[22] Vodová, P., 2011b. Determinants of Commercial Banks Liquidity in Slovakia, Project GACR, P403/11/P234: Liquidity risk of commercial banks in the Visegrad countries, 740-747.
[23] Vodová, P., 2012. Determinants of commercial ban s’ liquidity in Poland, Proceedings of 30th International Conference Mathematical Methods in Economics, 962-967.
[24] Vodová, P., 2013. Determinants of Commercial Bank Liquidity in Hungary,
Financial Internet Quarterly “e-Finanse”, No. 9, 64-71.
Tài liệu khác
[25] áo cáo thường niên Ngân hàng Nhà nước. <http://www.sbv.gov.vn>
[26] Quyết định số 254/QĐ-TTg của Thủ tướng Chính phủ: Phê duyệt Đề án "Cơ cấu lại hệ thống các tổ chức tín dụng giai đoạn 2011-2015” ngày 01/03/2012.
[27] Tổng cục thống kê Việt Nam. <https://www.gso.gov.vn>
PHỤ LỤC
Phụ Lục 1: Kết quả hồi quy L1 theo Pool OLS, Fix effect, Random effect và kiểm định F-test, Hausman
. regress L1 CAP NPL ROE TOA GDP MIR
Source | SS | df | MS |
Model | .537745134 | 6 | .089624189 |
Residual | 2.10231997 | 227 | .009261321 |
Total | 2.6400651 | 233 | .011330752 |
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Number of obs | = | 234 |
F( 6, 227) | = | 9.68 |
Prob > F | = | 0.0000 |
R-squared | = | 0.2037 |
Adj R-squared | = | 0.1826 |
Root MSE | = | .09624 |
Coef. | Std. Err. | t | P>|t| | [95% Conf. | Interval] | |
CAP | -.1574045 | .1385689 | -1.14 | 0.257 | -.4304503 | .1156413 |
NPL | -1.246979 | .5242611 | -2.38 | 0.018 | -2.280019 | -.213938 |
ROE | .0932373 | .0807325 | 1.15 | 0.249 | -.0658436 | .2523182 |
TOA | -.0135327 | .006715 | -2.02 | 0.045 | -.0267645 | -.000301 |
GDP | -2.415594 | 1.422869 | -1.70 | 0.091 | -5.219314 | .3881268 |
MIR | 1.360746 | .2504931 | 5.43 | 0.000 | .8671574 | 1.854335 |
_cons | .4328807 | .12319 | 3.51 | 0.001 | .1901385 | .6756229 |
F(6,202) | = | 19.01 |
Prob > F | = | 0.0000 |
corr(u_i, Xb) = -0.0671
Coef. | Std. Err. | t P>|t| | [95% Conf. | Interval] | |||
CAP | -.1133719 | .1202565 | -0.94 0.347 | -.3504909 | .1237472 | ||
NPL | -1.707346 | .4523787 | -3.77 0.000 | -2.599336 | -.8153563 | ||
ROE | .1585879 | .0676006 | 2.35 0.020 | .0252945 | .2918813 | ||
TOA | -.0147613 | .0082411 | -1.79 0.075 | -.0310108 | .0014883 | ||
GDP | -2.567123 | 1.103629 | -2.33 0.021 | -4.743234 | -.3910117 | ||
MIR | 1.323747 | .2001373 | 6.61 0.000 | .9291207 | 1.718373 | ||
_cons | .4584307 | .113381 | 4.04 0.000 | .2348685 | .6819929 | ||
sigma_u | .0687333 | ||||||
sigma_e | .07237213 | ||||||
rho | .47422909 | (fraction | of | variance due | to | u_i) |
F test that all u_i=0: F(25, 202) = 7.98 Prob > F = 0.0000
Wald | chi2(6) | = | 112.87 | |||
corr(u_i, | X) = 0 | (assumed) | Prob | > chi2 | = | 0.0000 |
Coef. | Std. Err. | z P>|z| | [95% Conf. | Interval] | |||
CAP | -.122249 | .1176097 | -1.04 0.299 | -.3527598 | .1082617 | ||
NPL | -1.639494 | .4417381 | -3.71 0.000 | -2.505285 | -.7737035 | ||
ROE | .149992 | .0661508 | 2.27 0.023 | .0203388 | .2796451 | ||
TOA | -.0147028 | .0072884 | -2.02 0.044 | -.0289878 | -.0004178 | ||
