Các nhân tố ảnh hưởng đến khả năng thanh khoản của các Ngân hàng thương mại Việt Nam

Năm

2006	2007	2008	2009	2010	2011	2012	2013	2014	2015	2016
CTG	1.41	1.02	1.81	0.61	0.66	0.75	1.47	1.00	1.12	0.92	1.18
BID	8.81	3.60	2.60	2.68	2.53	2.76	2.70	2.26	2.03	1.68	1.96
VCB	2.75	3.29	4.61	2.47	2.83	2.03	2.40	2.73	2.31	1.84	1.48
STB	0.72	0.23	0.60	0.64	0.54	0.58	2.05	1.46	1.19	1.22	5.35
MBB	2.78	1.01	1.83	1.58	1.26	1.59	1.84	2.45	2.73	1.61	1.32
EIB	0.85	0.88	4.71	1.83	1.42	1.61	1.32	1.98	2.46	1.86	2.95
MSB	3.76	2.08	1.49	0.62	1.87	2.65	2.65	2.71	5.16	3.41
ACB	0.19	0.08	0.89	0.41	0.34	0.89	2.50	3.03	2.18	1.32	0.88
Techcombank	3.11	1.39	2.52	2.49	2.28	2.83	2.69	3.65	2.38	4.03
SHB	1.37	0.50	1.89	2.79	1.40	2.23	8.81	4.06	2.02	1.72	1.93
HDBank	2.78	0.31	1.93	1.10	0.83	2.11	2.35	3.67	2.27	1.59
VPBank	0.58	0.49	3.41	1.63	1.20	1.82	2.72	2.81	2.54	2.69	2.79
SeABank	0.23	0.24	2.14	1.88	2.14	2.75	2.98	2.84	2.80	1.60
VIB	1.45	1.20	1.85	1.28	1.59	2.69	2.62	2.82	2.51	2.07	2.57
ABB	2.70	1.51	4.18	1.45	1.16	2.79	2.13	4.08	2.75	2.42
OCB		1.39	2.87	2.64	2.05	2.79	2.38	2.91	3.00	1.90
VietABank	1.94	0.68	1.79	1.31	2.52	2.56	4.65	2.88	2.33	2.26
SGB	0.48	0.42	0.69	1.78	1.91	4.75	2.93	2.24	2.08	1.88
NCB	1.04	0.16	2.91	2.45	2.24	2.92	5.64	6.07	2.52	2.15	1.55
KLB	1.60	1.27	1.66	1.17	1.15	2.77	2.93	2.47	1.95	1.13

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NAM TỪ 2006-2016 ĐVT: %

Năm

Ngân hàng

2006	2007	2008	2009	2010	2011	2012	2013	2014	2015	2016
CTG	20.67	16.46	16.42	15.11	15.78	16.36	17.17	17.85	17.82	17.87	21.90
BID	24.61	20.27	20.91	18.38	15.71	14.41	16.53	16.99	17.53	19.50	23.23
VCB	25.51	19.56	18.83	15.84	13.20	13.03	14.14	14.53	15.55	15.46	18.19
STB	3.78	6.40	5.80	6.45	6.54	5.03	5.19	5.00	5.12	6.71	7.69
MBB	2.08	2.94	3.76	4.28	4.70	4.93	5.99	5.59	5.40	5.07	5.91
EIB	2.80	3.34	4.09	4.06	5.62	6.52	5.80	5.26	4.34	2.86	2.97
MSB	1.30	1.74	2.77	3.96	4.95	4.06	3.75	3.32	2.81	2.39
ACB	6.82	8.46	8.93	10.41	8.80	9.98	6.01	5.16	4.84	4.62	5.39
Techcombank	2.64	3.92	5.03	5.74	6.45	6.41	6.14	4.92	4.74	4.40
SHB	0.20	1.23	1.22	1.70	2.19	2.52	3.97	4.45	4.56	4.69	5.42
HDBank	0.61	1.37	0.81	1.19	1.48	1.60	1.80	2.67	2.68	2.44
VPBank	1.54	1.80	1.58	1.71	2.57	2.94	3.50	3.76	4.40	4.44	5.28
SeABank	1.56	2.60	1.91	1.90	2.37	3.59	2.56	2.47	2.16	1.94
VIB	2.52	3.90	2.94	3.51	4.03	3.44	2.22	2.38	2.17	1.93	2.41
ABB	0.48	1.70	1.14	1.64	1.63	1.48	1.57	1.79	1.82	1.48
OCB	0.98	1.17	0.86	0.79	0.84	0.90	0.94	1.02	1.05	1.13
VietABank	0.64	0.94	0.87	0.98	1.03	0.80	0.84	0.84	0.96	0.96
SGB	0.95	1.01	0.95	0.74	0.72	0.55	0.51	0.45	0.43	0.41
NCB	0.17	0.98	0.92	1.16	0.86	0.80	0.74	0.90	0.99	1.11	1.59
KLB	0.13	0.22	0.25	0.46	0.54	0.63	0.63	0.66	0.62	0.58

