Holdings of sovereign bonds by commercial banks in Vietnam

Figures & data

Table 1. Summary statistics

Variables	Obs.	SD	Mean	10^th	25^th	Median	75^th	90^th
Sovereign Bonds	349	4.95	8.66	2.52	4.70	8.30	11.28	16.22
Loan to Deposits	349	20.82	90.02	63.70	75.89	86.75	101.37	115.30
Securities Issued	349	4.65	4.14	0.00	0.01	2.56	6.54	12.45
Deposits	349	13.36	61.44	40.48	53.07	63.24	71.03	78.48
Capital	349	4.70	13.73	9.32	10.33	12.50	15.55	20.10
ROA	349	0.55	0.81	0.10	0.38	0.73	1.20	1.65
Yield Spread	349	2.11	2.26	–0.81	1.11	2.22	3.36	5.21
Loan Loss Provisions	349	0.54	1.25	0.66	0.89	1.12	1.52	2.18
Size	349	1.20	31.91	30.30	30.88	31.94	32.80	33.62
GDP	349	0.62	6.17	5.39	5.42	6.21	6.67	7.07
Lending	319	23.89	26.79	2.51	12.11	19.91	34.65	65.16
LC growth	319	0.43	0.27	–0.22	0.04	0.17	0.38	0.92

The table shows the summary statistics of all variables. They are expressed in percentage (except for Size variable). Sovereign Bonds is the sovereign bond holding, calculated as sovereign bonds divided by total assets. Loan to Deposits is the ratio of loans to deposits. Securities Issued is the rate of total securities issued by each bank over total assets. Deposits is the ratio of customer deposits to total assets. Capital is proxied by the capital adequacy ratio. ROA is computed by the ratio of net return to total average assets. Yield Spread is the difference between the net interest margin (of interest-earning assets) and the yield rate of securities. Loan Loss Provisions is the proxy for bank credit quality measured by the rate of loan loss provisions divided by total gross loans. Size is the proxy for bank size, measured by the natural logarithm of total assets. GDP is the annual GDP growth rate. Lending is the rate of annual loan growth. LC growth is the annual growth rate of the liquidity creation measure developed by Berger and Bouwman (2009).

Source: Authors’ calculation

Table 2. Correlation coefficients matrix

Variables	Sovereign Bonds	Loan to Deposits	Securities Issued	Deposits	Capital	ROA	Yield Spread	Loan Loss Provisions	Size	GDP	Lending	LC growth
Sovereign Bonds	1
Loan to Deposits	–0.39	1
Securities Issued	–0.36	0.24	1
Deposits	0.36	–0.41	–0.62	1
Capital	0.10	–0.05	–0.13	–0.04	1
ROA	–0.07	0.27	0.27	–0.30	–0.01	1
Yield Spread	0.07	0.18	0.07	–0.04	0.17	0.48	1
Loan Loss Provisions	0.31	–0.16	–0.16	0.06	–0.14	0.02	0.04	1
Size	0.16	0.04	–0.01	0.20	–0.52	0.02	–0.08	0.29	1
GDP	0.03	0.07	–0.07	0.21	–0.08	–0.15	–0.08	–0.19	0.22	1
Lending	–0.14	–0.07	0.20	–0.24	–0.01	0.06	–0.21	–0.05	–0.07	–0.13	1
LC growth	–0.19	–0.07	0.12	–0.05	–0.09	–0.03	–0.02	–0.01	–0.02	–0.20	0.45	1

Source: Authors’ calculation

Table 3. Estimation results for the determinants of sovereign bond holdings in static models

Regressor	(1)	(2)	(3)	(4)
Loan to Deposits	–0.068*** (0.017)	–0.066*** (0.017)	–0.065*** (0.017)	–0.064*** (0.017)
Securities Issued	–0.105 (0.070)	–0.107 (0.070)	–0.105 (0.070)	–0.111 (0.071)
Deposits	0.056* (0.034)	0.057* (0.034)	0.058* (0.034)	0.062* (0.034)
Capital	0.197** (0.091)	0.190** (0.090)	0.194** (0.089)
ROA	–1.037* (0.560)	–1.028* (0.559)	–0.998* (0.557)	–0.695 (0.544)
Yield Spread	0.103 (0.125)	0.098 (0.124)
Loan Loss Provisions	2.304*** (0.632)	2.205*** (0.604)	2.304*** (0.591)	2.393*** (0.595)
Size	0.909** (0.450)	0.936** (0.449)	0.954** (0.448)	0.429 (0.380)
GDP	0.207 (0.406)
Observations	319	319	319	319
R-square	0.368	0.368	0.367	0.350
F-test (p-value)	0.000	0.000	0.000	0.000

The table reports the estimation results for determinants of sovereign bond holdings, using the generalized least squares (GLS) method in the static panel REM. The dependent variable is Sovereign Bonds, calculated by the ratio of sovereign bonds over total assets. Other explanatory variables are defined in Table 1. Standard errors are in parentheses. ***, ** and * correspond to the 1%, 5% and 10% significance level, respectively.

