Các yếu tố tác động đến nợ xấu tại các ngân hàng thương mại Việt Nam - 12

2012

1.842

5.247

9.200

1.777

13.472

1.169

1.313

42.411

0.261

18.984

109.640

Mã NH

Year

NPL

GDP

CPI

UNE

AWPRt

OPE

ROA

LA

GRL(t-1)

lnSIZE

Oilprice

MBB

2013

2.446

5.422

6.600

1.709

10.374

1.207

1.262

48.643

0.178

19.011

110.630

MBB

2014

2.730

5.984

4.090

1.862

8.665

1.258

1.235

50.162

0.146

19.116

62.160

MBB

2015

1.625

6.700

0.630

2.310

7.120

1.382

1.129

54.898

0.207

19.214

37.720

MBB

2016

1.339

6.211

2.660

2.178

6.960

0.000

1.114

58.823

0.242

19.362

54.070

VIB

2006

6.978

7.402

4.884

11.176

1.453

0.884

55.131

16.620

62.310

VIB

2007

7.129

8.437

4.140

11.180

0.229

0.786

42.601

0.838

17.487

91.450

VIB

2008

5.662

23.088

3.627

15.784

0.435

0.486

56.956

0.181

17.363

41.580

VIB

2009

0.894

5.398

6.717

2.800

10.069

0.243

0.818

48.293

0.383

17.852

74.670

VIB

2010

2.184

6.423

9.190

2.668

13.135

1.506

0.843

44.476

0.526

18.357

91.800

VIB

2011

0.403

6.240

18.584

2.036

16.954

2.655

0.659

44.866

0.042

18.390

107.970

VIB

2012

0.204

5.247

9.200

1.777

13.472

3.471

0.805

52.115

-0.221

17.990

109.640

VIB

2013

0.494

5.422

6.600

1.709

10.374

31.076

0.065

45.839

0.040

18.158

110.630

VIB

2014

0.964

5.984

4.090

1.862

8.665

3.126

0.648

47.332

0.083

18.206

62.160

VIB

2015

2.070

6.700

0.630

2.310

7.120

3.388

0.618

56.669

0.251

18.250

37.720

VIB

2016

2.575

6.211

2.660

2.178

6.960

3.725

0.537

57.579

0.260

18.465

54.070

NCB

2006

1.042

6.978

7.402

4.884

11.176

1.127

1.849

31.446

13.935

62.310

NCB

2007

0.163

7.129

8.437

4.140

11.180

1.413

0.755

44.062

11.317

16.108

91.450

NCB

2008

2.906

5.662

23.088

3.627

15.784

3.153

0.524

50.201

0.255

16.205

41.580

NCB

2009

2.452

5.398

6.717

2.800

10.069

1.412

0.762

53.289

0.819

16.743

74.670

NCB

2010

2.239

6.423

9.190

2.668

13.135

1.754

0.784

53.789

0.081

16.812

91.800

NCB

2011

2.916

6.240

18.584

2.036

16.954

2.373

0.739

57.409

0.200

16.929

107.970

NCB

2012

5.640

5.247

9.200

1.777

13.472

299.178

0.010

59.700

-0.002

16.887

109.640

NCB

2013

6.067

5.422

6.600

1.709

10.374

33.496

0.063

46.348

0.046

17.185

110.630

NCB

2014

2.525

5.984

4.090

1.862

8.665

74.307

0.022

45.174

0.235

17.422

62.160

NCB

2015

2.150

6.700

0.630

2.310

7.120

100.965

0.013

42.363

0.228

17.691

37.720

NCB

2016

2.150

6.211

2.660

2.178

6.960

54.070

2006

6.978

7.402

4.884

11.176

0.958

1.132

77.075

16.208

62.310

Mã NH

Year

NPL

GDP

CPI

UNE

AWPRt

OPE

ROA

LA

GRL(t-1)

