Trần Việt Dũng (2014), “Xác định các nhân tố tác động tới khả năng sinh lời của các NHTM Việt Nam”, Tạp chí Ngân hàng, no.16 (tháng 08/2014, trang 2-11).
Tài liệu tiếng Anh
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Bikker, J. A., & Hu, H. (2002). Cyclical patterns in profits, provisioning and lending of banks and procyclicality of the New Basel Capital requirements. Banca Nazionale del Lavoro Quarterly Review, 55(221), 143–175.
Bikker, J. A., & Vervliet, T. M. (2017). Bank profitability and risk‐taking under low interest rates. DNB Working Paper No. 560, De Nederlandsche Bank, Amsterdam.
Bolt, W., de Haan, L., Hoeberichts, M., Van Oordt, M. R. C., & Swank, J. (2012). Bank profitability during recessions. Journal of Banking & Finance, 36(9), 2552–2564.
Borio, C., Gambacorta, L., & Hofmann, B. (2015). The influence of monetary policy on bank profitability. BIS Working Paper.
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from an Oil-Dependent Economy, International Journal of Financial Studies.
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PHỤ LỤC ĐỊNH LƯỢNG
Phụ lục 1: Thống kê mô tả
Obs | Mean | Std. Dev. | Min | Max | |
nim | 160 | 2.821169 | 1.135517 | .3692929 | 7.421874 |
profit | 160 | 1.581935 | 2.11208 | -.83456 | 10.9967 |
roa | 160 | .7604937 | .5130707 | .0111122 | 2.538122 |
roe | 160 | 8.998523 | 6.09364 | .0753253 | 26.82345 |
pcl | 158 | .0231585 | .0135977 | .0020391 | .0881 |
size | 160 | 32.33569 | 1.071629 | 30.16692 | 34.723 |
cap | 160 | 9.083807 | 3.433291 | 4.06177 | 25.53888 |
loanta | 160 | .5249948 | .1249096 | .1910427 | .7233553 |
nita | 160 | .0056089 | .0043615 | -.0058772 | .0275189 |
inf | 160 | .0656375 | .0547065 | .006 | .1813 |
gdp | 160 | .060775 | .005196 | .0525 | .0678 |
irl | 160 | .0870888 | .0221123 | .05559 | .119 |
irs | 160 | .0737855 | .0318276 | .04035 | .1351088 |
Có thể bạn quan tâm!
-
Kết Quả Kiểm Tra Đa Cộng Tuyến Với Nhân Tử Ph Ng Đại Phương Sai -
Kết Quả Hồi Quy Mô Hình Khả Năng Sinh Lời Của Ngân Hàng Từ Lãi Suất Và Các Yếu Tố Quyết Định Lợi Nhuận Khác -
Các yếu tố ảnh hưởng đến khả năng sinh lời và chấp nhận rủi ro tại các ngân hàng thương mại cổ phần Việt Nam - 9 -
Các yếu tố ảnh hưởng đến khả năng sinh lời và chấp nhận rủi ro tại các ngân hàng thương mại cổ phần Việt Nam - 11 -
Các yếu tố ảnh hưởng đến khả năng sinh lời và chấp nhận rủi ro tại các ngân hàng thương mại cổ phần Việt Nam - 12 -
Các yếu tố ảnh hưởng đến khả năng sinh lời và chấp nhận rủi ro tại các ngân hàng thương mại cổ phần Việt Nam - 13
Xem toàn bộ 104 trang tài liệu này.
