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Ảnh hưởng của rủi ro thanh khoản, rủi ro tín dụng đến tính bền vững của Ngân hàng thương mại cổ phần Việt Nam năm 2008 - 2018 - 11


Blundell và Bond,1998. Initial conditions and moment restrictions in dynamic panel data models. Journal of Econometrics, page 115—143.

Brunnermeier et al, 2009. The Fundamental Principles of Financial Regulation.

Centre for Economic Policy Research (CEPR), page 1-98.

Bjorn Imbierowicz, Chritian Rauch, 2013. The relationship between liquidity risk and credit risk in banks. Journal of Banking & Finance. Goethe University Frankfurt, Finance Department, House of Finance, Grueneburgplatz 1, 60323 Frankfurt am Main, Germany, Volume 40, March 2014, Pages 242-256.

Cai, J., & Thakor , A. V. 2008. Liquidity risk, credit risk, and interbank competition. Working Paper.

Calomiris et al, 2015. A Theory of Bank Liquidity Requirements. SSRN Electronic Journal, page 291.

Diamond và Rajan, 2005. Liquidity Shortages and Banking Crises. The Journal of finance.

Dlamond, D. W, 1997. Liquidity, banks, and markets. Journal of Political Economy, page 105, 928-956.

Douglas W. Diamond, Raghuram G. Rajan, 2003. Liquidity Shortages and Banking Crises. NBER Working, Paper No. 10071

M. Kabir Hassan, Ashraf Khan, Andrea Paltrinieri, 2018. Liquidity Risk, Credit Risk and Stability in Islamic and Conventional Banks. Research in International Business and Finance, Volume 48, April 2019, Pages 17-31.

Viral V. Acharya, S. Viswanathan, 2010. Leverage, Moral Hazard and Liquidity.

NBER Working, Paper 15837.

III. Website

Website, BCTC của các Ngân hàng.

http://cafef.vn/; https://www.sbv.gov.vn/; https://finance.vietstock.vn/


PHỤ LỤC

Mô tả dữ liệu đặc trưng của các biến

Câu lệnh: xtserial Zscore(t) Zscore(t-1) LR CR SIZE ROA CAR LOANGROWTH EFFICIENCY INCOMEDIVERSITY INFLATION GDP

Kết quả:


Variable

Obs

Mean

Std. Dev.

Min

Max

Zscore(t)

330

2.041664

0.85340

0.27764

3.94281

Zscoret(t-1)

330

2.096017

0.85032

0.27764

3.94281

LR

330

0.336164

0.16324

0.03495

0.71703

CR

330

0.022637

0.01105

0.00018

0.05923

SIZE

330

3.198214

0.12877

2.78679

3.48111

ROA

330

0.00804

0.00776

-0.05512

0.05952

CAR

330

0.147309

0.06707

0.06620

0.55500

LOANGROWTH

330

0.267796

0.26238

-0.31294

1.24588

EFFICIENCY

330

0.521324

0.16062

0.00000

1.11523

INCOMEDIVETY

330

0.883607

0.18049

0.00000

1.32952

INFLATION

330

0.079236

0.05954

0.00630

0.19890

GDP

330

0.0613

0.00645

0.05030

0.07080

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Ảnh hưởng của rủi ro thanh khoản, rủi ro tín dụng đến tính bền vững của Ngân hàng thương mại cổ phần Việt Nam năm 2008 - 2018 - 11


Ma trận hệ số tương quan

Câu lệnh: corr Zscore(t-1) LR CR SIZE ROA CAR LOANGROWTH EFFICIENCY INCOMEDIVERSITY INFLATION GDP

Kết quả:



Zscoret (t-1)

LR

CR

SIZE

ROA

CAR

LGR

EFF

INC

INF

GDP

Zscoret (t-1)

