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

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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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)