GDP | -2.544181 | 1.090554 | -2.33 0.020 | -4.681627 | -.4067351 | ||
MIR | 1.328771 | .1958852 | 6.78 0.000 | .9448435 | 1.712699 | ||
_cons | .4562048 | .1075205 | 4.24 0.000 | .2454685 | .6669411 | ||
sigma_u | .06580307 | ||||||
sigma_e | .07237213 | ||||||
rho | .4525657 | (fraction | of | variance due | to | u_i) |
. hausman fe1 re1
Coefficients
(b) fe1 | (B) re1 | (b-B) Difference | sqrt(diag(V_b-V_B)) S.E. | |
CAP | -.1133719 | -.122249 | .0088771 | .0250916 |
NPL | -1.707346 | -1.639494 | -.0678521 | .0975396 |
ROE | .1585879 | .149992 | .0085959 | .0139256 |
TOA | -.0147613 | -.0147028 | -.0000585 | .0038464 |
GDP | -2.567123 | -2.544181 | -.0229416 | .1693812 |
MIR | 1.323747 | 1.328771 | -.0050244 | .041036 |
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)
= 2.33
Prob>chi2 = 0.8873
Phụ Lục 2. Kết quả hồi quy L2 theo Pool OLS, Fix effect, Random effect và kiểm định F-test, Hausman
. regress L2 CAP NPL ROE TOA GDP MIR
Source | SS | df | MS |
Model | 1.57738596 | 6 | .262897659 |
Residual | 3.61660376 | 227 | .015932175 |
Total | 5.19398972 | 233 | .022291801 |
Number of obs | = | 234 |
F( 6, 227) | = | 16.50 |
Prob > F | = | 0.0000 |
R-squared | = | 0.3037 |
Adj R-squared | = | 0.2853 |
Root MSE | = | .12622 |
Coef. | Std. Err. | t | P>|t| | [95% Conf. | Interval] | |
CAP | .3426365 | .1817468 | 1.89 | 0.061 | -.0154901 | .7007631 |
NPL | -2.094013 | .6876204 | -3.05 | 0.003 | -3.448948 | -.7390783 |
ROE | .1383944 | .1058886 | 1.31 | 0.193 | -.0702559 | .3470448 |
TOA | -.0094827 | .0088074 | -1.08 | 0.283 | -.0268374 | .007872 |
GDP | -1.62143 | 1.866234 | -0.87 | 0.386 | -5.298786 | 2.055927 |
MIR | 2.262981 | .3285465 | 6.89 | 0.000 | 1.615591 | 2.910372 |
_cons | .2845068 | .1615759 | 1.76 | 0.080 | -.0338736 | .6028872 |
TOA GDP MIR,fe | ||||||||
Fixed-effects (within) | regression | Number | of obs | = | 234 | |||
Group variable: BANK1 | Number | of groups | = | 26 | ||||
R-sq: within | = | 0.4494 | Obs | per | group: | min | = | 9 |
between | = | 0.0059 | avg | = | 9.0 | |||
overall | = | 0.2980 | max | = | 9 | |||
F(6,202) | = | 27.47 | ||||||
corr(u_i, Xb) | = | -0.0921 | Prob > F | = | 0.0000 | |||
Coef. | Std. Err. | t P>|t| | [95% Conf. | Interval] | |||
CAP | .4777865 | .1663422 | 2.87 0.005 | .1497966 | .8057763 | ||
NPL | -2.418151 | .6257431 | -3.86 0.000 | -3.651977 | -1.184325 | ||
ROE | .2408883 | .0935071 | 2.58 0.011 | .056513 | .4252635 | ||
TOA | -.0127725 | .0113993 | -1.12 0.264 | -.0352493 | .0097044 | ||
GDP | -1.498051 | 1.526571 | -0.98 0.328 | -4.50811 | 1.512008 | ||
MIR | 2.13785 | .2768357 | 7.72 0.000 | 1.591991 | 2.683708 | ||
_cons | .3080785 | .1568319 | 1.96 0.051 | -.001159 | .6173161 | ||
sigma_u | .08525963 | ||||||
sigma_e | .10010719 | ||||||
rho | .42041234 | (fraction | of | variance due | to | u_i) |
F test that all u_i=0: F(25, 202) = 6.36 Prob > F = 0.0000
Random-effects GLS regression | Number of obs | = | 234 | |
Group variable: BANK1 | Number of groups | = | 26 | |
R-sq: within = 0.4491 | Obs per group: min | = | 9 | |
between = 0.0055 | avg | = | 9.0 | |
