_cons
GMM-type (missing=0, separate instruments for each period unless collapsed) D.(L.NPLt GDP)
------------------------------------------------------------------------------
Arellano-Bond test for AR(1) in first differences: z = -1.19 Pr > z = 0.235 Arellano-Bond test for AR(2) in first differences: z = -0.14 Pr > z = 0.889
------------------------------------------------------------------------------
Sargan test of overid. restrictions: chi2(25) = 42.02 Prob > chi2 = 0.018 (Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(25) = 17.03 Prob > chi2 = 0.881 (Robust, but weakened by many instruments.)
Difference-in-Hansen tests of exogeneity of instrument subsets: GMM instruments for levels
Hansen test excluding group: chi2(15) = 16.08 Prob > chi2 = 0.377 Difference (null H = exogenous): chi2(10) = 0.95 Prob > chi2 = 1.000 iv(LLP LEV SIZE INF USA)
Hansen test excluding group: chi2(20) = 19.42 Prob > chi2 = 0.495 Difference (null H = exogenous): chi2(5) = -2.40 Prob > chi2 = 1.000
. xtabond2 NPLt NPLt1 LLP LEV SIZE ROAt1 LG INF GDP USA,gmm(
L.NPLt,lag(1 1)) iv( LLP LEV SIZE INF GDP USA) twostep noleveleq
Favoring space over speed. To switch, type or click on mata: mata set matafavor speed, perm.
Warning: Two-step estimated covariance matrix of moments is singular.
Using a generalized inverse to calculate optimal weighting matrix for two-step estimation.
Difference-in-Sargan/Hansen statistics may be negative.
Dynamic panel-data estimation, two-step difference GMM
------------------------------------------------------------------------------
Group variable: id Number of obs = 247
Time variable : year Number of groups = 25
Number of instruments = 15 Obs per group: min = 8
Wald chi2(9) = 153.93 avg = 9.88
Prob > chi2 = 0.000 max = 10
------------------------------------------------------------------------------
NPLt | Coef. Std. Err. z P>|z| [95% Conf.Interval]
-------------+----------------------------------------------------------------
lNPL | .0944935 .0423329 2.23 0.026 .0115225 .1774644
LLP | 3.15462 .7049658 4.47 0.000 1.772913 4.536328
-.0419618 | .0162936 | -2.58 0.010 | -.0738966 | -.010027 | |
SIZE | | -.0162733 | .0156405 | -1.04 0.298 | -.0469281 | .0143814 |
lROA | | 1.243197 | .4568955 | 2.72 0.007 | .3476983 | 2.138696 |
LG | | -.0004139 | .0014672 | -0.28 0.778 | -.0032895 | .0024617 |
INF | | .004226 | .0111519 | 0.38 0.705 | -.0176313 | .0260834 |
GDP | | -.2486882 | .1442314 | -1.72 0.085 | -.5313765 | .0340001 |
USA | | 2.28e-06 | 2.32e-06 | 0.98 0.326 | -2.27e-06 | 6.82e-06 |
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------------------------------------------------------------------------------
Warning: Uncorrected two-step standard errors are unreliable.
Instruments for first differences equation Standard
D.(LLP LEV SIZE INF GDP USA)
GMM-type (missing=0, separate instruments for each period unless collapsed) L.L.NPLt
------------------------------------------------------------------------------
Arellano-Bond test for AR(1) in first differences: z = -1.27 Pr > z = 0.205 Arellano-Bond test for AR(2) in first differences: z = 0.37 Pr > z = 0.708
------------------------------------------------------------------------------
Sargan test of overid. restrictions: chi2(6) = 2.62 Prob > chi2 = 0.855 (Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(6) = 4.62 Prob > chi2 = 0.594 (Robust, but weakened by many instruments.)