lnSIZE

Oilprice

SCB

2007

0.338

7.129

8.437

4.140

11.180

1.062

0.996

74.971

1.309

17.073

91.450

SCB

2008

0.575

5.662

23.088

3.627

15.784

1.006

1.202

60.313

0.195

17.469

41.580

SCB

2009

1.280

5.398

6.717

2.800

10.069

1.446

0.578

57.458

0.345

17.814

74.670

SCB

2010

12.464

6.423

9.190

2.668

13.135

1.446

0.523

55.128

0.060

17.913

91.800

SCB

2011

7.250

6.240

18.584

2.036

16.954

2.116

0.192

45.624

0.991

18.791

107.970

SCB

2012

7.230

5.247

9.200

1.777

13.472

36.867

0.043

59.083

0.334

18.821

109.640

SCB

2013

1.632

5.422

6.600

1.709

10.374

42.449

0.024

49.168

0.010

19.014

110.630

SCB

2014

0.495

5.984

4.090

1.862

8.665

18.868

0.037

55.318

0.505

19.305

62.160

SCB

2015

6.700

0.630

2.310

7.120

34.271

0.025

54.814

0.272

19.557

37.720

SCB

2016

6.211

2.660

2.178

6.960

32.417

0.021

61.574

0.303

19.706

54.070

SGB

2006

0.000

6.978

7.402

4.884

11.176

0.725

1.910

77.756

15.647

62.310

SGB

2007

0.422

7.129

8.437

4.140

11.180

0.712

1.674

72.300

0.518

16.136

91.450

SGB

2008

0.691

5.662

23.088

3.627

15.784

1.078

1.439

70.648

0.075

16.232

41.580

SGB

2009

1.781

5.398

6.717

2.800

10.069

1.056

1.769

81.864

0.228

16.290

74.670

SGB

2010

1.913

6.423

9.190

2.668

13.135

0.345

4.745

62.192

0.075

16.638

91.800

SGB

2011

0.000

6.240

18.584

2.036

16.954

1.052

1.978

72.780

0.070

16.548

107.970

SGB

2012

2.930

5.247

9.200

1.777

13.472

1.289

2.001

73.125

-0.029

16.514

109.640

SGB

2013

2.242

5.422

6.600

1.709

10.374

2.203

1.177

72.660

-0.018

16.502

110.630

SGB

2014

2.080

5.984

4.090

1.862

8.665

1.765

1.143

70.985

0.053

16.577

62.160

SGB

2015

6.700

0.630

2.310

7.120

2.463

0.904

68.459

0.053

16.646

37.720

SGB

2016

6.211

2.660

2.178

6.960

3.048

0.732

65.801

0.034

16.762

54.070

STB

2006

0.723

6.978

7.402

4.884

11.176

0.868

1.898

58.097

17.025

62.310

STB

2007

0.230

7.129

8.437

4.140

11.180

0.530

2.165

54.788

1.458

17.983

91.450

STB

2008

0.595

5.662

23.088

3.627

15.784

1.330

1.395

51.154

-0.010

18.041

41.580

STB

2009

0.644

5.398

6.717

2.800

10.069

0.981

1.606

57.352

0.704

18.460

74.670

STB

2010

0.575

6.423

9.190

2.668

13.135

1.164

1.228

54.129

0.383

18.842

91.800

2011

0.590

6.240

18.584

2.036

16.954

1.737

1.461

56.931

-0.024

18.768

107.970

Mã NH

Year

NPL

GDP

CPI

UNE

AWPRt

OPE

ROA

LA

GRL(t-1)