overall = 0.3000 | max | = | 9 | |
Wald chi2(6) | = | 163.73 | ||
corr(u_i, X) = 0 (assumed) | Prob > chi2 | = | 0.0000 |
. xtreg L2 CAP NPL ROE TOA GDP
Coef. | Std. Err. | z P>|z| | [95% Conf. | Interval] | |||
CAP | .4499393 | .1619666 | 2.78 0.005 | .1324907 | .767388 | ||
NPL | -2.365211 | .6082905 | -3.89 0.000 | -3.557438 | -1.172984 | ||
ROE | .2255552 | .0911666 | 2.47 0.013 | .046872 | .4042385 | ||
TOA | -.0115033 | .0098355 | -1.17 0.242 | -.0307806 | .007774 | ||
GDP | -1.551057 | 1.506791 | -1.03 0.303 | -4.504313 | 1.402199 | ||
MIR | 2.168702 | .2701645 | 8.03 0.000 | 1.639189 | 2.698214 | ||
_cons | .2976684 | .1469056 | 2.03 0.043 | .0097387 | .585598 | ||
sigma_u | .07952542 | ||||||
sigma_e | .10010719 | ||||||
rho | .38690767 | (fraction | of | variance due | to | u_i) |
. hausman fe2 re2
Coefficients
(b) fe2 | (B) re2 | (b-B) Difference | sqrt(diag(V_b-V_B)) S.E. | |
CAP | .4777865 | .4499393 | .0278471 | .037902 |
NPL | -2.418151 | -2.365211 | -.0529401 | .1467554 |
ROE | .2408883 | .2255552 | .015333 | .0207903 |
TOA | -.0127725 | -.0115033 | -.0012692 | .0057624 |
GDP | -1.498051 | -1.551057 | .0530063 | .2449504 |
MIR | 2.13785 | 2.168702 | -.030852 | .0604081 |
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)
= 2.93
Prob>chi2 = 0.8176
Phụ Lục 3. Kết quả hồi quy L3 theo Pool OLS, Fix effect, Random effect và kiểm định F-test, Hausman
. regress L3 CAP NPL ROE TOA GDP MIR
Source | SS | df | MS |
Model | .428786926 | 6 | .071464488 |
Residual | 3.79046672 | 227 | .016698091 |
Total | 4.21925365 | 233 | .018108385 |
Number of obs | = | 234 |
F( 6, 227) | = | 4.28 |
Prob > F | = | 0.0004 |
R-squared | = | 0.1016 |
Adj R-squared | = | 0.0779 |
Root MSE | = | .12922 |
Coef. | Std. Err. | t | P>|t| | [95% Conf. | Interval] | |
CAP | .3750097 | .1860642 | 2.02 | 0.045 | .0083759 | .7416435 |
NPL | 1.183496 | .7039545 | 1.68 | 0.094 | -.2036247 | 2.570617 |
ROE | .2281253 | .108404 | 2.10 | 0.036 | .0145186 | .4417321 |
TOA | .0142889 | .0090166 | 1.58 | 0.114 | -.0034781 | .0320558 |
GDP | -.0627535 | 1.910565 | -0.03 | 0.974 | -3.827464 | 3.701957 |
MIR | -1.33461 | .336351 | -3.97 | 0.000 | -1.997379 | -.6718406 |
_cons | .3817849 | .1654141 | 2.31 | 0.022 | .0558415 | .7077283 |
F(6,202) | = | 5.77 |
Prob > F | = | 0.0000 |
corr(u_i, Xb) = 0.0063
Coef. | Std. Err. | t P>|t| | [95% Conf. | Interval] | |||
CAP | .1782048 | .1414994 | 1.26 0.209 | -.1008006 | .4572102 | ||
NPL | .4143958 | .53229 | 0.78 0.437 | -.6351615 | 1.463953 | ||
ROE | .0156434 | .0795421 | 0.20 0.844 | -.1411959 | .1724827 | ||
TOA | -.0000632 | .0096968 | -0.01 0.995 | -.0191832 | .0190568 | ||
GDP | -.2865151 | 1.298582 | -0.22 0.826 | -2.847029 | 2.273999 | ||
MIR | -1.281094 | .235491 | -5.44 0.000 | -1.74543 | -.816758 | ||
_cons | .6063261 | .1334094 | 4.54 0.000 | .3432723 | .8693798 | ||
sigma_u | .10500852 | ||||||
sigma_e | .08515644 | ||||||
rho | .60326855 | (fraction | of | variance due | to | u_i) |
F test that all u_i=0: F(25, 202) = 12.83 Prob > F = 0.0000
.