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


Wald chi2(8) =

90.89

avg =

7.00

Prob > chi2 =

0.000

max =

7

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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



roa


Coef.

Robust Std. Err.


z


P>|z|


[95% Conf.


Interval]

size

.1146191

.2306066

0.50

0.619

-.3373615

.5665997

cap

.0123085

.0739247

0.17

0.868

-.1325813

.1571983

nita

30.11619

13.24987

2.27

0.023

4.146916

56.08545

loanta

.2079012

1.378363

0.15

0.880

-2.49364

2.909443

gdp

14.68915

7.66372

1.92

0.055

-.3314653

29.70976

irs

.5948811

13.86235

0.04

0.966

-26.57482

27.76458

irs2

49.47014

54.07779

0.91

0.360

-56.52038

155.4607

irl

.0316518

13.27603

0.00

0.998

-25.98888

26.05219

_cons

-4.598232

8.528104

-0.54

0.590

-21.31301

12.11654

Instruments for first differences equation

GMM-type (missing=0, separate instruments for each period unless collapsed) L(1/7).nita

Instruments for levels equation Standard

L.nita

_cons


Arellano-Bond test for AR(1) in first differences: z = -1.76 Pr > z = 0.079 Arellano-Bond test for AR(2) in first differences: z = -1.03 Pr > z = 0.305

Sargan test of overid. restrictions: chi2(21) = 40.85 Prob > chi2 = 0.006 (Not robust, but not weakened by many instruments.)

Hansen test of overid. restrictions: chi2(21) = 12.99 Prob > chi2 = 0.909 (Robust, but weakened by many instruments.)


Difference-in-Hansen tests of exogeneity of instrument subsets: iv(L.nita, eq(level))

Hansen test excluding group: chi2(20)

= 11.17 Prob > chi2 =

0.942

Difference (null H = exogenous): chi2(1)

= 1.82 Prob > chi2 =

0.177

Warning: Two-step estimated covariance matrix of moments is singular.

Using a generalized inverse to calculate robust weighting matrix for Hansen test. Difference-in-Sargan/Hansen statistics may be negative.


Dynamic panel-data estimation, one-step system GMM


Group variable: id

Number of obs

=

140

Time variable : year

Number of groups

=

20

Number of instruments = 23

Obs per group: min

=

7

Wald chi2(8) = 170.52

avg

=

7.00

Prob > chi2 = 0.000

max

=

7



roe


Coef.

Robust Std. Err.


z


P>|z|


[95% Conf.


Interval]

size

2.552261

1.215121

2.10

0.036

.1706683

4.933853

cap

.7341606

.553844

1.33

0.185

-.3513537

1.819675

nita

685.7593

217.5078

3.15

0.002

259.4518

1112.067

loanta

15.4409

31.22492

0.49

0.621

-45.75883

76.64062

gdp

-109.7745

174.7474

-0.63

0.530

-452.2731

232.7241

irs

19.32669

242.5241

0.08

0.936

-456.0118

494.6652

irs2

109.996

1252.401

0.09

0.930

-2344.666

2564.658

irl

-51.65197

204.4699

-0.25

0.801

-452.4056

349.1016

_cons

-84.05475

30.45626

-2.76

0.006

-143.7479

-24.36158

Instruments for first differences equation Standard

D.L.size

Instruments for levels equation Standard

L.size

_cons

GMM-type (missing=0, separate instruments for each period unless collapsed) DL(1/6).size

Arellano-Bond test for AR(1) in first differences: z = 0.73 Pr > z = 0.467 Arellano-Bond test for AR(2) in first differences: z = -1.40 Pr > z = 0.160

Sargan test of overid. restrictions: chi2(14) = 17.48 Prob > chi2 = 0.231 (Not robust, but not weakened by many instruments.)

Hansen test of overid. restrictions: chi2(14) = 6.78 Prob > chi2 = 0.943 (Robust, but weakened by many instruments.)


Difference-in-Hansen tests of exogeneity of instrument subsets: iv(L.size)

Hansen test excluding group: chi2(13)

= 6.79 Prob > chi2 =

0.912

Difference (null H = exogenous): chi2(1)

= -0.02 Prob > chi2 =

1.000


.