Phụ lục 2: Ma trận tương quan
nim | profit | roa | roe | pcl | size | cap | loanta | nita | inf | gdp irl irs | |
nim | 1.0000 | ||||||||||
profit | 0.1320 | 1.0000 | |||||||||
roa | 0.6470 | 0.3568 | 1.0000 | ||||||||
roe | 0.4076 | 0.5382 | 0.8012 | 1.0000 | |||||||
pcl | -0.0513 | -0.2360 | -0.2723 | -0.3710 | 1.0000 | ||||||
size | -0.1072 | 0.7383 | 0.0382 | 0.4543 | -0.1906 | 1.0000 | |||||
cap | 0.3636 | -0.3127 | 0.2595 | -0.2869 | 0.1727 | -0.7068 | 1.0000 | ||||
loanta | 0.3287 | 0.3410 | 0.1211 | 0.1359 | -0.1087 | 0.2838 | -0.0320 | 1.0000 | |||
nita | 0.0003 | 0.4558 | 0.2324 | 0.2879 | 0.0729 | 0.3249 | -0.0623 | 0.0255 | 1.0000 | ||
inf | 0.1367 | -0.1518 | 0.4435 | 0.3662 | -0.0796 | -0.1955 | 0.1497 | -0.3188 | -0.2028 | 1.0000 | |
gdp | -0.1415 | 0.0862 | 0.0684 | 0.1559 | -0.3493 | 0.0595 | -0.1349 | 0.1762 | 0.0932 | -0.1305 | 1.0000 |
irl | 0.1312 | -0.2554 | 0.3838 | 0.2684 | 0.0245 | -0.2658 | 0.2398 | -0.4049 | -0.2245 | 0.8561 | -0.3022 1.0000 |
irs | 0.1570 | -0.2030 | 0.4349 | 0.3357 | -0.0397 | -0.2337 | 0.2002 | -0.3646 | -0.2333 | 0.9661 | -0.1976 0.9506 1.0000 |
.
Source | SS | df | MS |
Model | 74.8243333 | 8 | 9.35304166 |
Residual | 130.190114 | 151 | .862186186 |
Total | 205.014447 | 159 | 1.28939904 |
Number of obs | = | 160 |
F( 8, 151) | = | 10.85 |
Prob > F | = | 0.0000 |
R-squared | = | 0.3650 |
Adj R-squared | = | 0.3313 |
Root MSE | = | .92854 |
Coef. | Std. Err. | t | P>|t| | [95% Conf. | Interval] | |
size | .0510833 | .1185617 | 0.43 | 0.667 | -.1831708 | .2853374 |
cap | .1155701 | .0345175 | 3.35 | 0.001 | .0473705 | .1837696 |
loanta | 3.856928 | .7159899 | 5.39 | 0.000 | 2.442276 | 5.27158 |
nita | 24.37131 | 19.79782 | 1.23 | 0.220 | -14.7452 | 63.48782 |
inf | -19.02866 | 8.469571 | -2.25 | 0.026 | -35.76283 | -2.294492 |
gdp | -40.12135 | 16.02321 | -2.50 | 0.013 | -71.77999 | -8.462714 |
irl | -46.36093 | 18.21427 | -2.55 | 0.012 | -82.34867 | -10.37319 |
irs | 70.88276 | 24.56568 | 2.89 | 0.004 | 22.34592 | 119.4196 |
_cons | .4527397 | 4.249053 | 0.11 | 0.915 | -7.942534 | 8.848014 |
. vif
VIF | 1/VIF | |
irs | 112.74 | 0.008870 |
inf | 39.59 | 0.025258 |
irl | 29.91 | 0.033428 |
size | 2.98 | 0.335912 |
cap | 2.59 | 0.386105 |
loanta | 1.48 | 0.677951 |
nita | 1.37 | 0.727278 |
gdp | 1.28 | 0.782297 |
Mean VIF | 23.99 | |
.
Number of obs | = | 160 | ||||||
Group variable: id | Number of groups | = | 20 | |||||
R-sq: within | = | 0.3723 | Obs | per | group: | min | = | 8 |
between | = | 0.0827 | avg | = | 8.0 | |||
overall | = | 0.1495 | max | = | 8 | |||
F(8,132) | = | 9.78 | ||||||
corr(u_i, Xb) | = | -0.6358 | Prob > F | = | 0.0000 | |||
Coef. | Std. Err. | t P>|t| | [95% Conf. | Interval] | |||
size | .841085 | .3417197 | 2.46 0.015 | .1651297 | 1.51704 | ||
cap | .1318238 | .0354376 | 3.72 0.000 | .0617248 | .2019228 | ||
nita | -3.510473 | 19.79954 | -0.18 0.860 | -42.67592 | 35.65497 | ||
loanta | 5.754727 | 1.042886 | 5.52 0.000 | 3.691794 | 7.817659 | ||
gdp | -30.56994 | 13.61452 | -2.25 0.026 | -57.50081 | -3.639071 | ||
