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MINISTRY OFEDUCATION AND TRAINING THE STATE BANK OFVIETNAM HO CHI MINH UNIVERSITY OF BANKING HO NGUYEN NGOC HUYEN THE EFFECT OF LIQUIDITY CREATION ON BANK PERFORMANCE: EMPIRICAL EVIDENCE FROM VIETNAMESE COMMERCIAL BANKS MASTER THESIS Major: Banking and Finance Major Code: 8340201 Ho Chi Minh City - 2026
MINISTRY OFEDUCATION AND TRAINING THE STATE BANK OF VIETNAM HO CHI MINH UNIVERSITY OF BANKING HO NGUYEN NGOC HUYEN THE EFFECT OF LIQUIDITY CREATION ON BANK PERFORMANCE: EMPIRICAL EVIDENCE FROM VIETNAMESE COMMERCIAL BANKS MASTER THESIS Major: Banking and Finance Major Code: 8340201 SUPERVISOR: PHD. NGUYEN THI NHU QUYNH Ho Chi Minh City - 2026
i DECLARATION I hereby solemnly declare that the Master’s thesis entitled “The Impact of Liquidity Creation on Bank Performance: Empirical Evidence from Vietnamese Commercial Banks” is an independent scientific research project conducted solely by myself. The study was carried out under the dedicated supervision of PhD. Nguyen Thi Nhu Quynh. This thesis represents the culmination of my academic learning and knowledge accumulation during my graduate studies at the Ho Chi Minh Unversity of Banking. All data, empirical results, analyses, and interpretations presented in this thesis are truthful, objective, and original, and have not been published or submitted in any other academic or research work. All references and data sources used in this study have been properly cited and acknowledged in accordance with academic citation standards and research ethics. Ho Chi Minh City, March 03, 2026 Author
ii ACKNOWLEDGEMENTS First and foremost, I would like to express my sincere and profound gratitude to all the distinguished lecturers and academic staff of the Ho Chi Minh University of Banking. I am especially indebted to the professors and instructors of the Faculty of Graduate Studies and the Finance - Banking Department, whose dedication, expertise, and guidance have greatly enriched my academic journey. Their commitment to teaching and unwavering support created the intellectual foundation and favorable conditions that enabled me to complete my studies and pursue this research successfully. My deepest appreciation goes to PhD. Nguyen Thi Nhu Quynh, my thesis supervisor, for her insightful guidance, continuous encouragement, and invaluable assistance throughout the entire research process. Her thoughtful feedback, academic rigor, and personal dedication have been instrumental in shaping this work and helping me overcome numerous challenges during its completion. Finally, I would like to extend my heartfelt wishes to all my professors for good health, happiness, and continued success in their professional and personal endeavors. Their passion for education and research remains a profound source of inspiration for students like myself to strive for excellence and integrity in every scholarly pursuit. Ho Chi Minh City, March 03, 2026 Author
iii ABSTRACT In the context of Vietnam’s commercial banking system experiencing rapid expansion in credit growth and asset size, the pressure to sustain operational efficiency has intensified, particularly amid rising non-performing loan (NPL) risks and macroeconomic volatility. Consequently, assessing the impact of liquidity creation (LC) on bank performance - while simultaneously accounting for risk factors and macroeconomic variables - becomes essential to understanding the sustainability of the sector’s growth trajectory. This thesis examines the influence of liquidity creation on the performance of 30 Vietnamese commercial banks during the period 2015-2025. Bank performance is measured using three key indicators: Return on Assets (ROA), Return on Equity (ROE), and Net Interest Margin (NIM). The control variables include the Non- Performing Loan ratio (NPL), Capital Adequacy Ratio (CAR), bank size (SIZE), and operating cost ratio (COST), together with macroeconomic variables such as GDP growth (GDPG), inflation rate (INFL), and interest rate (INT). The study employs panel data regression models, including Pooled Ordinary Least Squares (OLS), the Fixed Effects Model (FEM), and the Random Effects Model (REM). Following the Hausman test to identify the most appropriate specification, the Feasible Generalized Least Squares (FGLS) method is applied to correct for heteroskedasticity and serial correlation in the residuals, thereby ensuring more robust and efficient coefficient estimation. Empirical findings reveal that liquidity creation exerts a positive impact on the performance of Vietnamese commercial banks, as evidenced by improvements in ROA, ROE, and NIM. However, the magnitude of this effect is modest and varies depending on each bank’s risk management quality. Among the control variables, the NPL ratio exhibits the strongest negative relationship with profitability, reaffirming the crucial role of asset quality in determining bank performance. Furthermore, GDP growth contributes positively to bank efficiency, whereas higher inflation and interest rates tend to erode profitability.