1.0000











LR

0.1853

1.0000










CR

0.2203

0.1885

1.0000









SIZE

-0.1095

0.0560

-0.0248

1.0000








ROA

-0.0523

0.0742

-0.1848

-0.1219

1.0000







CAR

0.1486

0.0499

0.1535

-0.5451

0.0992

1.0000






LGR

-0.0450

0.0399

-0.1015

-0.2006

0.1708

0.0689

1.0000





EFF

-0.0313

-0.1094

0.1598

-0.0620

-0.5413

-0.0779

-0.1518

1.0000




INC

-0.1739

0.0398

-0.0432

0.0328

0.1381

0.0444

-0.0018

-0.0276

1.0000




INF

0.1135

-0.1251

-0.1399

-0.3323

0.2802

0.2087

-0.0358

-0.3135

-0.0291

1.0000


GDP

-0.1866

0.0321

-0.1755

0.1952

-0.0466

-0.1027

-0.0905

0.0071

0.0038

-0.1515

1.0000


Hồi quy OLS

Câu lệnh: xtreg Zscore(t) Zscore(t-1) LR CR SIZE ROA CAR LOANGROWTH EFFICIENCY INCOMEDIVERSITY INFLATION GDP

Kết quả:

Random-effects GLS regression Number of obs = 330

Group variable: Bank1 Number of groups = 30

R-sq: Obs per group:

within = 0.5405 min = 11

between = 0.9833 avg = 11.0

overall = 0.7972 max = 11

Wald chi2(11) = 1249.67

corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000


Zscore(t)

Coef.

Std. Err.

z

P>z

[95% Conf.

Interval]

Zscore(t-1)

0.8614

0.0276

31.2100

0.0000

0.807275

0.915475

LR

-0.2573

0.1407

-1.8300

0.0670

-0.5330

0.0185

CR

-6.4535

2.1579

-2.9900

0.0030

-10.6828

-2.2241

SIZE

0.1549

0.2243

0.6900

0.4900

-0.2846

0.5945

ROA

5.9530

3.4655

1.7200

0.0860

-0.8393

12.7453

CAR

1.2799

0.3980

3.2200

0.0010

0.4999

2.0598

LOANGROWTH

-0.3946

0.0880

-4.4900

0.0000

-0.5670

-0.2223

EFFICIENCY

-0.0638

0.1730

-0.3700

0.7120

-0.4029

0.2752

INCOMEDIVERSITY

-0.3585

0.1235

-2.9000

0.0040

-0.6006

-0.1165

INFLATION

0.4156

0.4325

0.9600

0.3360

-0.4320

1.2632

GDP

-5.2514

3.5526

-1.4800

0.1390

-12.2143

1.7115

_cons

0.4816

0.8196

0.5900

0.5570

-1.1248

2.0880


Kiểm định mô hình FEM

Câu lệnh: xtreg Zscore(t) Zscore(t-1) LR CR SIZE ROA CAR LOANGROWTH EFFICIENCY INCOMEDIVERSITY INFLATION GDP, fe

Kết quả:


Fixed-effects (within) regression Number of obs = 330

Group variable: Bank1 Number of groups = 30

R-sq: Obs per group:

within = 0.6167 min = 11

between = 0.5296 avg = 11.0

overall = 0.5536 max = 11

F(11,289) = 42.28

corr(u_i, Xb) = 0.1446 Prob > F = 0.0000


Zscore(t)

Coef.

Std. Err.

z

P>z

[95% Conf.

Interval]

Zscore(t-1)

0.46614

0.04244

10.98000

0.00000

0.38260

0.54967

LR

-0.21903

0.15374

-1.42000

0.15500

-0.52162

0.08357

CR

-3.93428

2.21114

-1.78000

0.07600

-8.28625

0.41769

SIZE

-1.91530

0.45411

-4.22000

0.00000

-2.80909

-1.02151

ROA

16.48788

3.41562

4.83000

0.00000

9.76523

23.21053

CAR

1.93532

0.42048

4.60000

0.00000

1.10773

2.76291

LOANGROWTH

-0.42798

0.08500

-5.04000

0.00000

-0.59527

-0.26069

EFFICIENCY

0.17299

0.19718

0.88000

0.38100

-0.21510

0.56107

INCOMEDIVERSITY

-0.28920

0.13079

-2.21000

0.02800

-0.54662

-0.03178

INFLATION

-0.71340

0.44784

-1.59000

0.11200

-1.59485

0.16804

GDP

-6.64082

3.31447

-2.00000

0.04600

-13.16439

-0.11725

_cons

7.67878

1.48398

5.17000

0.00000

4.75800

10.59957


Kiểm định mô hình REM

Câu lệnh: xtreg Zscore(t) Zscore(t-1) LR CR SIZE ROA CAR LOANGROWTH EFFICIENCY INCOMEDIVERSITY INFLATION GDP, re


Kết quả:

Random-effects GLS regression Number of obs = 330

Group variable: Bank1 Number of groups = 30

R-sq: Obs per group:

within = 0.5405 min = 11

between = 0.9833 avg = 11.0

overall = 0.7972 max = 11

Wald chi2(11) = 1249.67

corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000


Zscore(t)

Coef.