irs | -15.41317 | 29.15961 | -0.53 0.598 | -73.09375 | 42.26741 | ||
irs2 | 110.6579 | 123.1538 | 0.90 0.371 | -132.9525 | 354.2682 | ||
irl | 19.70127 | 17.20715 | 1.14 0.254 | -14.33616 | 53.73871 | ||
_cons | -28.00932 | 12.09922 | -2.31 0.022 | -51.94278 | -4.075869 | ||
sigma_u | 1.0528656 | ||||||
sigma_e | .7486767 | ||||||
rho | .66416868 | (fraction | of | variance due | to | u_i) |
F test that all u_i=0: F(19, 132) = 5.65 Prob > F = 0.0000
regression | Number | of | obs | = | 160 | |||
Group variable: id | Number | of | groups | = | 20 | |||
R-sq: within | = | 0.4647 | Obs | per | group: | min | = | 8 |
between | = | 0.7693 | avg | = | 8.0 | |||
overall | = | 0.6718 | max | = | 8 | |||
F(8,132) | = | 14.33 | ||||||
corr(u_i, Xb) | = | -0.2043 | Prob > F | = | 0.0000 | |||
Coef. | Std. Err. | t P>|t| | [95% Conf. | Interval] | |||
size | 1.929417 | .4344507 | 4.44 0.000 | 1.070031 | 2.788804 | ||
cap | .1910795 | .0450541 | 4.24 0.000 | .1019581 | .280201 | ||
nita | 94.52009 | 25.17246 | 3.75 0.000 | 44.72648 | 144.3137 | ||
loanta | .1911197 | 1.32589 | 0.14 0.886 | -2.431622 | 2.813861 | ||
gdp | 5.06578 | 17.30904 | 0.29 0.770 | -29.17321 | 39.30477 | ||
irs | 10.97826 | 37.07253 | 0.30 0.768 | -62.35486 | 84.31138 | ||
irs2 | 48.59718 | 156.5735 | 0.31 0.757 | -261.1207 | 358.3151 | ||
irl | -27.51587 | 21.87658 | -1.26 0.211 | -70.7899 | 15.75816 | ||
_cons | -62.20841 | 15.38254 | -4.04 0.000 | -92.63658 | -31.78023 | ||
sigma_u | .88152799 | ||||||
sigma_e | .95184193 | ||||||
rho | .46170404 | (fraction | of | variance due | to | u_i) |
F test that all u_i=0: F(19, 132) = 6.20 Prob > F = 0.0000
Number of obs | = | 160 | ||||||
Group variable: id | Number of groups | = | 20 | |||||
R-sq: within | = | 0.5733 | Obs | per | group: | min | = | 8 |
between | = | 0.1550 | avg | = | 8.0 | |||
overall | = | 0.2242 | max | = | 8 | |||
F(8,132) | = | 22.17 | ||||||
corr(u_i, Xb) | = | -0.8051 | Prob > F | = | 0.0000 | |||
Coef. | Std. Err. | t P>|t| | [95% Conf. | Interval] | |||
size | .6520611 | .1374507 | 4.74 0.000 | .3801701 | .9239521 | ||
cap | .0554063 | .0142541 | 3.89 0.000 | .0272103 | .0836024 | ||
nita | 38.12664 | 7.964012 | 4.79 0.000 | 22.37304 | 53.88025 | ||
loanta | 1.387442 | .4194825 | 3.31 0.001 | .5576642 | 2.21722 | ||
gdp | 18.36785 | 5.476199 | 3.35 0.001 | 7.535385 | 29.20031 | ||
irs | -4.946654 | 11.72893 | -0.42 0.674 | -28.14764 | 18.25433 | ||
irs2 | 47.05503 | 49.53642 | 0.95 0.344 | -50.9329 | 145.043 | ||
irl | 17.47954 | 6.921268 | 2.53 0.013 | 3.78859 | 31.1705 | ||
_cons | -24.34704 | 4.866696 | -5.00 0.000 | -33.97385 | -14.72023 | ||
sigma_u | .61913187 | ||||||
sigma_e | .30114187 | ||||||
rho | .80868274 | (fraction | of | variance due | to | u_i) |
F test that all u_i=0: F(19, 132) = 5.34 Prob > F = 0.0000
regression | Number | of obs | = | 160 | ||||
Group variable: id | Number | of groups | = | 20 | ||||
R-sq: within | = | 0.5205 | Obs | per | group: | min | = | 8 |
between | = | 0.5968 | avg | = | 8.0 | |||
overall | = | 0.4639 | max | = | 8 | |||
