Các yếu tố ảnh hưởng đến rủi ro tín dụng của ngân hàng thương mại Việt Nam - 13

Obs

Mean

Std. Dev.

Min

Max

NPL

153

2.0118

1.0094

0.0835

5.53

CREDGR

153

41.038

53.379

-31.29

408.18

SIZE

153

17.907

1.3235

13.626

20.31

LLR

153

1.2708

0.8175

0.0763

5.2573

GDPGR

153

6.2895

0.7591

5.2474

7.5472

CPI

153

10.352

5.9209

4.09

23.12

UEP

153

2.3533

0.3085

1.99

2.9

Source

SS

df

MS

Number of obs

=

153

F( 6, 146)

=

23.43

Model

75.97256

6

12.6620927

Prob > F

=

0

Residual

78.91202

146

0.540493307

R-squared

=

0.4905

Adj R-squared

=

0.4696

Total

154.8846

152

1.01897749

Root MSE

=

0.73518

NPL

Coef.

Std. Err.

t

P>t

[95% Conf.

Interval]

CREDGR

-0.00221

0.0012707

-1.74

0.0840

-0.0047248

0.000298

SIZE

-0.35993

0.0594281

-6.06

0.0000

-0.4773803

-0.24248

LLR

0.806054

0.0853682

9.44

0.0000

0.6373368

0.974771

GDPGR

-0.52061

0.1142297

-4.56

0.0000

-0.7463717

-0.29486

CPI

0.037137

0.0117263

3.17

0.0020

0.0139614

0.060312

UEP

1.112441

0.2291202

4.86

0.0000

-1.565262

0.65962

CONS

13.03133

1.752245

7.44

0.0000

9.568285

16.49437

Fixed-effects (within) regression

Number of obs

=

153

Group variable: bank

Number of groups

=

17

R-sq :

within

=

0.4560

Obs per group:

min

=

9

between

=

0.4410

avg

=

9.0

overall

=

0.4465

max

=

9

corr(u_i, Xb)

=

-0.1399

F(6,130)

=

18.16

Prob > F

=

0.0000

NPL

Coef.

Std. Err.

t

P>t

[95% Conf.

Interval]

CREDGR

-0.0025146

0.001277

-1.97

0.0510

-0.0050412

0.000012

SIZE

-0.5228805

0.171218

-3.09

0.0020

-0.8675393

-0.1900699

LLR

0.7343635

0.108128

6.79

0.0000

0.5204461

0.9482809

GDPGR

-0.7121887

0.203637

-3.5

0.0010

-1.115059

-0.309318

CPI

0.0429496

0.012312

3.49

0.0010

0.0185924

0.0673068

UEP

-1.3568520

0.304954

4.45

0.0000

1.960167

0.7535362

CONS

17.8786900

4.745868

3.77

0.0000

8.489555

27.26782

sigma_u

0.41432134

sigma_e

0.68775433

rho

0.26627989

(fraction of variance due to u_i)

F test that all u_i=0:

F(16, 130) = 2.30

Prob > F = 0.0052

Random-effects GLS regression

Number of obs

=

153

Group variable: bank

Number of groups

=

17

R-sq :

within

=

0.4518

Obs per group:

min

=

9

between

=

0.5953

avg

=

9.0

overall

=

0.4896

max

=

9

corr(u_i, X)

=

0 (assumed)

Wald chi2 (6)

=

128.78

Prob > chi2

=

0.0000

NPL

Coef.

Std. Err.

z

P>z

[95% Conf.

Interval]

CREDGR

-0.0022982

0.001229

-1.87

0.0620

-0.00471

0.000111

SIZE

-0.3742224

0.080136

-4.67

0.0000

-0.53129

-0.21716

LLR

0.7782343

0.093591

8.32

0.0000

0.594799

0.96167

GDPGR

-0.5409310

0.122603

-4.41

0.0000

-0.78123

-0.30063

CPI

0.0376772

0.011113

3.39

0.0010

0.015895

0.059459

UEP

-1.1400700

0.226435

5.03

0.0000

-1.58387

0.69627

CONS

13.5133000

2.263612

5.97

0.0000

9.076699

17.94989

sigma_u

0.29763693

sigma_e

0.68775433

rho

0.15774345

(fraction of variance due to u_i)

(b)

(B)

(b-B)

sqrt(diag(V_b-V_B))

fixed

ran

Difference

S.E.

CREDGR

-0.0025146

-

0.0022982

-0.0002163

0.0003456

SIZE

-0.5288046

- 0.3742224

-0.1545822

0.1513073

LLR

0.7343635

0.7782343

-0.0438708

0.0541505

GDPGR

-0.7121887

-0.540931

-0.1712578

0.1625929

CPI

0.0429496

0.0376772

0.0052724

0.0052981

UEP

-1.356852

-1.14007

-0.2167817

0.2042654

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

= 1.46

Prob>chi2 = 0.9621

Coefficients:

generalized least squares

Panels:

homoskedastic

Correlation:

common AR(1) coefficient for all panels (0.2992)

Estimated covariances

=

1

Number of obs

=

153

Estimated autocorrelations

=

1

Number of groups

=

17

Estimated coefficients

=

7

Time periods

=

9

Wald chi2(6)

=

125.00

Prob > chi2

=

0.0000

NPL

Coef.

Std. Err.

t

P>t

[95% Conf.

Interval]

CREDGR

-0.0027059

0.001165

-2.32

0.0200

-0.004989

-0.000422

SIZE

-0.3706949

0.071232

-5.2

0.0000

-0.510308

-0.231082

LLR

0.8129024

0.094614

8.59

0.0000

0.627463

0.998342

GDPGR

-0.4674615

0.123901

-3.77

0.0000

-0.710304

-0.224620

CPI

0.0415149

0.010572

3.93

0.0000

0.020794

0.062236

UEP

0.9284353

0.249152

3.73

0.0000

-1.416763

0.440107

CONS

12.4379400

2.092757

5.94

0.0000

8.336214

16.539670

Coefficients:

generalized least squares

Panels:

heteroskedastic

Correlation:

no autocorrelation

Estimated covariances

=

17

Number of obs

=

153

Estimated autocorrelations

=

0

Number of groups

=

17

Estimated coefficients

=

7

Time periods

=

9

Wald chi2(6)

=

201.64

Prob > chi2

=

0.0000

NPL

Coef.

Std. Err.

t

P>t

[95% Conf.

Interval]

CREDGR

-0.0042353

0.0012227

-3.46

0.0010

-0.0066317

-0.00184

SIZE

-0.3516738

0.0445512

-7.89

0.0000

-0.4389926

-0.26436

LLR

0.7796869

0.0714234

10.92

0.0000

0.6396995

0.919674

GDPGR

-0.4725533

0.0900702

-5.25

0.0000

-0.6490877

-0.29602

CPI

0.0379482

0.0094809

4.00

0.0000

0.019366

0.05653

UEP

0.9370945

0.1845228

5.08

0.0000

-1.298753

0.57544

CONS

12.2187000

1.3122590

9.31

0.0000

9.646721

14.79068