Các yếu tố ảnh hưởng đến rủi ro tín dụng trong hệ thống Ngân hàng thương mại Việt Nam

TECHCOMBANK	2010	2.28	1.73	25.74	18.82808	6.78	9.19
10	TECHCOMBANK	2011	2.83	1.87	19.88	19.01141	5.86	18.58
10	TECHCOMBANK	2012	2.69	0.31	7.58	19.0081	4.98	9.21
10	TECHCOMBANK	2013	3.65	0.23	2.95	18.88377	5.42	6.6
10	TECHCOMBANK	2014	2.38	0.47	14.27	18.98543	5.9	4.09
10	TECHCOMBANK	2015	1.67	0.86	16.1	19.07297	6.68	0.63
11	NAMABANK	2006	1.62	0.98	20.47	15.17238	8.23	7.5
11	NAMABANK	2007	1.64	1.43	31.8	15.47183	8.46	8.3
11	NAMABANK	2008	2.56	0.15	38.94	15.58894	6.31	22.97
11	NAMABANK	2009	1.71	0.51	33.69	16.20775	5.32	6.88
11	NAMABANK	2010	2.18	0.96	5.77	16.49021	6.78	9.19
11	NAMABANK	2011	2.55	1.44	17.79	16.75414	5.86	18.58
11	NAMABANK	2012	2.47	1.04	9.65	16.5886	4.98	9.21
11	NAMABANK	2013	1.48	0.6	68.95	17.17523	5.42	6.6
11	NAMABANK	2014	1.4	0.5	43.73	17.43432	5.9	4.09
11	NAMABANK	2015	0.9	0.55	25	17.38417	6.68	0.63
12	OCB	2006	1.52	1.98	61.41	15.67819	8.23	7.5
12	OCB	2007	1.41	1.85	61.95	16.27979	8.46	8.3
12	OCB	2008	2.87	0.6	13.76	16.12745	6.31	22.97
12	OCB	2009	2.64	1.81	18.84	16.35601	5.32	6.88
12	OCB	2010	2.05	1.88	13.38	16.79557	6.78	9.19
12	OCB	2011	2.79	1.34	19.52	17.05116	5.86	18.58
12	OCB	2012	2.79	0.87	24.51	17.12693	4.98	9.21
12	OCB	2013	2.91	0.8	17.06	17.30579	5.42	6.6
12	OCB	2014	2.85	0.56	6.37	17.48148	5.9	4.09
12	OCB	2015	1.94	0.42	19	17.71641	6.68	0.63
13	MBB	2006	2.8	1.61	37.33	16.42639	8.23	7.5
13	MBB	2007	1.01	2.28	96.62	17.20406	8.46	8.3
13	MBB	2008	1.83	1.88	35.54	17.60753	6.31	22.97
13	MBB	2009	1.58	2.07	87.98	18.04973	5.32	6.88
13	MBB	2010	1.26	1.95	64.92	18.51256	6.78	9.19
13	MBB	2011	1.42	1.54	21	18.74877	5.86	18.58

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MBB	2012	1.84	1.48	26.14	18.98379	4.98	9.21
13	MBB	2013	2.45	1.28	17.81	19.01058	5.42	6.6
13	MBB	2014	2.73	1.3	14.62	19.11627	5.9	4.09
13	MBB	2015	1.62	1.18	19.6	19.21386	6.68	0.63
14	SACOMBANK	2006	0.72	2.4	70.85	17.02539	8.23	7.5
14	SACOMBANK	2007	0.23	3.13	145.78	17.98329	8.46	8.3
14	SACOMBANK	2008	0.6	1.44	-1.08	18.04144	6.31	22.97
14	SACOMBANK	2009	0.64	1.94	70.41	18.46008	5.32	6.88
14	SACOMBANK	2010	0.57	1.49	29.67	18.84193	6.78	9.19
14	SACOMBANK	2011	0.59	1.36	1.4	18.76758	5.86	18.58
14	SACOMBANK	2012	2.07	0.68	19.93	18.84017	4.98	9.21
14	SACOMBANK	2013	1.49	1.42	13.24	18.89925	5.42	6.6
14	SACOMBANK	2014	1.19	1.26	20.16	19.06149	5.9	4.09
14	SACOMBANK	2015	1.85	0.48	33.16	19.49412	6.68	0.63
15	VPBANK	2006	0.58	1.12	66.92	16.12913	8.23	7.5
15	VPBANK	2007	0.49	1.61	166	16.71346	8.46	8.3
15	VPBANK	2008	3.4	0.78	-2.53	16.7412	6.31	22.97
15	VPBANK	2009	1.63	1.27	21.77	17.13126	5.32	6.88
15	VPBANK	2010	1.2	1.15	60.14	17.90663	6.78	9.19
15	VPBANK	2011	1.82	1.12	15.28	18.23214	5.86	18.58
15	VPBANK	2012	2.72	0.77	26.45	18.44706	4.98	9.21
15	VPBANK	2013	2.81	0.91	42.19	18.61348	5.42	6.6
15	VPBANK	2014	2.54	0.88	49.37	18.91074	5.9	4.09
15	VPBANK	2015	2.7	1.23	49	19.08273	6.68	0.63
16	EXIM	2006	0.85	1.41	58.67	16.72389	8.23	7.5
16	EXIM	2007	0.88	1.78	80.77	17.33331	8.46	8.3
16	EXIM	2008	4.7	1.74	15.07	17.69186	6.31	22.97
16	EXIM	2009	1.82	1.99	80.77	17.99677	5.32	6.88
16	EXIM	2010	1.42	1.85	62.44	18.69155	6.78	9.19
16	EXIM	2011	1.61	1.93	19.76	19.02809	5.86	18.58
16	EXIM	2012	1.32	1.21	0.35	18.95223	4.98	9.21
16	EXIM	2013	1.98	0.39	11.25	18.95034	5.42	6.6