F(8,132) | = | 17.91 | ||||||
corr(u_i, Xb) | = | -0.8333 | Prob > F | = | 0.0000 | |||
Coef. | Std. Err. | t P>|t| | [95% Conf. | Interval] | |||
size | 6.929966 | 1.541395 | 4.50 0.000 | 3.880933 | 9.978998 | ||
cap | -.2385228 | .1598482 | -1.49 0.138 | -.5547184 | .0776728 | ||
nita | 413.4238 | 89.3098 | 4.63 0.000 | 236.7602 | 590.0874 | ||
loanta | 11.59051 | 4.704149 | 2.46 0.015 | 2.285237 | 20.89578 | ||
gdp | 251.8214 | 61.41104 | 4.10 0.000 | 130.3443 | 373.2985 | ||
irs | -3.028304 | 131.5303 | -0.02 0.982 | -263.2082 | 257.1515 | ||
irs2 | 313.901 | 555.5099 | 0.57 0.573 | -784.9525 | 1412.754 | ||
irl | 168.3233 | 77.61629 | 2.17 0.032 | 14.79059 | 321.856 | ||
_cons | -253.0889 | 54.57597 | -4.64 0.000 | -361.0455 | -145.1322 | ||
sigma_u | 5.9771846 | ||||||
sigma_e | 3.3770566 | ||||||
rho | .75802653 | (fraction | of | variance due | to | u_i) |
F test that all u_i=0: F(19, 132) = 5.28 Prob > F = 0.0000
max | = | 8 | |
F(8,130) | = | 4.30 | |
Prob > F | = | 0.0001 |
overall = 0.1521
corr(u_i, Xb) = -0.0973
Coef. | Std. Err. | t P>|t| | [95% Conf. | Interval] | |||
size | .000969 | .0054355 | 0.18 0.859 | -.0097845 | .0117225 | ||
cap | .000697 | .0005623 | 1.24 0.217 | -.0004154 | .0018094 | ||
nita | .4586366 | .3153577 | 1.45 0.148 | -.1652608 | 1.082534 | ||
loanta | -.0119909 | .0166174 | -0.72 0.472 | -.0448665 | .0208847 | ||
gdp | -.8576864 | .2163068 | -3.97 0.000 | -1.285624 | -.4297493 | ||
irs | .0918362 | .4721237 | 0.19 0.846 | -.8422041 | 1.025876 | ||
irs2 | -.8669959 | 1.987052 | -0.44 0.663 | -4.798141 | 3.064149 | ||
irl | .0029198 | .2765102 | 0.01 0.992 | -.5441226 | .5499622 | ||
_cons | .0398636 | .192382 | 0.21 0.836 | -.3407411 | .4204683 | ||
sigma_u | .00646512 | ||||||
sigma_e | .01187155 | ||||||
rho | .22873881 | (fraction | of | variance due | to | u_i) |
F test that all u_i=0: F(19, 130) = 1.85 Prob > F = 0.0239
Phụ lục 5: Kiểm định Pooled REM
Number | of | obs | = | 160 | ||||
Group variable: id | Number | of | groups | = | 20 | |||
R-sq: within | = | 0.3506 | Obs | per | group: | min | = | 8 |
between | = | 0.3116 | avg | = | 8.0 | |||
overall | = | 0.3286 | max | = | 8 | |||
Wald chi2(8) | = | 79.24 | ||||||
corr(u_i, X) | = | 0 (assumed) | Prob > chi2 | = | 0.0000 | |||
Coef. | Std. Err. | z P>|z| | [95% Conf. | Interval] | |||
size | .1758769 | .1653621 | 1.06 0.288 | -.148227 | .4999807 | ||
cap | .1189482 | .0335345 | 3.55 0.000 | .0532217 | .1846747 | ||
nita | .2310588 | 19.00558 | 0.01 0.990 | -37.0192 | 37.48131 | ||
loanta | 4.605336 | .8767404 | 5.25 0.000 | 2.886956 | 6.323716 | ||
gdp | -36.89143 | 13.35931 | -2.76 0.006 | -63.07519 | -10.70766 | ||
irs | -7.89864 | 29.21344 | -0.27 0.787 | -65.15593 | 49.35865 | ||
irs2 | 106.0221 | 123.8818 | 0.86 0.392 | -136.7817 | 348.826 | ||
irl | -.4102359 | 15.25619 | -0.03 0.979 | -30.31182 | 29.49135 | ||
_cons | -4.188844 | 5.861917 | -0.71 0.475 | -15.67799 | 7.300301 | ||
sigma_u | .61271453 | ||||||
sigma_e | .7486767 | ||||||
rho | .40111625 | (fraction | of | variance due | to | u_i) |
.
