Các yếu tố ảnh hưởng đến rủi ro tín dụng của các ngân hàng thương mại cổ phần tại Việt Nam

_cons | .1238627 .0471066 2.63 0.009 .0315354 .2161899

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

sigma_u | .00347763

sigma_e | .00693144

rho | .20110041 (fraction of variance due to u_i)

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

. xtreg NPL RGDP INF MCGDP RI ESI EXI SIZE ETA LG LDR ROA IIR,fe

Fixed-effects (within) regression Number of obs = 217 Group variable: Name Number of groups = 32

R-sq: within = 0.5731 Obs per group: min = 3

between = 0.8506

avg =	6.8
overall = 0.6935	max =	7

Có thể bạn quan tâm!

Xem toàn bộ 108 trang tài liệu này.

F(12,173) = 19.35

corr(u_i, Xb) = 0.4379 Prob > F = 0.0000

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

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

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

RGDP | -.0058978 .0031846 -1.85 0.066 -.0121836 .0003879

INF | -.0073044 .0044401 -1.65 0.102 -.0160682 .0014594

MCGDP | -.002103 .0043261 -0.49 0.627 -.0106416 .0064357

RI | -.0025622

.0014094	-1.82	0.071	-.0053441	.0002196
ESI \| -.0008103	.0003651	-2.22	0.028	-.0015309	-.0000896
EXI \| .0004773	.0010926	0.44	0.663	-.0016793	.002634
SIZE \| -.0010855	.0007302	-1.49	0.139	-.0025267	.0003557

ETA | .0440505 .0256313 1.72 0.087 -.0065399 .0946408

LG | .011828 .0024608 4.81 0.000 .006971 .0166851

LDR | -.0126432 .0050398 -2.51 0.013 -.0225906 -.0026959

ROA | -.0144213 .0022355 -6.45 0.000 -.0188337 -.010009

IIR | -.0681888 .0509981 -1.34 0.183 -.1688473 .0324697

_cons | .1237848 .0457464 2.71 0.007 .0334917 .2140778

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

sigma_u | .00596812

sigma_e | .00693144

rho | .42573579 (fraction of variance due to u_i)

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

F test that all u_i=0: F(31, 173) = 3.56 Prob > F = 0.0000

. est hausman fe

estimates: unknown subcommand "hausman" r(198);

. est store fe

. xtreg LLP RGDP INF MCGDP RI ESI EXI SIZE ETA LG LDR ROA IIR,re

Random-effects GLS regression Number of obs = 217 Group variable: Name Number of groups = 32

R-sq: within = 0.5984 Obs per group: min = 3

between = 0.8679

avg =	6.8
overall = 0.7300	max =	7

Wald chi2(12) = 409.11

corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000

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

LLP | Coef. Std. Err. z P>|z| [95% Conf. Interval]

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

RGDP | -.0016346 .0011192 -1.46 0.144 -.0038282 .0005591

INF | -.0019284 .0015648 -1.23 0.218 -.0049953 .0011385

MCGDP | -.0005948 .0015299 -0.39 0.697 -.0035932 .0024037

RI | -.0007594

.0004904	-1.55	0.122	-.0017206	.0002019
ESI \| -.0002418	.0001291	-1.87	0.061	-.0004948	.0000112
EXI \| .000342	.0003877	0.88	0.378	-.0004178	.0011019
SIZE \| -.0007023	.0002493	-2.82	0.005	-.001191	-.0002136
ETA \| .0272888	.0065962	4.14	0.000	.0143605	.0402171

LG | .0048308 .00084 5.75 0.000 .0031845 .0064772

LDR | -.0040211 .001441 -2.79 0.005 -.0068454 -.0011968

ROA | -.0066267 .0007028 -9.43 0.000 -.008004 -.0052493

IIR | -.043192 .014481 -2.98 0.003 -.0715743 -.0148098

_cons | .0452613 .0161946 2.79 0.005 .0135205 .077002

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

sigma_u | .00125069

sigma_e | .00238484

rho | .21570574 (fraction of variance due to u_i)

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

Phụ lục 5: Kết quả kiểm định Modified Wald

. xttest3

Modified Wald test for groupwise heteroskedasticity in fixed effect regression model

H0: sigma(i)^2 = sigma^2 for all i

chi2 (32) = 7880.47

Prob>chi2 = 0.0000

Phụ lục 6: Kết quả kiểm định LM. (Breusch-Pagan Lagrange Multiplier)

. xttest0

Breusch and Pagan Lagrangian multiplier test for random effects

LLP[Name,t] = Xb + u[Name] + e[Name,t]

Estimated results:

| Var sd = sqrt(Var)

---------+----------------------------- LLP | .0000278 .0052726 e | 5.69e-06 .0023848

u | 1.56e-06 .0012507

Test: Var(u) = 0

chibar2(01) = 27.23 Prob > chibar2 = 0.0000

Phụ lục 7: Kết quả kiểm định Hausman

. hausman fe re

---- Coefficients ----

| (b) (B) (b-B) sqrt(diag(V_b-V_B))

| fe re Difference S.E.