Difference-in-Hansen tests of exogeneity of instrument subsets: iv(LLP LEV SIZE INF GDP USA)
Hansen test excluding group: chi2(0) = 0.00 Prob > chi2 = Difference (null H = exogenous): chi2(6) = 4.62 Prob > chi2 = 0.594
. xtabond2 NPLt NPLt1 LLP LEV SIZE ROAt1 LG INF GDP USA,gmm( L.NPLt
GDP, lag(1 1)) iv( LLP LEV SIZE INF USA) twostep
Favoring space over speed. To switch, type or click on mata: mata set matafavor speed, perm.
Warning: Number of instruments may be large relative to number of observations. Warning: Two-step estimated covariance matrix of moments is singular.
Using a generalized inverse to calculate optimal weighting matrix for two-step estimation.
Difference-in-Sargan/Hansen statistics may be negative. Dynamic panel-data estimation, two-step system GMM
------------------------------------------------------------------------------
Group variable: id Number of obs = 272
Time variable : year Number of groups = 25
Number of instruments = 35 Obs per group: min = 9
Wald chi2(9) = 2851.34 avg = 10.88 Prob > chi2 = 0.000 max = 11
------------------------------------------------------------------------------
NPLt | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
.1841593 | .0146088 | 12.61 | 0.000 | .1555266 | .2127919 | |
LLP | | 2.204471 | .1888969 | 11.67 | 0.000 | 1.83424 | 2.574702 |
LEV | | -.0084897 | .0040082 | -2.12 | 0.034 | -.0163456 | -.0006337 |
SIZE | | -.0076483 | .0013626 | -5.61 | 0.000 | -.0103189 | -.0049777 |
lROA | | .229951 | .100055 | 2.30 | 0.022 | .0338468 | .4260551 |
LG | | -.0007796 | .000464 | -1.68 | 0.093 | -.001689 | .0001298 |
INF | | .0195488 | .0050399 | 3.88 | 0.000 | .0096708 | .0294268 |
GDP | | -.3978581 | .0424801 | -9.37 | 0.000 | -.4811175 | -.3145986 |
USA | | 1.46e-06 | 2.35e-07 | 6.20 | 0.000 | 9.95e-07 | 1.92e-06 |
_cons | | .0623395 | .0094716 | 6.58 | 0.000 | .0437755 | .0809035 |
------------------------------------------------------------------------------
Warning: Uncorrected two-step standard errors are unreliable.
Instruments for first differences equation Standard
D.(LLP LEV SIZE INF USA)
GMM-type (missing=0, separate instruments for each period unless collapsed) L.(L.NPLt GDP)
Instruments for levels equation Standard
LLP LEV SIZE INF USA
_cons
GMM-type (missing=0, separate instruments for each period unless collapsed) D.(L.NPLt GDP)
------------------------------------------------------------------------------
Arellano-Bond test for AR(1) in first differences: z = -1.19 Pr > z = 0.235 Arellano-Bond test for AR(2) in first differences: z = -0.14 Pr > z = 0.889
------------------------------------------------------------------------------
Sargan test of overid. restrictions: chi2(25) = 42.02 Prob > chi2 = 0.018 (Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(25) = 17.03 Prob > chi2 = 0.881 (Robust, but weakened by many instruments.)