Std. Err.

z

P>z

[95% Conf.

Interval]

Zscoret(t-1)

0.8614

0.0276

31.2100

0.0000

0.8073

0.9155

LR

-0.2573

0.1407

-1.8300

0.0670

-0.5330

0.0185

CR

-6.4535

2.1579

-2.9900

0.0030

-10.6828

-2.2241

SIZE

0.1549

0.2243

0.6900

0.4900

-0.2846

0.5945

ROA

5.9530

3.4655

1.7200

0.0860

-0.8393

12.7453

CAR

1.2799

0.3980

3.2200

0.0010

0.4999

2.0598

LOANGROWTH

-0.3946

0.0880

-4.4900

0.0000

-0.5670

-0.2223

EFFICIENCY

-0.0638

0.1730

-0.3700

0.7120

-0.4029

0.2752

INCOMEDIVERSITY

-0.3585

0.1235

-2.9000

0.0040

-0.6006

-0.1165

INFLATION

0.4156

0.4325

0.9600

0.3360

-0.4320

1.2632

GDP

-5.2514

3.5526

-1.4800

0.1390

-12.2143

1.7115

_cons

0.4816

0.8196

0.5900

0.5570

-1.1248

2.0880


Quyết định lựa chọn mô hình REM/FEM

Câu lệnh: hausman fem rem Kết quả:


fem

rem

Difference

S.E.

Zscore(t)

0.466137

0.861375

-.3952384

.0322398

LR

-0.21903

-0.25727

.0382467

.0619794

CR

-3.93428

-6.45347

2.519189

.4823525

SIZE

-1.9153

0.154935

-2.070233

.3948738

ROA

16.48788

5.953002

10.53488

0.00000

CAR

1.93532

1.279857

.6554632

.1357729

LOANGROWTH

-0.42798

-0.39465

-0.0333297

0.00000

EFFICIENCY

0.172986

-0.06383

.236812

.0946366

INCOMEDIVETY

-0.2892

-0.35852

.0693204

.0430574

INFLATION

-0.7134

0.415638

-1.129041

.1163969

GDP

-6.64082

-5.2514

-1.389419

0.00000

b = consistent under Ho and Ha; obtained from xtreg

B = inconsistent under Ha, efficient under Ho; obtained from xtreg Test: Ho: difference in coefficients not systematic

Prob>chi2 = 0.0000

(V_b-V_B is not positive definite)



Kiểm định đa cộng tuyến

Câu lệnh: regress Zscore(t) Zscore(t-1)LR CR SIZE ROA CAR LOANGROWTH EFFICIENCY INCOMEDIVERSITY INFLATION GDP, beta

Kết quả:

Source | SS df MS Number of obs =


330

F(11, 318) = 113.61



Model | 191.005829 11 17.3641662 Prob > F

=

0.0000

Residual | 48.6046576 318 .152844835 R-squared


= 0.7972

-------------+---------------------------------- Adj R-squared =


0.7901

Total | 239.610486 329 .72829935 Root MSE = .39095


Zscore(t)

Coef.

Std. Err.

t

P>t

Beta

Zscoret(t-1)

0.86138

0.02760

31.21000

0.00000

0.85826

LR

-0.25727

0.14070

-1.83000

0.06800

-0.04921

CR

-6.45347

2.15788

-2.99000

0.00300

-0.08353

SIZE

0.15493

0.22426

0.69000

0.49000

0.02338

ROA

5.95300

3.46553

1.72000

0.08700

0.05410

CAR

1.27986

0.39796

3.22000

0.00100

0.10058

LGR

-0.39465

0.08795

-4.49000

0.00000

-0.12133

EFF

-0.06383

0.17298

-0.37000

0.71200

-0.01201

INC

-0.35852

0.12350

-2.90000

0.00400

-0.07582

INF

0.41564

0.43245

0.96000

0.33700

0.02900

GDP

-5.25140

3.55257

-1.48000

0.14000

-0.03966

_cons

0.48160

0.81962

0.59000

0.55700

0.00000


Variable

VIF

1/VIF

SIZE

1.80

0.55703

EFFICIENCY

1.66

0.601756

ROA

1.55

0.643126

CAR

1.53

0.652138

INFLATION

1.43

0.700833

CR

1.22

0.817626

Zscore(t-1)