-------------+---------------------------------------------------------------- RGDP | -.0018912 -.0016346 -.0002567 .

INF | -.0023465 -.0019284 -.000418 .

MCGDP | -.0002762 -.0005948 .0003186 .

RI | -.0008835 -.0007594 -.0001241 .

ESI | -.0002745 -.0002418 -.0000327 .

EXI | .0003056 .000342 -.0000364 .

SIZE | -.0006326 -.0007023 .0000697 .0000307

ETA | .0170705 .0272888 -.0102183 .0058532

LG | .0040064 .0048308 -.0008244 .000106

LDR | -.0042279 -.0040211 -.0002068 .0009645

ROA | -.0057476 -.0066267 .000879 .0003126

IIR | -.0258583 -.043192 .0173337 .0099085

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

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

chi2(12) = (b-B)'[(V_b-V_B)^(-1)](b-B)

= 4.81

Prob>chi2 = 0.9639

(V_b-V_B is not positive definite)

Phụ lục 8: Kết quả ước lượng mô hình FEM, REM với sai số chuẩn mạnh

. xtreg NPL RGDP INF MCGDP RI ESI EXI SIZE ETA LG LDR ROA IIR,robust fe

Fixed-effects (within) regression Number of obs = 217 Group variable: Name Number of groups = 32

R-sq: within = 0.5731 Obs per group: min = 3

between = 0.8506

avg =	6.8
overall = 0.6935	max =	7

F(12,31) = 15.08

corr(u_i, Xb) = 0.4379 Prob > F = 0.0000

(Std. Err. adjusted for 32 clusters in Name)

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

| Robust

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

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

RGDP | -.0058978 .0025524 -2.31 0.028 -.0111036 -.0006921

INF | -.0073044 .0038441 -1.90 0.067 -.0151444 .0005356

MCGDP | -.002103 .0034243 -0.61 0.544 -.0090868 .0048809

RI | -.0025622 .0015033

-1.70	0.098	-.0056282	.0005037
ESI \| -.0008103 .0003461	-2.34	0.026	-.0015162	-.0001043
EXI \| .0004773 .0009352	0.51	0.613	-.0014301	.0023847
SIZE \| -.0010855 .0008724	-1.24	0.223	-.0028647	.0006937
ETA \| .0440505 .0223172	1.97	0.057	-.0014658	.0895667
LG \| .011828 .0053995	2.19	0.036	.0008157	.0228404
LDR \| -.0126432 .0063015	-2.01 0.054		-.0254952 .0002087
ROA \| -.0144213 .0030893	-4.67 0.000		-.0207221 -.0081206

IIR | -.0681888 .0515941 -1.32 0.196 -.1734157 .0370381

_cons | .1237848 .0384771 3.22 0.003 .0453102 .2022593

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

sigma_u | .00596812

sigma_e | .00693144

rho | .42573579 (fraction of variance due to u_i)

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

. xtreg LLP RGDP INF MCGDP RI ESI EXI SIZE ETA LG LDR ROA IIR,robust re

Random-effects GLS regression Number of obs = 217 Group variable: Name Number of groups = 32

R-sq: within = 0.5984 Obs per group: min = 3

between = 0.8679

avg =	6.8
overall = 0.7300	max =	7

Wald chi2(12) = 196.21

corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0000

(Std. Err. adjusted for 32 clusters in Name)

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

| Robust

LLP | Coef. Std. Err. z P>|z| [95% Conf. Interval]

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

RGDP | -.0016346 .0009699 -1.69 0.092 -.0035355 .0002664

INF | -.0019284 .0014148 -1.36 0.173 -.0047013 .0008445

MCGDP | -.0005948 .0010924 -0.54 0.586 -.0027357 .0015462

RI | -.0007594 .0004686 -1.62 0.105 -.0016779 .0001592

.0001075

-2.25 0.025 -.0004526 -.0000311
EXI \| .000342	.00033	1.04 0.300 -.0003048 .0009889
SIZE \| -.0007023	.0003734	-1.88 0.060 -.0014343 .0000296
ETA \| .0272888	.0067775	4.03 0.000 .0140051 .0405726
LG \| .0048308	.001967	2.46 0.014 .0009756 .0086861
LDR \| -.0040211	.0020154	-2.00 0.046 -.0079712 -.000071
ROA \| -.0066267	.0010406	-6.37 0.000 -.0086663 -.004587

ESI | -.0002418

IIR | -.043192 .0153111 -2.82 0.005 -.0732013 -.0131828

_cons | .0452613 .0140325 3.23 0.001 .017758 .0727645

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

sigma_u | .00125069

sigma_e | .00238484

rho | .21570574 (fraction of variance due to u_i)

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