Difference-in-Hansen tests of exogeneity of instrument subsets: GMM instruments for levels
Hansen test excluding group: chi2(15) = 16.08 Prob > chi2 = 0.377 Difference (null H = exogenous): chi2(10) = 0.95 Prob > chi2 = 1.000 iv(LLP LEV SIZE INF USA)
Hansen test excluding group: chi2(20) = 19.42 Prob > chi2 = 0.495 Difference (null H = exogenous): chi2(5) = -2.40 Prob > chi2 = 1.000
Phụ lục 10: Dữ liệu nghiên cứu:
Năm | NPL(t-1) | LLP | LEV | SIZE | ROA (t-1) | LG | INF | GDP | USD | |
BID | 2007 | 8.81% | 1.42% | 0.94 | 8.31 | 0.39% | 33.80% | 12.60% | 7.13% | 16,077.58 |
BID | 2008 | 4.32% | 1.67% | 0.95 | 8.39 | 0.75% | 21.97% | 19.89% | 5.66% | 16,538.79 |
BID | 2009 | 3.16% | 1.82% | 0.94 | 8.47 | 0.80% | 28.21% | 6.52% | 5.40% | 17,862.83 |
BID | 2010 | 2.68% | 1.45% | 0.93 | 8.56 | 0.95% | 23.15% | 11.75% | 6.42% | 19,172.96 |
BID | 2011 | 2.53% | 1.44% | 0.94 | 8.61 | 1.03% | 15.64% | 18.13% | 6.24% | 20,695.50 |
BID | 2012 | 2.76% | 1.22% | 0.94 | 8.69 | 0.79% | 15.65% | 6.81% | 5.25% | 20,876.14 |
BID | 2013 | 2.70% | 1.12% | 0.94 | 8.74 | 0.61% | 15.04% | 6.04% | 5.42% | 21,009.38 |
BID | 2014 | 2.26% | 1.02% | 0.95 | 8.81 | 0.74% | 13.98% | 1.84% | 5.98% | 21,206.67 |
BID | 2015 | 2.03% | 0.88% | 0.95 | 8.93 | 0.77% | 34.27% | 0.60% | 6.68% | 21,967.33 |
BID | 2016 | 1.68% | 1.00% | 0.96 | 9.00 | 0.75% | 20.93% | 4.74% | 6.21% | 22,379.67 |
BID | 2017 | 1,99% | 1,23% | 0.96 | 9,08 | 0,62% | 19,79% | 3,53% | 6,81% | 22,717.29 |
VCB | 2007 | 2.75% | 1.06% | 0.93 | 8.30 | 1.72% | 10.97% | 12.60% | 7.13% | 16,077.58 |
VCB | 2008 | 3.69% | 1.92% | 0.94 | 8.35 | 1.22% | 15.65% | 19.89% | 5.66% | 16,538.79 |
VCB | 2009 | 4.61% | 1.81% | 0.93 | 8.41 | 0.61% | 25.56% | 6.52% | 5.40% | 17,862.83 |
VCB | 2010 | 2.47% | 1.85% | 0.93 | 8.49 | 1.54% | 24.85% | 11.75% | 6.42% | 19,172.96 |
VCB | 2011 | 2.83% | 1.45% | 0.92 | 8.56 | 1.38% | 18.44% | 18.13% | 6.24% | 20,695.50 |
VCB | 2012 | 2.03% | 1.28% | 0.90 | 8.62 | 1.15% | 15.16% | 6.81% | 5.25% | 20,876.14 |
VCB | 2013 | 2.40% | 1.38% | 0.91 | 8.67 | 1.07% | 13.75% | 6.04% | 5.42% | 21,009.38 |
VCB | 2014 | 2.73% | 1.21% | 0.92 | 8.76 | 0.93% | 17.87% | 1.84% | 5.98% | 21,206.67 |
VCB | 2015 | 2.31% | 1.28% | 0.93 | 8.83 | 0.80% | 19.91% | 0.60% | 6.68% | 21,967.33 |
VCB | 2016 | 1.84% | 1.03% | 0.94 | 8.90 | 0.79% | 18.85% | 4.74% | 6.21% | 22,379.67 |
VCB | 2017 | 1,51% | 0,78% | 0.95 | 9,02 | 0,87% | 17,93% | 3,53% | 6,81% | 22,717.29 |
CTG | 2007 | 1.41% | 1.03% | 0.94 | 8.22 | 0.44% | 7.40% | 12.60% | 7.13% | 16,077.58 |
CTG | 2008 | 1.03% | 1.11% | 0.94 | 8.29 | 0.69% | 18.16% | 19.89% | 5.66% | 16,538.79 |
CTG | 2009 | 1.81% | 0.64% | 0.95 | 8.39 | 0.93% | 35.13% | 6.52% | 5.40% | 17,862.83 |
CTG | 2010 | 0.61% | 0.75% | 0.95 | 8.57 | 0.53% | 43.59% | 11.75% | 6.42% | 19,172.96 |