Source: Authors’ calculation

Table 4. Estimation results for the determinants of sovereign bonds holding in dynamic models

Regressor	(1)	(2)	(3)	(4)
Lagged dependent variable	0.349*** (0.062)	0.335*** (0.054)	0.379*** (0.040)	0.336*** (0.062)
Loan to Deposits	–0.039*** (0.011)	–0.036*** (0.010)	–0.035*** (0.009)	–0.046*** (0.014)
Securities Issued	0.029 (0.030)	0.013 (0.032)	0.046** (0.020)	0.032 (0.028)
Deposits	0.060*** (0.015)	0.052*** (0.014)	0.069*** (0.014)	0.068*** (0.016)
Capital	0.073 (0.171)	–0.001 (0.140)	–0.039 (0.142)
ROA	–1.226*** (0.225)	–1.157*** (0.223)	–0.902*** (0.278)	–0.927*** (0.301)
Yield Spread	–0.022 (0.068)	–0.021 (0.064)
Loan Loss Provisions	2.415*** (0.848)	1.999*** (0.549)	1.649*** (0.282)	1.507*** (0.512)
Size	0.196 (0.835)	–0.003 (0.628)	–0.252 (0.631)	–0.438 (0.438)
GDP	0.113 (0.153)
Observations	319	319	319	319
First-order autocorrelation (p-value)	–3.22 (0.001)	–3.24 (0.001)	–3.19 (0.001)	–3.00 (0.003)
Second-order autocorrelation (p-value)	0.36 (0.718)	0.22 (0.828)	0.15 (0.882)	–0.05 (0.964)
Over-identifying restrictions test (p-value)	15.48 (0.691)	15.08 (0.718)	20.58 (0.360)	22.28 (0.271)

The table reports the estimation results for determinants of sovereign bonds holding, using the two-step system GMM regressor in the dynamic panel model. The dependent variable is Sovereign Bonds, calculated by the ratio of sovereign bonds over total assets. Other explanatory variables are defined in Table 1. Standard errors are in parentheses. *** and ** correspond to the 1% and 5% significance level, respectively.

Source: Authors’ calculation

Table 5. Estimates for the impact of sovereign bond holdings on bank lending

Regressor	(1) Lending—GMM	(2) Lending—FEM	(3) LC growth—GMM	(4) LC growth—FEM
Lagged dependent variable	0.253*** (0.069)		–0.052** (0.024)
Sovereign Bonds	0.753*** (0.160)	0.796*** (0.361)	0.007 (0.004)	0.010 (0.009)
Deposits	–0.216** (0.102)	0.075 (0.144)	–0.017*** (0.001)	–0.015*** (0.004)
Capital	–0.704 (0.941)	–0.341 (0.533)	–0.002 (0.012)	–0.016 (0.014)
Loan Loss Provisions	1.358 (4.888)	–6.849* (3.676)	0.001 (0.056)	0.077 (0.089)
Size	–8.825* (5.081)	–16.511*** (2.930)	0.005 (0.075)	–0.112 (0.069)
GDP	–3.682** (1.771)	–7.181*** (2.321)	0.041 (0.026)	–0.033 (0.055)
Observations	289	289	289	289
First-order autocorrelation (p-value)	–2.62 (0.009)		–2.73 (0.006)
Second-order autocorrelation (p-value)	0.00 (0.998)		0.12 (0.901)
Over-identifying restrictions test (p-value)	19.70 (0.290)		15.07 (0.591)
R-square		0.282		0.145
F-test (p-value)		0.000		0.000

The table reports the estimation results for the impact of sovereign bond holdings on bank lending, using the two-step system GMM regressor in the dynamic panel model and the ordinary least squares (OLS) method in the static panel FEM. The dependent variables are Lending computed by the rate of annual loan growth, and LC growth calculated by the growth rate of liquidity creation measure proposed by Berger and Bouwman (2009). Other explanatory variables are defined in Table 1. The dependent variables, along with the regression methods, are shown at the top of each column. Standard errors are in parentheses. ***, ** and * correspond to the 1%, 5% and 10% significance level, respectively.

Source: Authors’ calculation

Berger, A. N., & Bouwman, C. H. S. (2009). Bank liquidity creation. Review of Financial Studies, 22(9), 3779–3837. https://doi.org/10.1093/rfs/hhn104

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