Ảnh hưởng của chính sách tiền tệ thông qua lãi suất và độ dốc trái phiếu đến khả năng sinh lời của Ngân hàng thương mại Việt Nam - 12


Wooldridge test for autocorrelation in panel data H0: no first-order autocorrelation

F( 1, 23) = 4.634

Prob > F = 0.0421


Wooldridge test for autocorrelation in panel data H0: no first-order autocorrelation

F(

1,

23)

=

3.065



Prob > F

=

0.0933

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Ảnh hưởng của chính sách tiền tệ thông qua lãi suất và độ dốc trái phiếu đến khả năng sinh lời của Ngân hàng thương mại Việt Nam - 12


Wooldridge test for autocorrelation in panel data H0: no first-order autocorrelation

F( 1, 23) = 23.539

Prob > F = 0.0001



Wooldridge test for autocorrelation in panel data H0: no first-order autocorrelation

F( 1, 23) = 22.315

Prob > F = 0.0001


Dynamic panel-data estimation, two-step system GMM


Group variable: BANK

Number of obs

=

212

Time variable : YEAR

Number of groups

=

24

Number of instruments = 84

Obs per group: min

=

7

Wald chi2(13) = 205.45

avg

=

8.83

Prob > chi2 = 0.000

max

=

9



NIM


Coef.

Corrected Std. Err.


z


P>|z|


[95% Conf.


Interval]

LNIM

.5284931

.2335535

2.26

0.024

.0707367

.9862494

STRATE

1.789166

.8707094

2.05

0.040

.0826073

3.495725

STRATE2

-.1291081

.0724267

-1.78

0.075

-.2710619

.0128456

SYIEDC

5.332971

2.048062

2.60

0.009

1.318843

9.347098

SYIEDC2

-1.84538

.7715319

-2.39

0.017

-3.357555

-.3332056

VSTRATE

1.479166

1.12899

1.31

0.190

-.7336134

3.691945

SIZE

.0474008

.538103

0.09

0.930

-1.007262

1.102063

ETTA

4.767625

14.84852

0.32

0.748

-24.33495

33.8702

LIQ

-2.581619

4.340946

-0.59

0.552

-11.08972

5.926479

EFF

-.0033476

.0103044

-0.32

0.745

-.0235439

.0168487

GDP

-1.259723

1.091482

-1.15

0.248

-3.398988

.8795422

STOCK

-.1016082

.066595

-1.53

0.127

-.2321319

.0289155

CRISIS

12.16885

5.851038

2.08

0.038

.7010266

23.63667

_cons

-1.081204

13.54767

-0.08

0.936

-27.63416

25.47175

Instruments for first differences equation Standard

D.(L.LIQ L.LNIM)

Instruments for levels equation Standard

L.LIQ L.LNIM

_cons

GMM-type (missing=0, separate instruments for each period unless collapsed) DL(1/9).(LIQ LNIM)

Arellano-Bond test for AR(1) in first differences: z = -1.43 Pr > z = 0.152 Arellano-Bond test for AR(2) in first differences: z = -0.19 Pr > z = 0.847

Sargan test of overid. restrictions: chi2(70) = 244.81 Prob > chi2 = 0.000 (Not robust, but not weakened by many instruments.)

Hansen test of overid. restrictions: chi2(70) = 5.76 Prob > chi2 = 1.000 (Robust, but weakened by many instruments.)


Difference-in-Hansen tests of exogeneity of instrument subsets: iv(L.LIQ L.LNIM)

Hansen test excluding group: chi2(68) = 5.78 Prob > chi2 = 1.000 Difference (null H = exogenous): chi2(2) = -0.02 Prob > chi2 = 1.000


NNIM

Coef.

Std. Err.

z

P>|z|

[95% Conf.

Interval]

LNNIM

.6800234

.2282877

2.98

0.003

.2325877

1.127459

STRATE

-3.409347

1.958214

-1.74

0.082

-7.247376

.4286822

STRATE2

.2399171

.1408455

1.70

0.088

-.036135

.5159693

SYIEDC

-7.139899

3.52878

-2.02

0.043

-14.05618

-.2236173

SYIEDC2

2.490046

1.275468

1.95

0.051

-.0098259

4.989918

VSTRATE

-2.220604

1.38657

-1.60

0.109

-4.938232

.4970235

SIZE

-1.283758

.8526216

-1.51

0.132

-2.954866

.3873493

ETTA

-30.15172

18.0657

-1.67

0.095

-65.55984

5.256401

LIQ

.145858

2.553149

0.06

0.954

-4.858222

5.149938

EFF

.0049374

.0156401

0.32

0.752

-.0257167

.0355914

GDP

.8693694

.4602286

1.89

0.059

-.0326621

1.771401

STOCK

.1559519

.0911326

1.71

0.087

-.0226646

.3345684

CRISIS

-16.99807

8.619222

-1.97

0.049

-33.89144

-.1047077

_cons

35.93716

20.39891

1.76

0.078

-4.043962

75.91829

Warning: Uncorrected two-step standard errors are unreliable.


Instruments for orthogonal deviations equation Standard

FOD.L.LIQ

Instruments for levels equation Standard

L.LIQ

_cons

GMM-type (missing=0, separate instruments for each period unless collapsed) DL(1/9).LIQ

Arellano-Bond test for AR(1) in first differences: z = -2.40 Pr > z = 0.016 Arellano-Bond test for AR(2) in first differences: z = 0.19 Pr > z = 0.846

Sargan test of overid. restrictions: chi2(33) = 66.71 Prob > chi2 = 0.000 (Not robust, but not weakened by many instruments.)