iv Overall, the study underscores that sustainable banking growth cannot rely solely on expanding liquidity creation. It must also be supported by enhanced internal governance, effective NPL control, cost efficiency, and resilience to macroeconomic fluctuations. These findings provide valuable insights for policymakers and bank managers seeking to balance liquidity, profitability, and stability within an evolving financial landscape. Keywords: Liquidity creation, bank performance, Vietnamese commercial banks, ROA, ROE, NIM, NPL, FGLS, GDP growth, inflation, interest rate.
v TÓM TẮT LUẬN VĂN Trong bối cảnh hệ thống ngân hàng thương mại Việt Nam mở rộng nhanh về tín dụng và quy mô tài sản, áp lực duy trì hiệu quả hoạt động ngày càng gia tăng, đặc biệt là trước rủi ro nợ xấu và biến động từ môi trường kinh tế vĩ mô. Do đó, việc đánh giá tác động của hoạt động tạo thanh khoản (Liquidity Creation - LC) đến hiệu quả hoạt động ngân hàng, đồng thời xem xét các yếu tố rủi ro và biến vĩ mô, là cần thiết để làm rõ tính bền vững của quá trình tăng trưởng. Luận văn này phân tích tác động của LC đến hiệu quả hoạt động của 30 ngân hàng thương mại Việt Nam trong giai đoạn 2015-2025. Hiệu quả hoạt động được đo lường thông qua ba chỉ tiêu: tỷ suất lợi nhuận trên tổng tài sản (ROA), tỷ suất lợi nhuận trên vốn chủ sở hữu (ROE) và biên độ lãi ròng (NIM). Các biến kiểm soát bao gồm tỷ lệ nợ xấu (NPL), hệ số an toàn vốn (CAR), quy mô ngân hàng (SIZE), chi phí hoạt động (COST), cùng với các biến vĩ mô như tăng trưởng GDP (GDPG), lạm phát (INFL) và lãi suất (INT). Phương pháp nghiên cứu sử dụng các mô hình hồi quy tuyến tính cho dữ liệu bảng, bao gồm Pooled OLS, mô hình tác động cố định (FEM) và mô hình tác động ngẫu nhiên (REM). Sau khi thực hiện kiểm định Hausman để xác định mô hình phù hợp, nghiên cứu tiếp tục áp dụng mô hình FGLS (Feasible Generalized Least Squares) nhằm khắc phục hiện tượng phương sai thay đổi và tự tương quan trong phần dư, giúp ước lượng hệ số hồi quy hiệu quả và tin cậy hơn. Kết quả nghiên cứu cho thấy hoạt động tạo thanh khoản có tác động tích cực đến hiệu quả hoạt động của các ngân hàng thương mại Việt Nam, thể hiện qua sự cải thiện của ROA, ROE và NIM. Tuy nhiên, mức độ tác động không lớn và phụ thuộc vào chất lượng quản trị rủi ro của từng ngân hàng. Tỷ lệ nợ xấu (NPL) có ảnh hưởng tiêu cực rõ rệt nhất đến lợi nhuận, tái khẳng định vai trò quan trọng của chất lượng tài sản trong hoạt động ngân hàng. Ngoài ra, tăng trưởng GDP góp phần nâng cao hiệu quả hoạt động, trong khi lạm phát và lãi suất cao có xu hướng làm giảm lợi nhuận. Từ các kết quả này, luận văn nhấn mạnh rằng tăng trưởng bền vững của ngân hàng thương mại không chỉ dựa trên việc mở rộng quy mô tạo thanh khoản, mà cần
vi nâng cao năng lực quản trị nội tại, kiểm soát nợ xấu, quản lý chi phí và ứng phó linh hoạt với biến động kinh tế vĩ mô. Từ khóa: Tạo thanh khoản, hiệu quả hoạt động, ngân hàng thương mại Việt Nam, ROA, ROE, NIM, NPL, FGLS, GDP, lạm phát, lãi suất.
