Effect of macroeconomic variables on systemic risk: Evidence from vietnamese economy

Abstract

This paper aims to identify the relationship between Vietnam’s systemic risk and the effects of macroeconomic factors including exchange rate, interest rates, and economic growth. The data is collected from the Vietnamese stock market, specifically 29 listed financial firms (commercial banks, insurance firms, and securities companies) in 9 years from 2010 to 2018. The analysis is performed in two steps including measuring systematic risk in Vietnam based on the Systemic Expected Shortfall (SES) method and providing evidence from analysis related to the risk determinants assessment. We make use of four different estimators (OLS, REM, FEM, SGMM). The empirical evidence in this paper indicates that economic growth has a positive effect on systemic risk while the exchange rate has an inverse relationship with systemic risk in Vietnam, and the interest rate has a positive effect on systemic risk.