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


PHỤ LỤC 3. BẢNG THỐNG KÊ MÔ TẢ DỮ LIỆU

SUM


VARIABLE

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

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


PHỤ LỤC 4. MÔ HÌNH HỒI QUY POOLED OLS


regress npl credgr size llr gdpgr cpi uep

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

PHỤ LỤC 5. MÔ HÌNH HỒI QUY FEM


xstreg npl credgr size llr gdpgr cpi uep, fe

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




xstreg npl credgr size llr gdpgr cpi uep, re

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)





hausman fixed ran


---- Coefficients ----

(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



xtgls npl credgr size llr gdpgr cpi uep, corr (ar1)


Cross-sectional time-series FGLS regression

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



xtgls npl credgr size llr gdpgr cpi uep, panels (h)


Cross-sectional time-series FGLS regression

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

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