo hea\y on the
profit target, leading to hot credit growth or
lending focused on the sectors with high risk
areas. NPL will have a delay, time lag from the
time of credit growth and the time of NPL
generation depends on the duration of the credits.
Psychology of relying on collateral: The bank
has too much trust in collateral, pledged assets,
guarantee and insurance as a sure guarantee for
loan recovery (Nguyen Dang Don, 2010).
Collateral is a contingency plan behind the
customer's business plans. It is because of too
much reliance on guaranteed assets that many
banks do not focus on analyzing the feasibility of
business plans, financial capacity of customers..
However, the change in guaranteed assets value
depends on market supply and demand supply and
the fluctuation in the economy. The majority of
collateral assets are real estate, the handling of
collateral assets to recover debts now takes a lot
of time and faces many difficulties, leading to
huge losses for the bank.
Lack of supervision and management after
lending: According to Duong Huu Hanh (2012),
banks often have a habit of concentrating much
effort on appraising before lending but loosening
the inspection process and controlling capital after
lending. This leads to a situation where many
customers use the loan incorrectly as committed,
automatically changing their business plan or
participating in areas of higher risk. But the bank
did not detect and prevent it in time, largely
stemming from the fear of causing troubles to
customers. The consequences increase the risk in
recovering bad debts.
3. Research Model
Data was collected from the annual reports and
financial reports of 14 joint stock banks from 2008
to 2019 and World Bank's Worid Development
Indicators (WDI). The author excludes State
commercial banks and merged or consobdaled
banks The reason for the exclusion of State
commercial banks is most of these banks are
dominated by the State more than other banks
from economic development policies, giving
preferential credit to businesses state and some