vii LIST OF ABBREVIATIONS No. Abbreviation English Phrase Vietnamese Phrase Capital Adequacy 1 CAR Tỷ lệ an toàn vốn Ratio 2 COST Operating Cost Chi phí hoạt động 3 FEM Fixed Effects Model Mô hình Tác động Cố định Feasible Generalized Mô hình Bình phương nhỏ nhất 4 FGLS Least Squares tổng quát khả thi Gross Domestic Tăng trưởng Tổng sản phẩm 5 GDPG Product Growth quốc nội Operational 6 HQHĐ Hiệu quả hoạt động Performance 7 INFL Inflation Lạm phát 8 INT Interest Rate Lãi suất 9 LC Liquidity Creation Tạo thanh khoản 10 NHTM Commercial Bank Ngân hàng thương mại 11 NIM Net Interest Margin Biên độ lãi ròng 12 NPL Non-Performing Loan Nợ xấu Ordinary Least Bình phương nhỏ nhất thông 13 OLS Squares thường Random Effects 14 REM Mô hình Tác động Ngẫu nhiên Model 15 ROA Return on Assets Tỷ suất sinh lời trên tổng tài sản Tỷ suất sinh lời trên vốn chủ sở 16 ROE Return on Equity hữu 17 SIZE Bank Size Quy mô ngân hàng Variance Inflation 18 VIF Hệ số phóng đại phương sai Factor
viii TABLE OF CONTENTS CHAPTER 1. INTRODUCTION....................................................................................1 1.1. RATIONALE .......................................................................................................1 1.2. RESEARCH OBJECTIVES.................................................................................3 1.2.1. General research objective ............................................................................3 1.2.2. Specific research objectives ..........................................................................3 1.3. RESEARCH QUESTIONS..................................................................................3 1.4. RESEARCH OBJECT AND RESEARCH SCOPE ............................................4 1.4.1. Research object..............................................................................................4 1.4.2. Research scope ..............................................................................................4 1.5. RESEARCH METHODOLOGY.........................................................................4 1.6. RESEARCH CONTRIBUTIONS........................................................................5 1.7. RESEARCH STRUCTURE.................................................................................6 CONCLUSION OF CHAPTER 1...................................................................................7 CHAPTER 2. THEORETICAL FRAMEWORK AND LITERATURE REVIEW .......8 2.1. THEORETICAL FRAMEWORK AND THE MECHANISM THROUGH WHICH LIQUIDITY CREATION AFFECTS COMMERCIAL BANK PERFORMANCE.................8 2.1.1. Concept of Commercial Bank Performance..................................................8 2.1.2. Concept of Liquidity Creation in Commercial Banks...................................9 2.1.3. Methods for Measuring Bank Liquidity Creation.......................................10 2.1.4. Approaches to Measuring Bank Performance.............................................12 2.2. THEORETICAL FOUNDATIONS ON THE IMPACT OF LIQUIDITY CREATION ON THE PERFORMANCE OF COMMERCIAL BANKS......................................................16 2.2.1. Linear Transmission Mechanism ................................................................16 2.2.2. Nonlinear Transmission Mechanism: The Inverted U-Shaped Relationship.....17 2.2.3. Theoretical Implications for the Vietnamese Context.................................18 2.3. SUMMARY OF PREVIOUS STUDIES ...........................................................18 2.3.1. International Studies....................................................................................18 2.3.2. Domestic Studies (Vietnamese Context).....................................................20 2.5. RESEARCH GAP ..............................................................................................27 CONCLUSION OF CHAPTER 2.................................................................................30
ix CHAPTER 3. RESEARCH METHODOLOGY...........................................................31 3.1. RESEARCH PROCESS.....................................................................................31 3.2 RESEARCH MODEL AND HYPOTHESES.....................................................32 3.2.1 Research Model............................................................................................32 3.2.2. Measurement of Variables in the Research Model .....................................34 3.2.3. Research Hypotheses...................................................................................36 3.3. Comparison and Discussion of Alternative Measures in Prior Studies .............40 3.4. RESEARCH METHODOLOGY.......................................................................42 3.4.1. Estimation Methods.....................................................................................42 3.4. RESEARCH DATA...........................................................................................44 CONCLUSION OF CHAPTER 3.................................................................................46 CHAPTER 4. EMPIRICAL ANALYSIS AND RESEARCH FINDINGS..................47 4.1. DESCRIPTIVE STATISTICAL ANALYSIS ...................................................47 4.2. CORRELATION ANALYSIS...........................................................................52 4.3. REGRESSION RESULTS.................................................................................54 4.3.1. Estimation of OLS, REM, and FEM Models..............................................54 4.3.2. Hausman Test for Model Selection between FEM and