Dynamic panel-data estimation, one-step system GMM


Group variable: id

Number of obs

=

138

Time variable : year

Number of groups

=

20

Number of instruments = 27

Obs per group: min

=

5

Wald chi2(8) = 34.07

avg

=

6.90

Prob > chi2 = 0.000

max

=

7


pcl

Coef.

Std. Err.

z

P>|z|

[95% Conf.

Interval]

size

-.0037302

.0033195

-1.12

0.261

-.0102362

.0027759

cap

-.0002795

.0009106

-0.31

0.759

-.0020643

.0015053

nita

.3030282

.4127287

0.73

0.463

-.5059052

1.111962

loanta

-.0794638

.0536009

-1.48

0.138

-.1845197

.0255921

gdp

-.2781891

.5561492

-0.50

0.617

-1.368222

.8118433

irs

1.099274

.6593096

1.67

0.095

-.1929494

2.391497

irs2

-5.346907

3.022598

-1.77

0.077

-11.27109

.5772771

irl

-.3730253

.37129

-1.00

0.315

-1.10074

.3546898

_cons

.1906922

.1095191

1.74

0.082

-.0239613

.4053457

Instruments for first differences equation Standard

D.(L.nita L.cap)

GMM-type (missing=0, separate instruments for each period unless collapsed) L(1/2).(nita cap)

Instruments for levels equation Standard

L.nita L.cap

_cons


Arellano-Bond test for AR(1) in first differences: z = -2.80 Pr > z = 0.005 Arellano-Bond test for AR(2) in first differences: z = -0.86 Pr > z = 0.389

Sargan test of overid. restrictions: chi2(18) = 8.38 Prob > chi2 = 0.972 (Not robust, but not weakened by many instruments.)


Difference-in-Sargan tests of exogeneity of instrument subsets: iv(L.nita L.cap)

Sargan test excluding group: chi2(16)

=

7.56 Prob > chi2 =

0.961

Difference (null H = exogenous): chi2(2)

=

0.82 Prob > chi2 =

0.662


.