ĐVT: %

Năm

Ngân hàng

2006	2007	2008	2009	2010	2011	2012	2013	2014	2015	2016
CTG	0.0158	0.0116	0.0256	0.0130	0.0196	0.0197	0.0187	0.0172	0.0148	0.0138	0.0136
BID	0.0061	0.0077	0.0089	0.0153	0.0151	0.0164	0.0140	0.0136	0.0133	0.0130	0.0134
VCB	0.0073	0.0082	0.0078	0.0137	0.0148	0.0155	0.0145	0.0133	0.0119	0.0123	0.0126
STB	0.0165	0.0115	0.0186	0.0158	0.0143	0.0254	0.0273	0.0261	0.0235	0.0166	0.0175
MBB	0.0037	0.0053	0.0068	0.0114	0.0114	0.0135	0.0154	0.0152	0.0155	0.0156	0.0163
EIB	0.0101	0.0105	0.0125	0.0139	0.0078	0.0104	0.0135	0.0125	0.0127	0.0185	0.0175
MSB	0.0098	0.0079	0.0089	0.0080	0.0080	0.0110	0.0169	0.0158	0.0139	0.0173
ACB	0.0104	0.0094	0.0151	0.0108	0.0105	0.0112	0.0242	0.0226	0.0215	0.0200	0.0200
Techcombank	0.0073	0.0061	0.0084	0.0128	0.0106	0.0116	0.0183	0.0211	0.0195	0.0192
SHB	0.0122	0.0060	0.0132	0.0124	0.0133	0.0159	0.0144	0.0130	0.0096	0.0102	0.0109
HDBank	0.0121	0.0064	0.0138	0.0105	0.0098	0.0132	0.0151	0.0130	0.0183	0.0226
VPBank	0.0074	0.0177	0.0242	0.0173	0.0091	0.0157	0.0183	0.0234	0.0226	0.0294	0.0289
SeABank	0.0051	0.0040	0.0089	0.0087	0.0081	0.0058	0.0126	0.0100	0.0097	0.0114
VIB	0.0067	0.0099	0.0175	0.0153	0.0127	0.0175	0.0279	0.0203	0.0203	0.0209	0.0200
ABB	0.0085	0.0085	0.0183	0.0133	0.0155	0.0208	0.0240	0.0185	0.0164	0.0185
OCB	0.0090	0.0132	0.0205	0.0178	0.0143	0.0167	0.0186	0.0186	0.0167	0.0161
VietABank	0.0134	0.0102	0.0151	0.0135	0.0127	0.0147	0.0129	0.0127	0.0098	0.0105
SGB	0.0138	0.0119	0.0155	0.0187	0.0164	0.0208	0.0258	0.0259	0.0202	0.0213
NCB	0.0212	0.0107	0.0165	0.0108	0.0137	0.0175	0.0301	0.0213	0.0164	0.0136	0.0122
KLB	0.0208	0.0145	0.0277	0.0159	0.0144	0.0199	0.0306	0.0275	0.0227	0.0226

ĐVT: %

Năm Chỉ tiêu

2006

2007

2008

2009

2010

2011

2012

2013

2014

2015

2016

GDP

6.98

7.13

5.66

5.40

6.42

6.24

5.25

5.42

5.98

6.68

6.30

LẠM PHÁT

7.39

8.30

23.12

7.05

8.86

18.68

9.09

6.59

4.09

0.63

4.85

Mô hình hồi quy Pooled OLS

Source | SS df MS Number of obs = 210

-------------+------------------------------ F( 10, 199) = 17.77

Model | 1.76347573 10 .176347573 Prob > F = 0.0000

Residual | 1.97493113 199 .009924277 R-squared = 0.4717

-------------+------------------------------ Adj R-squared = 0.4452 Total | 3.73840686 209 .017887114 Root MSE = .09962

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

LIQ | Coef. Std. Err. t P>|t| [95% Conf. Interval]

-------------+----------------------------------------------------------------

SIZE | -.0307771

.0120625	-2.55	0.011	-.0545639	-.0069903
CAP \| -.1010235	.1760243	-0.57	0.567	-.4481358	.2460889
ROA \| .0329076	.0128536	2.56	0.011	.0075608	.0582543
NIM \| -1.509231	1.091099	-1.38	0.168	-3.660831	.6423699
NPL \| -.0037484	.0062366	-0.60	0.549	-.0160467	.00855