lnSIZE

Oilprice

STB

2012

2.074

5.247

9.200

1.777

13.472

4.144

0.659

63.329

0.196

18.840

109.640

STB

2013

1.495

5.422

6.600

1.709

10.374

1.887

1.381

68.514

0.148

18.899

110.630

STB

2014

1.189

5.984

4.090

1.862

8.665

2.022

1.162

67.446

0.158

19.061

62.160

STB

2015

6.700

0.630

2.310

7.120

0.392

0.452

19.494

37.720

STB

2016

6.211

2.660

2.178

6.960

0.027

0.070

19.621

54.070

VIETA

2006

6.978

7.402

4.884

11.176

1.056

1.272

65.304

15.246

62.310

VIETA

2007

7.129

8.437

4.140

11.180

0.657

1.549

60.884

1.111

16.063

91.450

VIETA

2008

1.799

5.662

23.088

3.627

15.784

2.153

0.702

64.545

0.151

16.145

41.580

VIETA

2009

1.312

5.398

6.717

2.800

10.069

1.017

1.328

76.131

0.816

16.577

74.670

VIETA

2010

2.518

6.423

9.190

2.668

13.135

1.152

1.106

55.186

0.104

16.997

91.800

VIETA

2011

0.000

6.240

18.584

2.036

16.954

1.333

1.102

51.429

-0.129

16.930

107.970

VIETA

2012

0.000

5.247

9.200

1.777

13.472

1.939

0.667

52.381

0.113

17.019

109.640

VIETA

2013

0.000

5.422

6.600

1.709

10.374

5.711

0.222

53.226

0.116

17.113

110.630

VIETA

2014

2.326

5.984

4.090

1.862

8.665

7.319

0.133

44.456

0.100

17.388

62.160

VIETA

2015

2.264

6.700

0.630

2.310

7.120

8.557

0.122

48.397

0.281

17.550

37.720

VIETA

2016

0.000

6.211

2.660

2.178

6.960

4.880

0.162

49.484

0.501

17.934

54.070

VPB

2006

0.580

6.978

7.402

4.884

11.176

1.206

1.122

49.515

16.129

62.310

VPB

2007

0.490

7.129

8.437

4.140

11.180

1.299

1.250

73.460

1.661

16.713

91.450

VPB

2008

3.400

5.662

23.088

3.627

15.784

2.266

1.069

69.866

-0.025

16.738

41.580

VPB

2009

1.630

5.398

6.717

2.800

10.069

1.628

1.066

57.413

0.218

17.131

74.670

VPB

2010

1.200

6.423

9.190

2.668

13.135

1.081

0.842

42.342

0.601

17.907

91.800

VPB

2011

1.824

6.240

18.584

2.036

16.954

1.629

0.966

35.238

0.152

18.232

107.970

VPB

2012

2.719

5.247

9.200

1.777

13.472

2.923

0.627

35.976

0.265

18.446

109.640

VPB

2013

2.810

5.422

6.600

1.709

10.374

2.789

0.839

43.272

0.422

18.613

110.630

VPB

2014

2.541

5.984

4.090

1.862

8.665

2.938

0.768

48.014

0.494

18.911

62.160

VPB

2015

2.693

6.700

0.630

2.310

7.120

2.376

1.236

60.247

0.490

19.083

37.720

2016

0.000

6.211

2.660

2.178

6.960

1.683

1.720

63.239

0.239

19.248

54.070

Mã NH

Year

NPL

GDP

CPI

UNE

AWPRt

OPE

ROA

LA

GRL(t-1)

lnSIZE

Oilprice

PGB

2006

6.978

7.402

4.884

11.176

0.549

1.061

67.590

13.986

62.310

PGB

2007

7.129

8.437

4.140

11.180

0.578

0.874

40.963

1.392

15.359

91.450

PGB

2008

1.422

5.662

23.088

3.627

15.784

1.556

1.060

38.247

0.233

15.638

41.580

PGB

2009

1.225

5.398

6.717

2.800

10.069

0.904

1.679

60.153

1.650

16.159

74.670

PGB

2010

1.418

6.423

9.190

2.668

13.135

1.291

1.336

66.469

0.737

16.611

91.800

PGB

2011

2.056

6.240

18.584

2.036

16.954

1.016

2.538

68.889

0.113

16.682

107.970

PGB

2012

8.437

5.247

9.200

1.777

13.472

2.321

1.247

71.619

0.138

16.773

109.640

PGB

2013

2.840

5.422

6.600

1.709

10.374

12.969

0.154

55.744

0.006

17.029

110.630

PGB

2014

2.485

5.984

4.090

1.862

8.665

3.658

0.508

56.274

0.046

17.065

62.160

PGB

2015

2.754

6.700

0.630

2.310

7.120

11.885

0.165

64.351

0.095

17.022

37.720

PGB

2016

2.468

6.211

2.660

2.178

6.960

3.419

0.494

70.632

0.104

17.027

54.070

EIB

2006

0.845

6.978

7.402

4.884

11.176

0.715

1.411

55.706

16.724

62.310

EIB

2007

0.875

7.129

8.437

4.140

11.180

0.763

1.375

54.737

0.808

17.333

91.450

EIB

2008

4.712

5.662

23.088

3.627

15.784

0.848

1.474

44.007

0.151

17.692

41.580

EIB

2009

1.834

5.398

6.717

2.800

10.069

0.801

1.730

58.645

0.808

17.997

74.670

EIB

2010

1.420

6.423

9.190

2.668

13.135

0.566

1.384

47.552

0.624

18.692

91.800

EIB

2011

1.611

6.240

18.584

2.036

16.954

0.629

1.655

40.674

0.198

19.028

107.970

EIB

2012

1.318

5.247

9.200

1.777

13.472

1.074

1.257

44.032

0.003

18.952

109.640

EIB

2013

1.982

5.422

6.600

1.709

10.374

3.220

0.388

49.079

0.113

18.950

110.630

EIB

2014

2.461

5.984

4.090

1.862

8.665

35.749

0.035

54.097

0.045

18.897

62.160

EIB

2015

1.859

6.700

0.630

2.310

7.120

57.622

0.032

67.889

-0.027

18.643

37.720

EIB

2016

2.946

6.211

2.660

2.178

6.960

7.300

0.240

67.461

0.025

18.674

54.070

Obs

Mean

Std. Dev.