PHỤ LỤC DANH MỤC NGÂN HÀNG


STT

Ngân hàng

Tên ngân hàng

1

ABBank

Ngân hàng TMCP An Bình

2

ACB

Ngân hàng TMCP Á Châu

3

BIDV

Ngân hàng TMCP Đầu Tư Và Phát Triển Việt Nam

4

VIETINBANK

Ngân hàng TMCP Công Thương Việt Nam

5

EXIMBANK

Ngân hàng TMCP Xuất Nhập Khẩu Việt Nam

6

HDBank

Ngân hàng TMCP Phát Triển TP. Hồ Chí Minh

7

KIENLONGBANK

Ngân hàng TMCP Kiên long

8

MBB

Ngân hàng TMCP Quân Đội

9

MSB

Ngân hàng TMCP Hàng Hải Việt Nam

10

NAMABANK

Ngân hàng TMCP Nam Á

11

NCB

Ngân hàng TMCP Quốc Dân Việt Nam

12

OCB

Ngân hàng TMCP Phương Đông

13

PGBANK

Ngân hàng TMCP Xăng Dầu Petrolimex

14

SHB

Ngân hàng TMCP Sài Gòn - Hà Nội

15

STB

Ngân hàng TMCP Sài Gòn Thương Tín

16

TECHCOMBANK

Ngân hàng TMCP Kỹ Thương Việt Nam

17

VCB

Ngân hàng TMCP Ngoại Thương Việt Nam

18

VIB

Ngân hàng TMCP Quốc Tế

19

SEABANK

Ngân hàng TMCP Đông Nam Á

20

VPBANK

Ngân hàng TMCP Việt Nam Thinh Vượng


PHỤ LỤC DỮ LIỆU


YEAR

NIM

ROA

ROE

PCL

SIZE

CAP

LOANTA

NITA

INF

GDP

IR-L

IR-S

PROFIT

2017

2.5820

0.5785

7.9894

0.0277

32.0678

7.2407

0.5579

0.0062

0.0260

0.0641

0.0556

0.0404

0.4279

2016

3.1661

0.3289

4.1748

0.0256

31.9374

7.8770

0.5286

0.0059

0.0474

0.0621

0.0664

0.0518

0.2299

2015

2.8864

0.1418

1.5757

0.0242

31.7957

8.9988

0.4743

0.0050

0.0060

0.0668

0.0678

0.0468

0.2164

2014

2.7353

0.1734

2.0466

0.0451

31.8426

8.4716

0.3779

0.0030

0.0184

0.0598

0.0793

0.0494

0.1580

2013

2.7116

0.2439

2.4469

0.0763

31.6850

9.9683

0.3990

0.0059

0.0604

0.0542

0.0907

0.0706

0.1944

2012

4.1767

0.8678

8.1484

0.0284

31.4600

10.6495

0.3986

0.0018

0.0681

0.0525

0.1043

0.0891

0.3693

2011

2.4722

0.7541

6.6624

0.0282

31.3597

11.3191

0.4708

-0.0008

0.1813

0.0589

0.1190

0.1351

0.3212

2010

2.1765

1.2562

10.3027

0.0117

31.2686

12.1934

0.5175

0.0036

0.1175

0.0678

0.1137

0.1073

0.3283

2017

2.9748

0.7450

13.2128

0.0070

33.2811

5.6384

0.6917

0.0105

0.0260

0.0641

0.0556

0.0404

3.5096

2016

3.1661

0.5671

9.4233

0.0088

33.0850

6.0179

0.6916

0.0029

0.0474

0.0621

0.0664

0.0518

2.7613

2015

2.8864

0.5104

8.0409

0.0132

32.9366

6.3475

0.6653

0.0017

0.0060

0.0668

0.0678

0.0468

1.7003

2014

2.7353

0.5299

7.6775

0.0218

32.8218

6.9024

0.6389

0.0072

0.0184

0.0598

0.0793

0.0494

1.4774

2013

2.7116

0.4961

6.6097

0.0303

32.7466

7.5056

0.6341

0.0076

0.0604

0.0542

0.0907

0.0706

1.3517

2012

4.1767

0.4447

6.2105

0.0250

32.8033

7.1605

0.5746

-0.0059

0.0681

0.0525

0.1043

0.0891

0.6651

2011

2.4722

1.1415

26.8234

0.0089

33.2694

4.2556

0.3623

0.0037

0.1813

0.0589

0.1190

0.1351

0.8289

2010

2.1765

1.1384

20.5225

0.0034

32.9545

5.5469

0.4216

0.0065

0.1175

0.0678

0.1137

0.1073

0.7902

2017

2.5747

0.5777

14.2228

0.0162

34.7230

4.0618

0.7116

0.0067

0.0260

0.0641

0.0556

0.0404

7.0920

2016

2.4497

0.6157

14.0368

0.0199

34.5452

4.3863

0.7091

0.0070

0.0474

0.0621

0.0664

0.0518

4.9409

2015

2.3551

0.7496

15.0624

0.0168

34.3770

4.9767

