Abstract
The global economy and financial markets have experienced "The most adverse shock in a century" due to the impact of the Covid-19 epidemic but are also transforming enormously in the digital era. Besides, Vietnam's financial system has been making vital development steps, increasing its resilience. Still, its development prospects depend mainly on the recovery of the global economy and financial markets, the Stability of the economy, and the Stability of the economic stability and sustainability of investor confidence in the market. The Markov Switching Var (MSVAR) model will measure the crisis in the Vietnamese financial system. The research goals reveal that the volatility of macro variables such as the exchange rate (ER), foreign exchange reserves (FR), and the domestic interest rate differential (ID) affects the financial market crisis in Vietnam from 2010 to 2020. According to MSVAR estimation, establishing the time of the financial market crisis correlates with the period of higher volatility in the foreign currency market. Thus, the article's novelty is to proactively seize opportunities development prospects and prevent risks towards sustainable development, and strategic solutions are needed.