. xttest0
Breusch and Pagan Lagrangian multiplier test for random effects
nim[id,t] = Xb + u[id] + e[id,t]
Estimated results:
Var sd = sqrt(Var)
nim 1.289399 1.135517
e .5605168 .7486767
u .3754191 .6127145
Test: Var(u) = 0
chibar2(01) = 59.99
Prob > chibar2 = 0.0000
Coef. | Std. Err. | z P>|z| | [95% Conf. | Interval] | |||
size | 1.760836 | .2173793 | 8.10 0.000 | 1.33478 | 2.186892 | ||
cap | .1914495 | .0421465 | 4.54 0.000 | .108844 | .2740551 | ||
nita | 92.06687 | 23.88163 | 3.86 0.000 | 45.25973 | 138.874 | ||
loanta | .4856155 | 1.117169 | 0.43 0.664 | -1.703996 | 2.675227 | ||
gdp | 2.928612 | 16.68772 | 0.18 0.861 | -29.77871 | 35.63593 | ||
irs | 9.462939 | 36.46984 | 0.26 0.795 | -62.01664 | 80.94252 | ||
irs2 | 60.12931 | 154.6227 | 0.39 0.697 | -242.9256 | 363.1842 | ||
irl | -29.79423 | 19.14118 | -1.56 0.120 | -67.31027 | 7.721799 | ||
_cons | -56.53571 | 7.702574 | -7.34 0.000 | -71.63248 | -41.43895 | ||
sigma_u | .86234134 | ||||||
sigma_e | .95184193 | ||||||
rho | .45078596 | (fraction | of | variance due | to | u_i) |
.
. xttest0
Breusch and Pagan Lagrangian multiplier test for random effects
profit[id,t] = Xb + u[id] + e[id,t]
Estimated results:
Var sd = sqrt(Var)
profit 4.460883 2.11208
e .9060031 .9518419
u .7436326 .8623413
Test: Var(u) = 0
chibar2(01) = 83.15
Prob > chibar2 = 0.0000
Number of obs | = | 160 | ||||||
Group variable: id | Number of groups | = | 20 | |||||
R-sq: within | = | 0.5300 | Obs | per | group: | min | = | 8 |
between | = | 0.3737 | avg | = | 8.0 | |||
overall | = | 0.4749 | max | = | 8 | |||
Wald chi2(8) | = | 160.62 | ||||||
corr(u_i, X) | = | 0 (assumed) | Prob > chi2 | = | 0.0000 | |||
Coef. | Std. Err. | z P>|z| | [95% Conf. | Interval] | |||
size | .176779 | .0649027 | 2.72 0.006 | .049572 | .3039861 | ||
cap | .0475117 | .0137908 | 3.45 0.001 | .0204823 | .0745411 | ||
nita | 35.39277 | 7.817256 | 4.53 0.000 | 20.07123 | 50.71431 | ||
loanta | .9907363 | .354775 | 2.79 0.005 | .2953901 | 1.686082 | ||
gdp | 13.56155 | 5.536414 | 2.45 0.014 | 2.710377 | 24.41272 | ||
irs | -1.767719 | 12.11356 | -0.15 0.884 | -25.50987 | 21.97443 | ||
irs2 | 51.1495 | 51.37891 | 1.00 0.319 | -49.55132 | 151.8503 | ||
irl | 5.096069 | 6.294904 | 0.81 0.418 | -7.241717 | 17.43385 | ||
_cons | -7.573558 | 2.302193 | -3.29 0.001 | -12.08577 | -3.061342 | ||
sigma_u | .22042026 | ||||||
sigma_e | .30114187 | ||||||
rho | .3488516 | (fraction | of | variance due | to | u_i) |
.
. xttest0
Breusch and Pagan Lagrangian multiplier test for random effects
roa[id,t] = Xb + u[id] + e[id,t]
Estimated results:
Var sd = sqrt(Var)
roa .2632416 .5130707
e .0906864 .3011419
u .0485851 .2204203
Test: Var(u) = 0
chibar2(01) = 38.13
Prob > chibar2 = 0.0000