Min

Max

npl

240

2.006156

1.449065

0

12.46352

gdp

264

6.126778

.619434

5.24737

7.12949

cpi

264

8.781569

6.322624

.63

23.08776

une

264

2.707811

.9909

1.70906

4.88424

awprt

264

11.35352

3.106835

6.96

16.95383

ope

258

5.777533

21.26089

0

299.1784

roa

260

.9426866

.6148932

0

4.744628

la

258

53.69726

13.49696

0

85.16843

grlt1

237

.3963035

.8692789

-.3129435

11.31726

lnsize

260

17.67189

1.784134

0

20.72965

lnoilprice

264

4.276696

.3683615

3.63019

4.706191

npl

gdp

cpi

une

awprt

ope

roa

la

grlt1 lnsize lnoilp~e

npl

1.0000

gdp

-0.2628

1.0000

cpi

0.0825

-0.1476

1.0000

une

-0.2210

0.4605

0.3335

1.0000

awprt

0.1368

-0.1447

0.9208

0.1742

1.0000

ope

0.2090

-0.0843

-0.1016

-0.1484

-0.0754

1.0000

roa

-0.2307

0.1254

0.2641

0.3041

0.2967

-0.2957

1.0000

la

-0.0592

0.0302

-0.1190

0.1386

-0.1937

-0.0023

0.1114

1.0000

grlt1

-0.1772

0.2966

-0.0567

0.3694

-0.0580

-0.0727

0.0839

-0.0641

1.0000

lnsize

0.0105

-0.0419

-0.2583

-0.4113

-0.2153

-0.0356

-0.1734

-0.0139

-0.1989 1.0000

lnoilprice

0.1285

-0.1693

0.0429

-0.2973

0.3490

-0.0086

0.1413

-0.2053

0.0796 0.0046 1.0000

Source

SS

df

MS

Model

138.580291

11

12.5982083

Residual

329.204212

203

1.62169563

Total

467.784503

214

2.18590889

Number of obs

=

215

F( 11, 203)

=

7.77

Prob > F

=

0.0000

R-squared

=

0.2962

Adj R-squared

=

0.2581

Root MSE

=

1.2735

Coef.

Std. Err.

t

P>|t|

[95% Conf.

Interval]

lnpl

.386649

.0643752

6.01

0.000

.2597192

.5135787

gdp

-.4435218

.1945987

-2.28

0.024

-.8272157

-.0598278

cpi

-.0922522

.0603279

-1.53

0.128

-.2112018

.0266975

une

.0769753

.1893914

0.41

0.685

-.2964513

.450402

awprt

.2884685

.1270009

2.27

0.024

.0380584

.5388786

ope

.0050487

.0040554

1.24

0.215

-.0029474

.0130447

roa

-.3842338

.1716328

-2.24

0.026

-.7226455

-.0458221

la

.0047586

.007115

0.67

0.504

-.0092702

.0187874

grlt1

-.1522686

.1129494

-1.35

0.179

-.374973

.0704358

lnsize

-.0495305

.0778554

-0.64

0.525

-.2030394

.1039784

lnoilprice

-.4472334

.4149087

-1.08

0.282

-1.265317

.3708499

_cons

4.193111

2.368791

1.77

0.078

-.4774794

8.863702

VIF

1/VIF

awprt

21.61

0.046270

cpi

20.22

0.049449

lnoilprice

3.17

0.315671

une

2.65

0.377461

gdp

1.67

0.600375

roa

1.40

0.713468

grlt1

1.37

0.728543

lnsize

1.26

0.796714

lnpl

1.16

0.859356

ope

1.15

0.867935

la

1.15

0.868551

Mean VIF

5.16

Number of obs

=

215

Group variable: stt

Number of groups

=

24

R-sq: within

=

0.2033

Obs

per

group:

min

=

6

between

=

0.2196

avg

=

9.0

overall

=

0.1870

max

=

10

F(11,180)

=

4.18

corr(u_i,

Xb)

=

-0.2291

Prob > F

=

0.0000

Coef.

Std. Err.

t P>|t|

[95% Conf.

Interval]

lnpl

.2140504

.072894

2.94 0.004

.0702137

.3578871

gdp

-.2440693

.2146753

-1.14 0.257

-.6676732

.1795346

cpi

-.0800494

.0596993

-1.34 0.182

-.1978499

.037751

une

-.3295989

.3195249

-1.03 0.304

-.9600954

.3008975

awprt

.2297415

.1269416

1.81 0.072

-.0207436

.4802266

ope

.0023601

.0045405

0.52 0.604

-.0065994

.0113196

roa

-.332478

.2105594

-1.58 0.116

-.7479603

.0830043

la

.007137

.0123316

0.58 0.563

-.017196

.03147

grlt1

-.2154614

.1185744

-1.82 0.071

-.4494361

.0185132

lnsize

-.4437692

.3362549

-1.32 0.189

-1.107278

.2197393

lnoilprice

-.3598521

.4251712

-0.85 0.398

-1.198813

.4791089

_cons

11.48808

7.142085

1.61 0.109

-2.604905

25.58106

sigma_u

.72211663

sigma_e

1.2530934

rho

.24929651

(fraction

of

variance due

to

u_i)