THE COVID-19 PANDEMIC, RISKS AND EFFICIENCY OF VIETNAMESE COMMERCIAL BANKS

Abstract

This paper aims to study the relationship between the COVID-19 pandemic, risks and efficiency of Vietnamese commercial banks in the period 2009-2021. The research includes three stages: (i) Measuring COVID-19 by using a dummy variable of the time when the pandemic occurs, measuring the risk and efficiency of Vietnamese commercial banks by the Z-score and Data Envelopment Approach (DEA); (ii) Applying the Bayesian Model Averaging (BMA) to identify the impact of the COVID-19 pandemic on the risks and efficiency of Vietnamese commercial banks; (iii) Applying the Panel Vector Autoregression (PVAR) and Granger to identify two-way effects of risks and efficiency of Vietnamese commercial banks. The results show that the COVID-19 pandemic has a positive impact on risk and a negative impact on the efficiency of Vietnamese commercial banks. In addition, this research also shows that profitability, capital adequacy ratio, non-performing loan, size,  equity to asset ratio, state ownership, foreign ownership, growth credit, non-interest income, liquidity, economic growth, inflation, and interest rates all have a substantial impact on risks and efficiency of Vietnamese commercial banks.  In addition, the research also shows evidence of a two-way causal relationship between risks and the efficiency of Vietnamese commercial banks. These findings have important implications for bank administrators and policymakers during the COVID-19 pandemic.