other subjects as prescribed. As for the merged
banks, it will include NPL, change the structure of
NPL. Since then, resulting in NPL data is no
longer original objectivity, leading to falsifying
results.
With the aim of determining the factors
affecting NPL of joint stock commercial banks in
Viemam, the proposed mode! for this shidy was
built based on the research of Ahlem Selma Messai
and Fathi Jouini (2013) as follows:
NPLj t = Po + PiGDPt-i + PiUNt + pjIRt
+ p4R0Ai t.i -t- pgLLRj^t + p^LOANSj^t + %t
With tis time, i is bank
The dependent variable is NPL: NPL rate
Independent variables of macro factors: growth
rate of gross domestic product of year t-l(GDPtl),
unemployment rate (UN) and average lending rate
(IR)
Independent variables of micro factors from the
bank: Profit after tax on total assets of year t-
l(ROAtl), Rate of provision for credit losses (LLR)
and credit growth rate (LOANS).
Macrofactors
Growth rate of gross domestic product of year t-1
(GDPtl): Growth rate of gross domestic product
(GDP) is the market value of all final goods and
services produced within a certain territory in a
certain period. As the economy grows, companies
and business households work well, rising incomes
will help quickly pay off the debt lo the bank. This
makes NPL decrease. In contrast, when the
economy falls into a recession, a crisis occurs,
customers will face more difficulties in business
operations and loan use. From dial, negatively
affect the ability to repay debts to banks. Many
studies conclude the negative relationship between
GDP and NPL such as: Salas and Saurina (2002),
Fofack (2005), Jimenez and Saurina (2006),
Khemraj and Pasha (2009), Dash and Kabra
(2010), Louzis et al (2010), Bofondi and Ropele
(2011), Messai and Jouini (2013), Ahlem Selma
Messai and Falhi Jouini (2013), Nguyen Thi Hong
Vinh (2015).
Unemployment rate (UN): is the percentage of
workers who are unemployed on the total social
labor force. Louzis et al, (2010), Bofondi and
Ropele (2011), Vatansever and Hepsen (2013),
Messai and Jouini (2013), Ahlem Selma Messai
and Fathi Jouini (2013) have pointed out the
TAI CHINH-NGAN HANG-BAD HIEM
positive impact of unemployment on NPL. When
the unemployment rate increases, it shows the
business ability and operation scale of economic
entities is reduced. This affects finance as well as
the ability to repay loans to banks, making the NPL
ratio increase.
Average lending rale (IR): Lending interest rates
represent the prices of loans and costs incurred by
economic entities for loans. In our country, the
State Bank announced the basic interest rate.
Cormnereial banks set borrowing and lending rates
based on that base interest rate and are suitable for
then business. Therefore, changes in interest rates
will affect the ability of individuals and businesses
to repay loans. When the economy is not going
well, lending rates increase, businesses will have to
incur an additional cost. This makes it easy for
busmesses to fall into debt. Research by Jimenez
and Saunna (2006), Khemraj and Pasha (2009).
Louzis el al (2010), Bofondi and Ropele (2011),
Messai and Jouini (2013), Ahlem Selma Messai
and Fathi Jouini (2013) show the change in interest
rates for real-world loans moving in the same
direcdon with NPL ratio.
Micro factors from the bank.
Profit after tax on total assets year t-I (ROAtl):
this ratio is higher, indicating that the bank has a
high profitability from each co-asset. In addition, it
demonstrates the bank's management skills for
profitable products. The results of Godlewski
(2004), Ahlem Selma Messai and Fathi Jouini
(2013) have shown that bank profits after tax on
total assets negatively impact the NPL ratio.
However, the study of Garciya-Marco and Robles-
Femandez (2008), Louzis et al (2010), Messai and
Jouini (2013) show that profit maximization policy
is accompanied by risk high level. Thereby, there is
a link between the profit after tax on total assets
and the NPL ratio.
Provision for credit losses (LLR): is the amount
set up for provision for losses that may occur
because customers of small-sized financial
institutions do not perform their obligations under
the loan commitments. The study of Boudriga et al,
(2009) concluded that provision for credit losses is a
mechanism to control NPL. A bank that performs a
well-estabhshed mechanism can ensure liquidity
and control NPL when it happens. Meanwhile, the
research results of Hasan and Wall (2004), Messai
So 16-Thang 7/2020 243
TAP CHi GONG THtfffNG
and Jouini (2013), Ahlem Selma Messai and Fathi
Jouini (2013), the risk provision affects the NPL.
The increased risk provision proves that the
proportion of loans that cannot be repaid also
increases. Therefore, the author fmds out a link
between credit risk provision and NPL ratio at
commercial banks.
Credit growth rate (LOANS): shows the growth
of the bank's credit growth for individuals and
businesses over dme. At the same dme, it is one of
the factors thai bring high profits to the bank.
Indeed, the more banks lend, the easier it is, the
more NPL are. Research by Salas and Saurina
(2002), Jimenez and Saurina (2006), Khemraj and
Pasha (2009), Dash and Kabra (2010) Nguyen Thi
Hong Vinh (2015) affum diat Uiis factor has the
positive relationship with the NPL ratio at the bank.
However, this factor in the study of Louzis et al
(2010), Messai and Jouini (2013), Ahlem Selma
Messai and Fathi Jouini (2013) is not statistically
significant. Therefore, the author retested this
factor to determine how it affected the NPL ratio.
4. Research methods and results
4.1. Research methods
This study uses Unit Root test namely ADF
(Augmented Dickey Fuller) to find out the order of
integration of the variables in model. The results
show that NPL, GDP, IR, ROA, LLR and LOANS
variables are stadonary at die Ost difference. While
variables UN is stationary at the 1st difference.
Because these variables are stationary, regression
results will be more stable. The author uses the
OLS Pool model to regress table data - Panel data.
Table 1: Results of regression model according to Feasible Generalized Least Square
The dependent variable: NPL rate
Independent vaiiat)les
Growth rate of gross domestic product of year t-1-GDR1
Unemployment rate - DUN
Average lending rate - IR
Profit after tax on total assets of yeart-1-ROAtl
Rate of Provision for credit losses - LLR
Credit growth rate-LOANS
Obs: 140
**' Statistically signiacant at 1%levei
2 4 4 So 16-Thang 7/2020
However, the Pool OLS model estimates on
aggregate data, ignoring the impact of
heterogeneous relationships between variables
over time. Since then, it does not reflect the
eharaeiensiics of the variables. Therefore, the
author performs regression model with fixed
effect (FEM) randomized regression model
REM to control and separate the effect of
individual characteristics (not change over time)
out of the independent variables. This helps to
estimate the real effects of macro and micro
variables on the NPL.
TTien, to choose the appropriate model between
fixed effects and random effects, the author
performs Hausman test. This study also uses
Wooldridge to test the correlation between random
errors, Breusch and Pagan to test die
Heteroscedasdeity in regression model. Besides,
this paper uses Collin test for testing Collinearily
Diagnostics. The result shows that the model has
two phenomena which are the Correlation and
Heteroscedasdeity. Thus, the author uses Feasible
Generalized Least Square (FGLS) to control and
overcome the existence of defects in the model.
4.2 Results
The Unemployment rate (UN) which has
negatively affected to NPL, statistically significant
at 1%. Thus, when the lending rate increases by 1
umt, the NPLs at banks decresase by 0.49955 units.
This result shows the Vietnamese labor
qualifications and the abihiy for job's requirements
are weak. Hence, legal employers must select the
labor who are professionally trained from the
Coef. Std. Err Prcb
-0.10832 0.09072 0.233
-0.49955 01869 O.0O8"*
0.00006 0.00017 0684
001875 0.00604 0.002""
0.39648 0.07602 0.000"
-0.02076 0 00596 0.391

