Macroeconomic, financial and institutional determinants of banking crisis the money market pressure index approach

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Nội dung chi tiết: Macroeconomic, financial and institutional determinants of banking crisis the money market pressure index approach

Macroeconomic, financial and institutional determinants of banking crisis the money market pressure index approach

UNIVERSITY OF ECONOMICS HO CHI MINH CITY VIETNAMINSTITUTE OF SOCIAL STUDIES THE HAGUE THE NETHERLANDSVIETNAM - NETHERLANDS PROGRAMME FOR M.A IN DEVELO

Macroeconomic, financial and institutional determinants of banking crisis the money market pressure index approachOPMENT ECONOMICSMACROECONOMIC, FINANCIAL AND INSTITUTIONAL DETERMINANTS OF BANKING CRISIS:THE MONEY MARKET PRESSURE INDEX APPROACHA thesis submitted i

n partial fulfilment of the requirements for the degree ofMASTER OF ARTS IN DEVELOPMENT ECONOMICSByCHAU THE VINHAcademic Supervisor:Assoc. Prof. NGUYE Macroeconomic, financial and institutional determinants of banking crisis the money market pressure index approach

N TRONG HOAIHO CHI MINH CITY, December2014CERTIFICATION“I certify that the substance of this thesis has not already been submitted for any degree and

Macroeconomic, financial and institutional determinants of banking crisis the money market pressure index approach

has not been currently submitted for any other degree.I certify that to the best of my knowledge and help received in preparing this thesis and all us

UNIVERSITY OF ECONOMICS HO CHI MINH CITY VIETNAMINSTITUTE OF SOCIAL STUDIES THE HAGUE THE NETHERLANDSVIETNAM - NETHERLANDS PROGRAMME FOR M.A IN DEVELO

Macroeconomic, financial and institutional determinants of banking crisis the money market pressure index approachgreat deal of encouragement and support from many people.First of all, I would like to express my deepest gratitude towards Assoc. Prof. Nguyen Trong

Hoai, my esteemed academic supervisor, for his patient guidance, encouragement and valuable critiques for my research work.Also. I would like to thank Macroeconomic, financial and institutional determinants of banking crisis the money market pressure index approach

Dr. Truong Dang Thuy for his guidance and advice in econometric techniques, Dr. Pham Khanh Nam for his encouragement and valuable advice in the start

Macroeconomic, financial and institutional determinants of banking crisis the money market pressure index approach

ing phase of my thesis research design.My gratefulness is also extended to all of my lecturers and staffs of the Vietnam-Netherlands Program for their

UNIVERSITY OF ECONOMICS HO CHI MINH CITY VIETNAMINSTITUTE OF SOCIAL STUDIES THE HAGUE THE NETHERLANDSVIETNAM - NETHERLANDS PROGRAMME FOR M.A IN DEVELO

Macroeconomic, financial and institutional determinants of banking crisis the money market pressure index approachport during my study period. Moreover, my special thanks to my C.E.O - Mr. Nguyen Huu Tram, who understands and gives me approval for my long personal

leave to finalize my thesis on time. Without them, I would not have opportunities and incentives to have my thesis finished.Finally, I would like to Macroeconomic, financial and institutional determinants of banking crisis the money market pressure index approach

thank all my friends and other people who have had any help and support for my thesis but are not above-mentioned.iiABSTRACTThe thesis estimates a log

Macroeconomic, financial and institutional determinants of banking crisis the money market pressure index approach

it regression model by fixed effect with a combination of some macroeconomic and financial indicators from the work of Hagen and Ho (2007) and Worldwi

UNIVERSITY OF ECONOMICS HO CHI MINH CITY VIETNAMINSTITUTE OF SOCIAL STUDIES THE HAGUE THE NETHERLANDSVIETNAM - NETHERLANDS PROGRAMME FOR M.A IN DEVELO

Macroeconomic, financial and institutional determinants of banking crisis the money market pressure index approachrated from the approach of money market pressure index (Hagen and Ho, 2007). The monthly panel dataset, which is available in full range and easy of a

pproach from International Financial Statistics CD-ROM (2011), of 18 countries from Latin America and Asian over the scope of 2001 - 2010ĨS applied. S Macroeconomic, financial and institutional determinants of banking crisis the money market pressure index approach

ome specific lag lengths of indicators are also applied according to the suggestion of “flexibility in forecast horizon” of Drehmann et al. (2011).The

Macroeconomic, financial and institutional determinants of banking crisis the money market pressure index approach

crisis phenomenon of banking system seems to be well-described in light of the present of depreciation, former year crisis, high real interest rate i

UNIVERSITY OF ECONOMICS HO CHI MINH CITY VIETNAMINSTITUTE OF SOCIAL STUDIES THE HAGUE THE NETHERLANDSVIETNAM - NETHERLANDS PROGRAMME FOR M.A IN DEVELO

Macroeconomic, financial and institutional determinants of banking crisis the money market pressure index approachtive effect to crisis. Simultaneously, growth rate of bank deposits to GDP is likely useful to prevent banking systems from profitability risks exposu

re that leads to banking crisis probability. However, unfortunately, the indicators of growth of monetary base and growth of M2 to reserves give incor Macroeconomic, financial and institutional determinants of banking crisis the money market pressure index approach

rect expected sign and negligible effect on banking crisis. Furthermore, the included institutional variables from WGI give insignificant statistic me

Macroeconomic, financial and institutional determinants of banking crisis the money market pressure index approach

aning. Hence, another set of institutional indicators such as that from International Country Risk Guide (ICRG) should be considered in future analysi

UNIVERSITY OF ECONOMICS HO CHI MINH CITY VIETNAMINSTITUTE OF SOCIAL STUDIES THE HAGUE THE NETHERLANDSVIETNAM - NETHERLANDS PROGRAMME FOR M.A IN DEVELO

Macroeconomic, financial and institutional determinants of banking crisis the money market pressure index approach to be examined in the future, this thesis attempts to contribute so-called new updates information on the would-be banking crisis determinants. Never

theless, on the other hand, there is likely no proper explanation on the tranquil periods of banking system. Hence, it is4suggested that thereshould b Macroeconomic, financial and institutional determinants of banking crisis the money market pressure index approach

e some assessment ofsuch time of banking system, which over a long time has beenneglected (Kauko, 2014).Key words: banking crisis, tranquiltime, deter

Macroeconomic, financial and institutional determinants of banking crisis the money market pressure index approach

minants, institutional indicators, fixed effect log it regression.TABLE OF CONTENTS

UNIVERSITY OF ECONOMICS HO CHI MINH CITY VIETNAMINSTITUTE OF SOCIAL STUDIES THE HAGUE THE NETHERLANDSVIETNAM - NETHERLANDS PROGRAMME FOR M.A IN DEVELO