EXIM	2014	2.46	0.03	4.55	18.89749	5.9	4.09
16	EXIM	2015	1.86	0.03	-1.8	18.64262	6.68	0.63
17	HDBANK	2006	2.78	1.67	94.73	15.2053	8.23	7.5
17	HDBANK	2007	0.3	0.87	232.86	16.44177	8.46	8.3
17	HDBANK	2008	1.93	0.61	-30.71	16.07278	6.31	22.97
17	HDBANK	2009	1.1	1.01	33.28	16.76661	5.32	6.88
17	HDBANK	2010	1.42	0.7	42.49	17.35325	6.78	9.19
17	HDBANK	2011	1.63	0.9	18.07	17.62273	5.86	18.58
17	HDBANK	2012	2.35	0.62	52.72	17.78168	4.98	9.21
17	HDBANK	2013	5.53	0.31	10	18.27596	5.42	6.6
17	HDBANK	2014	1.4	0.51	10	18.41591	5.9	4.09
17	HDBANK	2015	0.97	0.5	24.2	18.48351	6.68	0.63

PHỤ LỤC 3. THỐNG KÊ MÔ TẢ CÁC BIẾN QUAN SÁT

. sum npl roa lg size gdp inf

Variable

Obs	Mean	Std. Dev.	Min	Max
npl	170	1.987882	.9850331	.08	5.53
roa	170	1.109029	.6415064	.002	3.13
lg	170	38.68071	50.92022	-31.29	408.18
size	170	17.99684	1.321567	13.62556	20.56153
gdp	170	6.394	1.121688	4.98	8.46
inf	170	9.395	6.284424	.63	22.97

PHỤ LỤC 4. MA TRẬN HỆ SỐ TƯƠNG QUAN

. corr npl roa lg size gdp inf (obs=170)

npl	roa	lg	size	gdp	inf
npl	1.0000
roa	-0.3805	1.0000
lg	-0.3859	0.3491	1.0000
size	0.0427	-0.2057	-0.3525	1.0000
gdp	-0.3134	0.3107	0.4994	-0.3805	1.0000
inf	0.1226	0.1993	-0.1078	-0.1592	-0.0866	1.0000

. vif

Variable

VIF	1/VIF
lg	1.51	0.662205
gdp	1.48	0.674020
size	1.29	0.776955
roa	1.26	0.793500
inf	1.15	0.872157
Mean VIF	1.34

PHỤ LỤC 6. MÔ HÌNH HỒI QUY POOLED OLS

. reg npl roa lg size gdp inf

Source	SS	df	MS
Model	43.2115001	5	8.64230001
Residual	120.767537	164	.73638742
Total	163.979037	169	.970290159

Number of obs	=	170
F( 5, 164)	=	11.74
Prob > F	=	0.0000
R-squared	=	0.2635
Adj R-squared	=	0.2411
Root MSE	=	.85813

npl

Coef.	Std. Err.	t	P>\|t\|	[95% Conf.	Interval]
roa	-.4678709	.1155142	-4.05	0.000	-.6959577	-.2397842
lg	-.0047721	.001593	-3.00	0.003	-.0079176	-.0016267
size	-.1043489	.056666	-1.84	0.067	-.2162379	.0075401
gdp	-.1213651	.0716805	-1.69	0.092	-.2629008	.0201706
inf	.0192039	.0112473	1.71	0.090	-.0030043	.041412
_cons	5.164894	1.253064	4.12	0.000	2.690676	7.639112