0.7035

0.0063

0.0060

0.0668

0.0678

0.0468

4.2565

2014

2.7060

0.7608

14.8714

0.0203

34.1085

5.1160

0.6751

0.0078

0.0184

0.0598

0.0793

0.0494

3.5170

2013

2.6144

0.7350

12.5802

0.0226

33.9380

5.8426

0.7019

0.0096

0.0604

0.0542

0.0907

0.0706

3.5757

2012

1.9826

0.6734

12.3218

0.0270

33.8147

5.4652

0.6890

0.0072

0.0681

0.0525

0.1043

0.0891

1.7461

2011

3.5234

0.7886

13.1183

0.0276

33.6368

6.0111

0.7100

0.0068

0.1813

0.0589

0.1190

0.1351

0.8745


2010

2.3145

1.0259

15.5150

0.0253

33.5344

6.6126

0.6796

0.0063

0.1175

0.0678

0.1137

0.1073

1.2687

2017

2.4723

0.6811

11.6974

0.0114

34.6296

5.8230

0.7145

0.0051

0.0260

0.0641

0.0556

0.0404

9.2340

2016

2.4969

0.7229

11.3542

0.0102

34.4861

6.3666

0.6906

0.0043

0.0474

0.0621

0.0664

0.0518

6.9908

2015

2.4779

0.7334

10.1887

0.0092

34.2897

7.1984

0.6845

0.0050

0.0060

0.0668

0.0678

0.0468

3.9424

2014

2.7348

0.8663

10.4107

0.0112

34.1250

8.3210

0.6588

0.0052

0.0184

0.0598

0.0793

0.0494

4.1408

2013

3.1902

1.0077

10.7407

0.0100

33.9878

9.3820

0.6471

0.0061

0.0604

0.0542

0.0907

0.0706

4.1765

2012

3.6675

1.2253

18.3487

0.0147

33.8527

6.6778

0.6547

0.0070

0.0681

0.0525

0.1043

0.0891

4.6687

2011

4.3580

1.3589

21.9697

0.0075

33.7636

6.1856

0.6305

0.0051

0.1813

0.0589

0.1190

0.1351

4.5406

2010

3.2898

0.9343

18.9081

0.0066

33.5383

4.9415

0.6294

0.0074

0.1175

0.0678

0.1137

0.1073

2.2478

2017

1.7861

0.5509

5.7738

0.0227

32.6374

9.5409

0.6713

0.0052

0.0260

0.0641

0.0556

0.0404

0.2155

2016

2.6104

0.2399

2.2972

0.0295

32.4893

10.4412

0.6663

0.0051

0.0474

0.0621

0.0664

0.0518

-0.4631

2015

2.8917

0.0320

0.3043

0.0186

32.4581

10.5284

0.6719

0.0032

0.0060

0.0668

0.0678

0.0468

-0.8175

2014

1.8555

0.0348

0.3987

0.0246

32.7130

8.7330

0.5346

0.0014

0.0184

0.0598

0.0793

0.0494

-0.8346

2013

1.6828

0.3878

4.4870

0.0198

32.7659

8.6438

0.4866

0.0030

0.0604

0.0542

0.0907

0.0706

0.6281

2012

3.2239

1.2569

13.5253

0.0132

32.7677

9.2928

0.4368

0.0029

0.0681

0.0525

0.1043

0.0891

1.8940

2011

3.0675

1.6555

18.6405

0.0161

32.8436

8.8810

0.4034

0.0051

0.1813

0.0589

0.1190

0.1351

2.6598

2010

2.3484

1.3840

13.4311

0.0142

32.5071

10.3048

0.4707

0.0060

0.1175

0.0678

0.1137

0.1073

0.3429

2017

3.3352

1.0323

13.2420

0.0152

32.8745

7.7953

0.5458

0.0061

0.0260

0.0641

0.0556

0.0404

1.7695

2016

3.1126

0.6085

9.1977

0.0146

32.6436

6.6155

0.5410

0.0049

0.0474

0.0621

0.0664

0.0518

0.7470

2015

3.1972

0.5917

6.7087

0.0159

32.2990

8.8203

0.5245

0.0083

0.0060

0.0668

0.0678

0.0468

0.9091

2014

1.6888

0.4792

5.3738

0.0204

32.2314

8.9164

0.4171

0.0128

0.0184

0.0598

0.0793

0.0494

0.5136

2013

0.3693

0.2524

2.5303

0.0353

32.0880

9.9732

0.5025

0.0144

0.0604

0.0542

0.0907

0.0706

0.2833

2012

1.6574

0.6184

6.0520

0.0235

31.5972

10.2188

0.3970

0.0127

0.0681

0.0525

0.1043

0.0891

0.3364

2011

3.0917

0.9472