beginning. In addition, with the unstable economic
situation, the enterprise must narrow their scale for
surviving to control them operations and pay off
their debts better.
Profit after tax on total assets of year t-1
(ROAtl) has statistically significant at 1% and
positively affected to NPL. This result conducted
that in this study, most of Joint stock commercial
bank which have profit maximization policy is
accompanied by risk high level. Thereby, there is a
link between the profit after tax on total assets and
the NPL ratio. These results are consistent with
previous studies, such as Garciya-Marco and
Robles-Femandez (2008), Louzis et al (2010),
Messai and Jouini (2013).
The Rate of Provision for credit losses (LLR)
has statistically significant at 1% and positively
affected to NPL. Accordingly, when provision for
credit losses increases by 1 unit, NPL increases by
0.39548 units. This finding is in hne with the results
of Hasan and Wall (2004), Messai and Jouini
(2013), Ahlem Selma Messai and Fathi Jouini
(2013). Because the number of loans falls into
groups 3 to 5, the property value is not enough to
offset the risks. To minimize risks to the lowest
possible level, it is leading to the bank must raise
high provision for credit risk.
5. Conclusion
The results show the opposite effect of the
unemployment rate on the NPL at joint stock
commercial banks in Viemam. The problem is the
skill and qualifications of Vietnamese labor force
which is still not suitable for the needs of
employers. Therefore, to solve this problem, the
Vietnamese education needs to quickly update the
change in recruitment needs of enterprise every
year. In addition, each year the university must
change and design a curriculum teaching that
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Received date: June 25,2020

Reviewed date: July 12,2020
Accepted date: July 22,2020

Author's information:
1. Master. TRAN THI DIEM NGA
2. Master. DANG BAC HAI
Ho Ciii Minli City University of Natural Resources and Environment

CAC YEU TO TAC DONG DEN NO XAU CUA CAC

NGAN HANG THllONG MAI CO PHAN TAI VlfT NAM
• ThS. TRAN TH! D l i M NGA
• ThS, DANG BAC HAI
Tradng Dgi hoc Tdi n g u y e n va Moi tradng Thanh pho Ho Chi Minh

T6MTAT:
Nd xau da va dang la moi quan tam Idn doi vdi hd thong ngan tiang cua Vi6t Nam. Nd xau
gia tang kliien cho cd hOi ti^p can von, md r6ng hoat d6ng sao xua't kinh doanh hoac tieu diing
cJa cdc kliacti hang bi ban cbe', anh hiidng xa'u dt'n kha nang tang truflng cua nln kinb te. Ve
lau dai, no c6 thd' Iam cbo he thd'ng ngan bang bi sup dd, gay nSn khung kboang, anh hirSng
tieu cue dS'n dfli sdng xa hpi va stf phat ttiin ciia da't nUdc. Vi v|y, viec ngbien ciiu cac yeu
td tdc ddng de'n nd xa'u Id rat can thiet, nbam dua ra cac gidi phap ban che, xft ly nd xau. Muc
tieu cia bdi nghien cifu la xdc dinh cdc ye'u td tac ddng de'n nd xSfu ciia 14 ngdn hang thUdng
mai cd phan tai Vidt Nam trong giai doan 2008 - 2019. Cdc yeu td ngbien cUu gdm: ty le tang
trudng tdng san pbam qudc noi, ty le that nghidp, lai sud't cbo vay binh qudn, ldi nbuan sau thud
trdn tdng tdi san, dif phdng rui ro tin dung vd tdc dd tang mtdng tin dung. Ket qua cho thay,
ty Id diS't nghiep, ldi nbujn sau tbud tren tdng tai san va du phong rOi ro tin dung dd dnh hudng
de'n nd xd'u tai cdc ngdn hdng tbudng mai cd phIn tai Viet Nam.
Ttf khda: Ni? xau, ty Id nd xd'u, ngdn hang thifdng mai cd phan.