. xtreg npl roa lg size gdp inf, fe


Fixed-effects (within) regression			Number of obs				=	170
Group vari able: bank			Number of groups				=	17
R-sq: within	=	0.3085	Obs	per	group:	min	=	10
between	=	0.0917				avg	=	10.0
overall	=	0.2452				max	=	10
			F(5,148)		=			13.21
corr(u_i, Xb)	=	-0.0953	Prob > F		=			0.0000

npl

Coef.	Std. Err.		t P>\|t\|		[95% Conf.	Interval]
roa	-.4186587	.1261656		-3.32 0.001		-.6679774	-.16934
lg	-.0052475	.0015099		-3.48 0.001		-.0082313	-.0022637
size	-.2222551	.1114895		-1.99 0.048		-.4425719	-.0019383
gdp	-.1751941	.076235		-2.30 0.023		-.3258438	-.0245444
inf	.0130083	.0106571		1.22 0.224		-.0080515	.0340681
_cons	7.653033	2.391516		3.20 0.002		2.927105	12.37896
sigma_u	.49850772
sigma_e	.75505372
rho	.30357326	(fraction	of	variance due	to	u_i)

F test that all u_i=0: F(16, 148) = 3.99 Prob > F = 0.0000

. xtreg npl roa lg size gdp inf,

re
Random-effects GLS regression	Number of obs	=	170
Group vari able: bank	Number of groups	=	17
R-sq: within = 0.3068	Obs per group: min	=	10
between = 0.1227	avg	=	10.0
overall = 0.2592	max	=	10
	Wald chi2(5)	=	68.32
corr(u_i, X) = 0 (assumed)	Prob > chi2	=	0.0000

npl

Coef.	Std. Err.		z P>\|z\|		[95% Conf.	Interval]
roa	-.4230647	.117948		-3.59 0.000		-.6542384	-.1918909
lg	-.0051181	.001474		-3.47 0.001		-.0080072	-.0022291
size	-.1554215	.0809243		-1.92 0.055		-.3140303	.0031873
gdp	-.1459812	.0687077		-2.12 0.034		-.2806457	-.0113167
inf	.0158998	.0102228		1.56 0.120		-.0041366	.0359361
_cons	6.236169	1.750629		3.56 0.000		2.804998	9.667339
sigma_u	.45971668
sigma_e	.75505372
rho	.27044678	(fraction	of	variance due	to	u_i)

PHỤ LỤC9. KIỂM ĐỊNH HAUSMAN

. hausman fixed random

Coefficients

(b) fixed	(B) random	(b-B) Difference	sqrt(diag(V_b-V_B)) S.E.
roa	-.4186587	-.4230647	.0044059	.0447888
lg	-.0052475	-.0051181	-.0001294	.0003273
size	-.2222551	-.1554215	-.0668336	.0766886
gdp	-.1751941	-.1459812	-.0292129	.0330308
inf	.0130083	.0158998	-.0028915	.0030114

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

= 1.08

Prob>chi2 = 0.9562

. xttest0

Breusch and Pagan Lagrangian multiplier test for random effects

npl[bank,t] = Xb + u[bank] + e[bank,t]

Estimated results:

Var sd = sqrt(Var)

npl .9702902 .9850331

e .5701061 .7550537

u .2113394 .4597167

Test: Var(u) = 0

chibar2(01) = 35.71

Prob > chibar2 = 0.0000

PHỤ LỤC 11. KIỂM ĐỊNH HIỆN TƯỢNG TỰ TƯƠNG QUAN

. xtserial npl roa lg size gdp inf

Wooldridge test for autocorrelation in panel data H0: no first-order autocorrelation

F( 1, 16) = 16.580

Prob > F = 0.0009

. xtgls npl roa lg size gdp inf, corr (ar1)

Cross-sectional time-series FGLS regression

Coefficients: generalized least squares Panels: homoskedastic

Correlatio n: common AR(1) coefficient for all panels (0.4595)

Estimated

covariances	=	1	Number of obs	=	170
Estimated	autocorrelations	=	1	Number of groups	=	17
Estimated	coefficients	=	6	Time periods	=	10
				Wald chi2(5)	=	72.94
				Prob > chi2	=	0.0000

npl

Coef.	Std. Err.	z	P>\|z\|	[95% Conf.	Interval]
roa	-.3416461	.1219878	-2.80	0.005	-.5807378	-.1025543
lg	-.0052865	.0013444	-3.93	0.000	-.0079216	-.0026514
size	-.1252531	.0721308	-1.74	0.082	-.2666268	.0161206
gdp	-.1330051	.068011	-1.96	0.051	-.2663042	.0002941
inf	.0238599	.0093902	2.54	0.011	.0054555	.0422644
_cons	5.455888	1.496491	3.65	0.000	2.52282	8.388956

Các yếu tố ảnh hưởng đến rủi ro tín dụng trong hệ thống Ngân hàng thương mại Việt Nam - 10

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