12.0220

0.0211

31.4382

7.8792

0.3044

-0.0014

0.1813

0.0589

0.1190

0.1351

0.4529

2010

1.5940

0.7834

11.4271

0.0083

31.1688

6.8557

0.3386

0.0055

0.1175

0.0678

0.1137

0.1073

0.2840

2017

2.7906

0.5403

5.6789

0.0084

31.2507

9.5149

0.6554

0.0023

0.0260

0.0641

0.0556

0.0404

0.3006


2016

2.9645

0.3973

3.5967

0.0106

31.0471

11.0469

0.6435

0.0046

0.0474

0.0621

0.0664

0.0518

0.1310

2015

3.4913

0.6525

4.8983

0.0113

30.8627

13.3217

0.6350

0.0011

0.0060

0.0668

0.0678

0.0468

0.1652

2014

3.6806

0.7614

5.2291

0.0195

30.7710

14.5608

0.5796

0.0003

0.0184

0.0598

0.0793

0.0494

0.1824

2013

5.0984

1.4665

9.0176

0.0247

30.6931

16.2628

0.5616

0.0014

0.0604

0.0542

0.0907

0.0706

0.3307

2012

6.1180

1.8892

10.1898

0.0293

30.5532

18.5397

0.5135

0.0016

0.0681

0.0525

0.1043

0.0891

0.3513

2011

5.2997

2.2108

11.4179

0.0277

30.5130

19.3630

0.4655

0.0021

0.1813

0.0589

0.1190

0.1351

0.3949

2010

4.1949

1.5470

6.0573

0.0111

30.1669

25.5389

0.5501

-0.0020

0.1175

0.0678

0.1137

0.1073

0.1959

2017

3.5743

1.1120

11.7915

0.0120

33.3800

9.4308

0.5800

0.0084

0.0260

0.0641

0.0556

0.0404

5.9773

2016

2.3542

1.1253

10.8451

0.0132

33.1772

10.3756

0.5802

0.0073

0.0474

0.0621

0.0664

0.0518

4.6993

2015

3.4425

1.1365

10.8361

0.0161

33.0294

10.4881

0.5400

0.0066

0.0060

0.0668

0.0678

0.0468

3.6331

2014

3.6231

1.2484

15.1137

0.0273

32.9318

8.2603

0.4893

0.0088

0.0184

0.0598

0.0793

0.0494

2.7890

2013

3.4670

1.2672

15.0890

0.0245

32.8261

8.3979

0.4766

0.0085

0.0604

0.0542

0.0907

0.0706

2.1292

2012

3.8921

1.3131

17.9252

0.0184

32.7993

7.3253

0.4166

0.0069

0.0681

0.0525

0.1043

0.0891

1.5057

2011

3.9374

1.5319

22.0564

0.0159

32.5643

6.9452

0.4174

-0.0005

0.1813

0.0589

0.1190

0.1351

1.2497

2010

3.2595

1.5920

19.6476

0.0126

32.3281

8.1026

0.4384

0.0052

0.1175

0.0678

0.1137

0.1073

0.7813

2017

1.4274

0.1087

0.8893

0.0223

32.3517

12.2256

0.3188

0.0147

0.0260

0.0641

0.0556

0.0404

1.1580

2016

2.9532

0.1512

1.0294

0.0236

32.1594

14.6859

0.3743

0.0168

0.0474

0.0621

0.0664

0.0518

1.0581

2015

1.5727

0.1115

0.8539

0.0341

32.2784

13.0535

0.2635

0.0087

0.0060

0.0668

0.0678

0.0468

0.9367

2014

1.1694

0.1368

1.5113

0.0516

32.2790

9.0503

0.2201

0.0111

0.0184

0.0598

0.0793

0.0494

0.6697

2013

1.5267

0.3080

3.5046

0.0271

32.3049

8.7873

0.2490

0.0075

0.0604

0.0542

0.0907

0.0706

0.5487

2012

1.9760

0.2060

2.4908

0.0265

32.3308

8.2694

0.2565

0.0055

0.0681

0.0525

0.1043

0.0891

0.2698

2011

1.4924

0.6971

8.3932

0.0227

32.3705

8.3059

0.3269

0.0075

0.1813

0.0589

0.1190

0.1351

0.6686

2010

1.6884

1.0033

18.2869

0.0187

32.3789

5.4862

0.2733

0.0057

0.1175

0.0678

0.1137

0.1073

0.4174

2017

2.2662

0.4395

6.5241

0.0195

31.6281

6.7360

0.6521

0.0083

0.0260

0.0641

0.0556

0.0404

0.4031

2016

1.8703

0.0767

0.9572

0.0294

31.3888

8.0115

0.5519

0.0037

0.0474

0.0621