So 16-Thdng 7/2020 247

TAP CHi CONG THlfdNG

4. Basel Committee on Banking Supervision (BCBS) (2002). < https://www.bis.org/i)cbs/index.him?m

=3%7C14%7C625>.
5. DASH, M., KABRA, G. (2010), The determinants of non-performing assets in Indian commercial bank. An
econometric study. Middle Eastern Finance and Economics, 7,94-106.
6. Dong He (2006), The role of KAMCO in resolving nonperformmg loans m the Repulic of Korea, In book: Bank
Restructuring a/uiResolution, 348-368.
7. Louzis, Dimitrios P, & Vouldis, Angelos T. & Metaxas, Vasilios L. (2012). Macroeconomie and bank-specific
determinants of non-performing loans in Greece: A comparative study of mortgage, business and consumer loan
portfolios. Journal of Banking & Finance, Elsevier, 36(4), 1012-1027.
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Received date: June 25,2020

Reviewed date: July 12,2020
Accepted date: July 22,2020

Author's information:
1. Master. TRAN THI DIEM NGA
2, Master. DANG BAC HAI
Ho Chi Minh City University of Natural Resources and Environment

CAC YEU TO TAC DONG DEN NO XAU CUA CAC

NGAN HANG THUONG MAI CO PHAN TAI VIET NAM
• ThS, IRAN TH! D I I M NGA
• ThS. DANG BAC HAI
Trudng Dgi hgc Tdi nguySn vd Mdi tradng Thdnh phd Hd Chf IVIinh

T6M TIT:
Nd xS'u da va dang la moi quan tam Idn doi vdi he thoang ngan h&ng cua Viet Nam. Nd xS'u
gia tSng idiie'n cho cd hdi ti8'p Ciin vd'n, md rdng hoat ddng san xu3't Idnh doanh hoac tieu dung
cua cdc khdch hiing hi han che, anh htfdng xa'u d6'n khd nang tang trUdng ciia nen kinh t.^. Ve
lau d£ii, no cd tlie lam cho he thd'ng ngan hang bi sup dd, gay nen khung khoang, anil hudng
tieu ctfc dd'n ddi sd'ng xa hdi va srf phdt tri^n cua dS't nUdc. Vi vSy, viec nghidn crfu cdc yeu
tdtac ddng den nd xafu la ra't can thie't, nham drfa ra cac giai phap han che, xii" ly nd xa'u. Muc
tieu ci3a bdi nghien cifu la xdc dmh cdc yd'u td' tac ddng de^n nd xaTu cua 14 ngan hang thUdng
mai cd phan tai Viet Nam trong giai doan 2008 - 2019. Cdc yen td'nghidn ci?u gdm: ty Id tang
trrfdng tdng sdn ph^m qudc ndi, ty le thaft nghiep, lai sud't cho vay binh quan, ldi nhuan sau thud
tren tdng tai san, drf phdng riii ro tin dung va td'c dd tang trudng tin dung. Kel qua cho thify,
ty Id tha't nghiep, ldi nhuSn sau thue tren tdng tai sdn vd drf phdng rdi ro tin dung da anh hrfdng
de'n nd xa'u tai cdc ngan hdng thrfdng mai cd ph^n tai Viet Nam.
Tiif khda: Nd xafu, ty Id nd xd'u, ngan hang thUdng mai cd phan.

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