REM.....................60 4.4. RESULTS OF DIAGNOSTIC TESTS FOR THE OPTIMAL REGRESSION MODEL.....................................................................................................................61 4.5. FEASIBLE GENARALIZED LEAST SQUARES (FGLS) ESTIMATION ....63 4.6. DISCUSSION OF RESEARCH FINDINGS.....................................................66 CONCLUSION OF CHAPTER 4.................................................................................68 CHAPTER 5. CONCLUSION AND POLICY RECOMMENDATIONS...................69 5.1. CONCLUSION ..................................................................................................69 5.2. POLICY IMPLICATIONS ................................................................................69 5.2.1. Implications for Commercial Bank Managers ............................................69 5.2.2. Implications for Regulatory Authorities......................................................70 5.3. LIMITATIONS AND DIRECTIONS FOR FUTURE RESEARCH ................71 CONCLUSION CHAPTER 5.......................................................................................73 REFERENCES................................................................................................................ i APPENDICES.................................................................................................................v
x LIST OF TABLE AND FIGURES Table 2.1: Classification of Assets and Liabilities by the Degree of Liquidity in Commercial Banks ........................................................................................................10 Table 2.4: Summary of Studies on the Impact of Liquidity Creation (LC) on Bank Performance and Stability .............................................................................................23 Figure 3.1: Research Process Framework .....................................................................31 Table 3.2: Summary of Variables in the Research Model ............................................37 Table 4.1: Descriptive Statistics of Research Variables................................................47 Table 4.2: Pearson Correlation Matrix..........................................................................52 Table 4.3: Multicollinearity Test for Models (1), (2), and (3) ......................................53 Table 4.4: Regression Results under OLS, REM, and FEM (Dependent Variable: ROA) .......................................................................................................................................55 Table 4.5: Regression Results of OLS, REM, and FEM Models (Dependent Variable: ROE)..............................................................................................................................57 Table 4.6: Regression Results of OLS, REM, and FEM Models (Dependent Variable: NIM)..............................................................................................................................59 Table 4.7: Hausman Hausman Test Results..................................................................61 Table 4.8: Breusch-Pagan Lagrangian Multiplier Test Results ....................................62 Table 4.9: Wooldridge Test for Autocorrelation...........................................................62 Table 4.10: Estimation Results under the FGLS Model ...............................................63
1 CHAPTER 1. INTRODUCTION 1.1. RATIONALE In a modern market economy, the commercial banking system plays a central role in allocating financial resources and maintaining macroeconomic stability. Through its financial intermediation function, banks mobilize funds from surplus units and channel them to deficit units, while simultaneously serving as the primary transmission mechanism of monetary policy (Diamond & Dybvig, 1983; Kashyap, Rajan & Stein, 2002). In Vietnam, as the economy becomes increasingly integrated into the global market and the demand for capital to sustain growth continues to rise, the role of the commercial banking system has become even more essential in ensuring the continuity of capital flows and the stability of the financial market. One of the most distinctive and fundamental functions of commercial banks is liquidity creation (LC). This activity reflects the essence of maturity transformation in banking operations, whereby short-term, highly liquid funds (deposits) are used to finance longer-term, less liquid assets (loans and investments). According to Berger and Bouwman (2009), liquidity creation not only facilitates credit expansion and income generation for banks but also serves as a critical indicator of the extent to which banks perform their financial intermediation function. However, this activity simultaneously increases liquidity risk and credit risk if not managed prudently. Consequently, the relationship between liquidity creation and bank performance inherently involves a trade-off between profitability and financial safety. The urgency of this research arises in the context of rapid credit expansion within the Vietnamese banking system, accompanied by challenges related to stability and operational efficiency. According to information released at the press conference of the State Bank of Vietnam (SBV) on July 8, 2025, regarding the performance of the first six months of the year, total outstanding credit in the economy reached over VND 17.2 quadrillion as of June 30, 2025, representing an increase of 9.9% compared to the end of 2024 (State Bank of Vietnam, 2025). At the
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