0.0664

0.0518

0.2051

2015

2.8798

0.5478

5.6899

0.0091

31.1997

9.6268

0.5828

0.0030

0.0060

0.0668

0.0678

0.0468

0.1919


2014

1.8988

0.5019

5.6185

0.0147

31.2498

8.9326

0.4418

0.0027

0.0184

0.0598

0.0793

0.0494

0.1591

2013

1.4812

0.4684

4.1377

0.0148

30.9908

11.3213

0.3993

0.0096

0.0604

0.0542

0.0907

0.0706

0.1146

2012

3.0533

1.1285

5.5128

0.0271

30.4041

20.4698

0.4234

0.0119

0.0681

0.0525

0.1043

0.0891

0.1535

2011

2.1428

1.2634

7.2878

0.0284

30.5774

17.3356

0.3620

0.0060

0.1813

0.0589

0.1190

0.1351

0.2405

2010

1.9271

0.9554

6.3733

0.0218

30.3058

14.9902

0.3617

0.0095

0.1175

0.0678

0.1137

0.1073

0.1386

2017

1.5555

0.0306

0.6822

0.0153

31.9055

4.4795

0.4420

0.0015

0.0260

0.0641

0.0556

0.0404

0.0777

2016

1.6626

0.0157

0.3358

0.0148

31.8653

4.6778

0.3632

0.0014

0.0474

0.0621

0.0664

0.0518

0.0896

2015

1.6832

0.0135

0.2017

0.0215

31.5070

6.6708

0.4193

0.0000

0.0060

0.0668

0.0678

0.0468

0.0873

2014

1.1795

0.0221

0.2533

0.0252

31.2376

8.7175

0.4464

0.0017

0.0184

0.0598

0.0793

0.0494

0.0890

2013

2.2083

0.0635

0.5761

0.0607

31.0009

11.0184

0.4563

0.0024

0.0604

0.0542

0.0907

0.0706

0.0996

2012

3.6336

0.0111

0.0753

0.0564

30.7030

14.7523

0.5869

0.0005

0.0681

0.0525

0.1043

0.0891

0.0810

2011

3.4921

0.7388

5.1679

0.0292

30.7444

14.2958

0.5670

-0.0024

0.1813

0.0589

0.1190

0.1351

0.1667

2010

2.6272

0.7839

7.7590

0.0224

30.6276

10.1034

0.5315

0.0018

0.1175

0.0678

0.1137

0.1073

0.1574

2017

2.8483

0.9689

13.3037

0.0179

32.0654

7.2828

0.5668

0.0038

0.0260

0.0641

0.0556

0.0404

0.8289

2016

2.7469

0.6063

8.2049

0.0176

31.7870

7.3896

0.5982

0.0031

0.0474

0.0621

0.0664

0.0518

0.4631

2015

2.7868

0.4236

4.9576

0.0175

31.5319

8.5451

0.5552

0.0020

0.0060

0.0668

0.0678

0.0468

0.4256

2014

2.7075

0.5641

5.4894

0.0285

31.2970

10.2768

0.5412

0.0041

0.0184

0.0598

0.0793

0.0494

0.2495

2013

3.9236

0.7361

6.0889

0.0514

31.1213

12.0895

0.6090

-0.0009

0.0604

0.0542

0.0907

0.0706

0.5025

2012

4.4618

0.8383

6.0189

0.0246

30.9424

13.9278

0.6172

-0.0043

0.0681

0.0525

0.1043

0.0891

0.2986

2011

3.7568

1.1904

8.0689

0.0300

30.8669

14.7533

0.5376

0.0001

0.1813

0.0589

0.1190

0.1351

0.4270

2010

3.4722

1.5464

9.6975

0.0205

30.6111

15.9466

0.5830

0.0037

0.1175

0.0678

0.1137

0.1073

0.3049

2017

2.6746

0.2202

1.8120

0.0334

31.0085

12.1505

0.7234

0.0080

0.0260

0.0641

0.0556

0.0404

0.3462

2016

2.9728

0.4940

3.5083

0.0247

30.8429

14.0802

0.6993

0.0032

0.0474

0.0621

0.0664

0.0518

0.3001

2015

2.7249

0.1653

1.2099

0.0275

30.8371

13.6650

0.6363

0.0037

0.0060

0.0668

0.0678

0.0468

0.1836

2014

2.6009

0.5084

3.9243

0.0248

30.8806

12.9540

0.5560

0.0037

0.0184

0.0598

0.0793

0.0494

0.1625

2013

2.2446

0.1536

1.1902

0.0298

30.8449

12.9027

0.5499

0.0067

0.0604

0.0542

0.0907

0.0706

0.0383

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