1.19

0.843321

LOANGROWTH

1.15

0.872404

LR

1.14

0.880726

Câu lệnh: estat vif Kết quả:


GDP

1.13

0.885937

INCOMEDIVETY

1.07

0.935018

Mean VIF

1.35



Kiểm định phương sai thay đổi

Câu lệnh: xttest3

Kết quả:

Modified Wald test for groupwise heteroskedasticity in fixed effect regression model

H0: sigma(i)^2 = sigma^2 for all i chi2 (30) = 3192.98

Prob>chi2 = 0.0000


Kiểm định tự tương quan

Câu lệnh: xtserial Zscore(t) Zscore(t-1)LR CR SIZE ROA CAR LOANGROWTH EFFICIENCY INCOMEDIVERSITY INFLATION GDP

Kết quả:

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

F( 1, 29) = 43.107 Prob > F = 0.0000


Khắc phục khuyết tật

Câu lệnh: xtgls Zscore(t) Zscore(t-1) LR CR SIZE ROA CAR LOANGROWTH EFFICIENCY INCOMEDIVERSITY INFLATION GDP, panels(h) corr(ar1)

Kết quả:

Cross-sectional time-series FGLS regression Coefficients: generalized least squares Panels: heteroskedastic

Correlation: common AR(1) coefficient for all panels (-0.0055) Estimated covariances = 30 Number of obs = 330

Estimated autocorrelations = 1 Number of groups = 30

Estimated coefficients = 12 Time periods = 11

Wald chi2(11) = 1904.07

Prob > chi2 = 0.0000


---------------------------------------------------------------------------------

Zscore(t)

Coef.

Std. Err.

z

P>z

[95% Conf.

Interval]

Zscore(t-1)

0.8946

0.0232

38.5100

0.0000

0.8491

0.9402

LR

-0.4046

0.0943

-4.2900

0.0000

-0.5894

-0.2199

CR

-4.9892

1.6353

-3.0500

0.0020

-8.1945

-1.7840

SIZE

0.3101

0.1622

1.9100

0.0560

-0.0079

0.6281

ROA

7.3090

2.6715

2.7400

0.0060

2.0729

12.5450

CAR

1.5116

0.3364

4.4900

0.0000

0.8523

2.1709

LOANGROWTH

-0.3270

0.0659

-4.9600

0.0000

-0.4561

-0.1979

EFFICIENCY

-0.0173

0.1429

-0.1200

0.9040

-0.2973

0.2628

INCOMEDIVERSITY

-0.1224

0.1095

-1.1200

0.2630

-0.3370

0.0921

INFLATION

0.2984

0.3011

0.9900

0.3220

-0.2918

0.8886

GDP

-4.0363

2.4709

-1.6300

0.1020

-8.8792

0.8066

_cons

-0.4541

0.6113

-0.7400

0.4580

-1.6522

0.7440


So sánh kết quả mô hình

Câu lệnh: esttab ols fem rem xtgls Kết quả:


0.861***

0.466*** 0.861*** 0.895***

-31.21

-10.98

-31.21

-38.51

-0.257

-0.219

-0.257

-0.405***

(-1.83)

(-1.42)

(-1.83)

(-4.29)

-6.453**

-3.934

-6.453**

-4.989**

(-2.99)

(-1.78)

(-2.99)

(-3.05)

0.155

-1.915***

0.155

0.31

-0.69

(-4.22)

-0.69

-1.91

5.953

16.49***

5.953

7.309**

-1.72

-4.83

-1.72

-2.74

1.280**

1.935***

1.280**

1.512***

-3.22

-4.6

-3.22

-4.49

-0.395***

-0.428***

-0.395***

-0.327***

(-4.49)

(-5.04)

(-4.49)

(-4.96)

-0.0638

0.173

-0.0638

-0.0173

(-0.37)

-0.88

(-0.37)

(-0.12)

-0.359**

-0.289*

-0.359**

-0.122

Zscoret(t-1) LR

CR SIZE ROA CAR

LOANGROWTH


EFFICIENCY INCOMEDIVETY

Zscoret (OLS)

Zscoret (FEM)

Zscoret (REM)

Zscoret (XTGLS)

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