Hansen test of overid. restrictions: chi2(33) = 4.86 Prob > chi2 = 1.000 (Robust, but weakened by many instruments.)


Difference-in-Hansen tests of exogeneity of instrument subsets: iv(L.LIQ)

Hansen test excluding group: chi2(32) = 9.49 Prob > chi2 = 1.000 Difference (null H = exogenous): chi2(1) = -4.63 Prob > chi2 = 1.000


PTT

Coef.

Std. Err.

z

P>|z|

[95% Conf.

Interval]

LPTT

.8564548

.2288543

3.74

0.000

.4079086

1.305001

STRATE

.0114394

.0059844

1.91

0.056

-.0002897

.0231685

STRATE2

-.0008793

.0004245

-2.07

0.038

-.0017113

-.0000473

SYIEDC

.0191665

.0092759

2.07

0.039

.000986

.0373469

SYIEDC2

-.0082013

.0034895

-2.35

0.019

-.0150406

-.0013619

VSTRATE

.0108138

.004058

2.66

0.008

.0028603

.0187673

SIZE

-.0002882

.001089

-0.26

0.791

-.0024226

.0018463

ETTA

-.0054334

.0245294

-0.22

0.825

-.0535102

.0426434

LIQ

-.0006267

.0049837

-0.13

0.900

-.0103946

.0091412

EFF

-.0000295

.0000516

-0.57

0.568

-.0001307

.0000718

GDP

-.0011258

.0021447

-0.52

0.600

-.0053294

.0030778

STOCK

-.0006456

.0002698

-2.39

0.017

-.0011744

-.0001169

CRISIS

.0603933

.0226931

2.66

0.008

.0159155

.104871

_cons

-.0320602

.0385692

-0.83

0.406

-.1076544

.0435341

Warning: Uncorrected two-step standard errors are unreliable.


Instruments for orthogonal deviations equation Standard

FOD.L.LIQ

Instruments for levels equation Standard

L.LIQ

_cons

GMM-type (missing=0, separate instruments for each period unless collapsed) DL(1/9).LIQ

Arellano-Bond test for AR(1) in first differences: z = -2.51 Pr > z = 0.012 Arellano-Bond test for AR(2) in first differences: z = 0.35 Pr > z = 0.725

Sargan test of overid. restrictions: chi2(33) = 43.40 Prob > chi2 = 0.106 (Not robust, but not weakened by many instruments.)

Hansen test of overid. restrictions: chi2(33) = 12.08 Prob > chi2 = 1.000 (Robust, but weakened by many instruments.)


Difference-in-Hansen tests of exogeneity of instrument subsets: iv(L.LIQ)

Hansen test excluding group: chi2(32) = 11.25 Prob > chi2 = 1.000 Difference (null H = exogenous): chi2(1) = 0.83 Prob > chi2 = 0.363



Dynamic panel-data estimation, two-step system GMM


Group variable: BANK

Number of obs

=

172

Time variable : YEAR

Number of groups

=

24

Number of instruments = 35

Obs per group: min

=

7

Wald chi2(13) = 3137.92

avg

=

7.17

Prob > chi2 = 0.000

max

=

9


ROA

Coef.

Std. Err.

z

P>|z|

[95% Conf.

Interval]

LROA

.1380888

.1528735

0.90

0.366

-.1615378

.4377154

STRATE

72.8884

35.49

2.05

0.040

3.329279

142.4475

STRATE2

-5.110767

2.487589

-2.05

0.040

-9.986352

-.2351814

SYIEDC

101.0218

48.9972

2.06

0.039

4.989063

197.0546

SYIEDC2

-38.98007

18.86268

-2.07

0.039

-75.95024

-2.009907

VSTRATE

52.11818

25.03714

2.08

0.037

3.04629

101.1901

SIZE

.3457787

.1319352

2.62

0.009

.0871904

.6043671

ETTA

9.012344

2.966956

3.04

0.002

3.197217

14.82747

LIQ

.510889

.6139109

0.83

0.405

-.6923543

1.714132

EFF

-.0016212

.002564

-0.63

0.527

-.0066466

.0034042

GDP

16.80485

7.915404

2.12

0.034

1.290946

32.31876

STOCK

-2.895568

1.410704

-2.05

0.040

-5.660497

-.1306396

CRISIS

281.05

135.6379

2.07

0.038

15.20466

546.8954

_cons

-423.9167

201.6371

-2.10

0.036

-819.1182

-28.71514

Warning: Uncorrected two-step standard errors are unreliable.


Instruments for orthogonal deviations equation Standard

FOD.(L.LIQ D.LIQ)

Instruments for levels equation Standard

L.LIQ D.LIQ

_cons

GMM-type (missing=0, separate instruments for each period unless collapsed) DL(1/9).LIQ

Arellano-Bond test for AR(1) in first differences: z = -4.22 Pr > z = 0.000 Arellano-Bond test for AR(2) in first differences: z = 1.25 Pr > z = 0.210

Sargan test of overid. restrictions: chi2(21) = 6.42 Prob > chi2 = 0.999 (Not robust, but not weakened by many instruments.)

Hansen test of overid. restrictions: chi2(21) = 8.00 Prob > chi2 = 0.995 (Robust, but weakened by many instruments.)


Difference-in-Hansen tests of exogeneity of instrument subsets: iv(L.LIQ D.LIQ)

Hansen test excluding group: chi2(19) = 8.61 Prob > chi2 = 0.979 Difference (null H = exogenous): chi2(2) = -0.61 Prob > chi2 = 1.000

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