TATSA | -.0002908 .0020532 -0.14 0.888 -.0043397 .0037581

CEA | -9.263673 2.170615 -4.27 0.000 -13.54403 -4.983315

GDP | .0024375

.0166536	0.15	0.884	-.0304026	.0352776
INF \| .0044619	.0012872	3.47	0.001	.0019237	.0070002
ficyes \| -.0209822	.0253656	-0.83	0.409	-.0710021	.0290376
_cons \| .6644023	.2091612	3.18	0.002	.2519455	1.076859

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

Breusch-Pagan / Cook-Weisberg test for heteroskedasticity Ho: Constant variance

Variables: fitted values of LIQ chi2(1) = 49.45

Prob > chi2 = 0.0000

Kiểm định đa cộng tuyến

Variable | VIF 1/VIF

-------------+---------------------- SIZE | 5.73 0.174502

TATSA | 3.09 0.323975

CEA |

2.99	0.334587
CAP \|	2.79	0.357805
NIM \|	2.70	0.370825
GDP \|	2.32	0.430688
ficyes \|	2.10	0.476342
ROA \|	2.01	0.498105
INF \|	1.37	0.732426
NPL \|	1.28	0.780250

-------------+----------------------

Mean VIF | 2.64

Kiểm định tự tương quan (Wooldridge test)

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

F( 1, 19) = 37.653 Prob > F = 0.0000

Fixed-effects (within) regression Number of obs = 210 Group variable: ID Number of groups = 20

R-sq: within = 0.5502 Obs per group: min = 9

between = 0.0012 avg = 10.5

overall = 0.3587 max = 11

F(10,180) = 22.02

corr(u_i, Xb) = -0.2093 Prob > F = 0.0000

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

LIQ | Coef. Std. Err. t P>|t| [95% Conf. Interval]

-------------+----------------------------------------------------------------

SIZE | -.0652428

.0133001	-4.91	0.000	-.091487	-.0389986
CAP \| -.1572806	.1728784	-0.91	0.364	-.4984096	.1838485
ROA \| .0351149	.0121806	2.88	0.004	.0110797	.0591501
NIM \| 2.067408	1.181641	1.75	0.082	-.2642421	4.399058
NPL \| -.0036745	.0061574	-0.60	0.551	-.0158244	.0084754
TATSA \| .0074718 .0047192		1.58 0.115		-.0018403 .0167839
CEA \| -9.497462 2.496602		-3.80 0.000		-14.42383 -4.57109
GDP \| -.0149665 .0150082		-1.00 0.320		-.0445811 .0146481
INF \| .0028299 .0011298		2.50 0.013		.0006005 .0050594
ficyes \| -.0328188 .0224827		-1.46 0.146		-.0771824 .0115449
_cons \| 1.040074 .2099852		4.95 0.000		.6257248 1.454423

-------------+----------------------------------------------------------------

sigma_u | .07627578

sigma_e | .08546386

rho | .44337493 (fraction of variance due to u_i)

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

F test that all u_i=0: F(19, 180) = 4.76 Prob > F = 0.0000

MÔ HÌNH FIXED EFFECT ROBUST

Fixed-effects (within) regression Number of obs = 210 Group variable: ID Number of groups = 20

R-sq: within = 0.5502 Obs per group: min = 9

between = 0.0012 avg = 10.5

overall = 0.3587 max = 11

F(10,19) = 19.59

corr(u_i, Xb) = -0.2093 Prob > F = 0.0000

(Std. Err. adjusted for 20 clusters in ID)

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

| Robust

LIQ | Coef. Std. Err. t P>|t| [95% Conf. Interval]

-------------+----------------------------------------------------------------

SIZE | -.0652428 .0144843 -4.50 0.000 -.0955588 -.0349268

CAP | -.1572806 .2109592 -0.75 0.465 -.5988232 .2842621

ROA | .0351149 .0139872 2.51 0.021 .0058394 .0643903

NIM | 2.067408 1.389099 1.49 0.153 -.8400093 4.974826

NPL | -.0036745 .0053604 -0.69 0.501 -.0148938 .0075449

TATSA | .0074718 .0048244 1.55 0.138 -.0026259 .0175694

CEA | -9.497462 2.026947 -4.69 0.000 -13.73991 -5.255014

GDP | -.0149665 .0098932 -1.51 0.147 -.0356731 .0057401

INF | .0028299 .0011252 2.52 0.021 .0004749 .005185

ficyes | -.0328188 .0172575 -1.90 0.072 -.0689391 .0033016

_cons | 1.040074 .1385825 7.51 0.000 .7500176 1.330131

-------------+----------------------------------------------------------------

sigma_u | .07627578

sigma_e | .08546386

rho | .44337493 (fraction of variance due to u_i)