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:
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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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 |
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
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
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
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:
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
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:
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
---------------------------------------------------------------------------------
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)