Mô hình GMM theo Roodman
Dynamic panel-data estimation, two-step system GMM
NH | Number of obs | = | 248 | |
Time variable: | Năm | Number of groups | = | 25 |
Number of instruments | = 18 | Obs per group: min | = | 8 |
Wald chi2(8) = | 187.41 | avg | = | 9.92 |
Prob > chi2 = | 0.000 | max | = | 10 |
Có thể bạn quan tâm!
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Kiến Nghị Đối Với Ngân Hàng Nhà Nước Và Các Cơ Quan Chức Năng -
Danh Sách Các Nhtm Việt Nam Trong Mẫu Nghiên Cứu -
Nhân Tử Phóng Đại Phương Sai Vif -
Các yếu tố tác động đến rủi ro tín dụng của các ngân hàng thương mại Việt Nam - 14
Xem toàn bộ 113 trang tài liệu này.
Corrected | ||||||
Coef. | Std. Err. | z | P>|z| | [95% Conf. | Interval] | |
nplt1 | .2123710 | .1155896 | 1.84 | 0.066 | -.0141804 | .4389225 |
llp | 2.008735 | .3260441 | 6.16 | 0.000 | 1.3697 | 2.64777 |
lev | .0013316 | .0108091 | 0.12 | 0.902 | -.0198539 | .0225171 |
size | -.0054861 | .0026941 | -2.04 | 0.042 | -.0107663 | -.0002058 |
roat1 | -.1547289 | .0651646 | -2.37 | 0.018 | -.2824492 | -.0270085 |
lg | -.0008747 | .0005261 | -1.66 | 0.096 | -.0019058 | .0001565 |
inf | .0184042 | .0151268 | 1.22 | 0.224 | -.0112437 | .0480522 |
gdp | -.3812814 | .1011913 | -3.77 | 0.000 | -.5796127 | -.1829501 |
_cons | .0690359 | .0239276 | 2.89 | 0.004 | .0221387 | .1159331 |
Instruments for first differences equation
GMM-type (missing=0, separate instruments for each period unless collapsed) L(1/9).nplt1 collapsed
Instruments for levels equation Standard
llp lev size roat1 lg inf gdp
_cons
GMM-type (missing=0, separate instruments for each period unless collapsed) D.nplt1 collapsed
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Arellano-Bond test for AR(1) in first differences: z = -1.16 Pr > z = 0.247 Arellano-Bond test for AR(2) in first differences: z = -0.02 Pr > z = 0.981
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Sargan test of overid. restrictions: chi2(9) = 7.14 Prob > chi2 = 0.623 (Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(9) = 9.11 Prob > chi2 = 0.427 (Robust, but weakened by many instruments.)
Difference-in-Hansen tests of exogeneity of instrument subsets: GMM instruments for levels
Hansen test excluding group: chi2(8) = 8.77 Prob > chi2 = 0.362 Difference (null H = exogenous): chi2(1) = 0.35 Prob > chi2 = 0.557 iv(llp lev size roat1 lg inf gdp, eq(level))
Hansen test excluding group: chi2(2) = 3.86 Prob > chi2 = 0.145 Difference (null H = exogenous): chi2(7) = 5.25 Prob > chi2 = 0.629
Phụ lục 10: Dữ liệu nghiên cứu:
Năm | NPL(t-1) | LLP | LEV | SIZE | ROA (t-1) | LG | INF | GDP | |
BID | 2007 | 8.81% | 1.42% | 0.94 | 8.31 | 0.39% | 33.80% | 12.60% | 7.13% |
BID | 2008 | 4.32% | 1.67% | 0.95 | 8.39 | 0.75% | 21.97% | 19.89% | 5.66% |
BID | 2009 | 3.16% | 1.82% | 0.94 | 8.47 | 0.80% | 28.21% | 6.52% | 5.40% |
BID | 2010 | 2.68% | 1.45% | 0.93 | 8.56 | 0.95% | 23.15% | 11.75% | 6.42% |
BID | 2011 | 2.53% | 1.44% | 0.94 | 8.61 | 1.03% | 15.64% | 18.13% | 6.24% |
BID | 2012 | 2.76% | 1.22% | 0.94 | 8.69 | 0.79% | 15.65% | 6.81% | 5.25% |
BID | 2013 | 2.70% | 1.12% | 0.94 | 8.74 | 0.61% | 15.04% | 6.04% | 5.42% |
BID | 2014 | 2.26% | 1.02% | 0.95 | 8.81 | 0.74% | 13.98% | 1.84% | 5.98% |
BID | 2015 | 2.03% | 0.88% | 0.95 | 8.93 | 0.77% | 34.27% | 0.60% | 6.68% |
BID | 2016 | 1.68% | 1.00% | 0.96 | 9.00 | 0.75% | 20.93% | 4.74% | 6.21% |
VCB | 2007 | 2.75% | 1.06% | 0.93 | 8.30 | 1.72% | 10.97% | 43.97% | 7.13% |
VCB | 2008 | 3.69% | 1.92% | 0.94 | 8.35 | 1.22% | 15.65% | 19.89% | 5.66% |
VCB | 2009 | 4.61% | 1.81% | 0.93 | 8.41 | 0.61% | 25.56% | 6.52% | 5.40% |
VCB | 2010 | 2.47% | 1.85% | 0.93 | 8.49 | 1.54% | 24.85% | 11.75% | 6.42% |
VCB | 2011 | 2.83% | 1.45% | 0.92 | 8.56 | 1.38% | 18.44% | 18.13% | 6.24% |
VCB | 2012 | 2.03% | 1.28% | 0.90 | 8.62 | 1.15% | 15.16% | 6.81% | 5.25% |
VCB | 2013 | 2.40% | 1.38% | 0.91 | 8.67 | 1.07% | 13.75% | 6.04% | 5.42% |
VCB | 2014 | 2.73% | 1.21% | 0.92 | 8.76 | 0.93% | 17.87% | 1.84% | 5.98% |
VCB | 2015 | 2.31% | 1.28% | 0.93 | 8.83 | 0.80% | 19.91% | 0.60% | 6.68% |
VCB | 2016 | 1.84% | 1.03% | 0.94 | 8.90 | 0.79% | 18.85% | 4.74% | 6.21% |
2007 | 1.41% | 1.03% | 0.94 | 8.22 | 0.44% | 7.40% | 27.50% | 7.13% | |
CTG | 2008 | 1.03% | 1.11% | 0.94 | 8.29 | 0.69% | 18.16% | 19.89% | 5.66% |
CTG | 2009 | 1.81% | 0.64% | 0.95 | 8.39 | 0.93% | 35.13% | 6.52% | 5.40% |
CTG | 2010 | 0.61% | 0.75% | 0.95 | 8.57 | 0.53% | 43.59% | 11.75% | 6.42% |
CTG | 2011 | 0.66% | 0.66% | 0.94 | 8.66 | 0.93% | 25.24% | 18.13% | 6.24% |
CTG | 2012 | 0.75% | 0.73% | 0.93 | 8.70 | 1.36% | 13.61% | 6.81% | 5.25% |
CTG | 2013 | 1.47% | 0.57% | 0.96 | 8.76 | 1.23% | 12.88% | 6.04% | 5.42% |
CTG | 2014 | 1.00% | 0.66% | 0.92 | 8.82 | 1.01% | 16.90% | 1.84% | 5.98% |
CTG | 2015 | 1.12% | 0.58% | 0.93 | 8.89 | 0.87% | 22.33% | 0.60% | 6.68% |
CTG | 2016 | 0.92% | 0.72% | 0.94 | 8.98 | 0.73% | 23.03% | 4.74% | 6.21% |
STB | 2007 | 0.72% | 0.27% | 0.89 | 7.81 | 1.90% | 145.78% | 12.60% | 7.13% |
STB | 2008 | 0.23% | 0.37% | 0.89 | 7.84 | 2.16% | -1.04% | 19.89% | 5.66% |
STB | 2009 | 0.60% | 0.50% | 0.90 | 8.02 | 1.40% | 70.41% | 6.52% | 5.40% |
STB | 2010 | 0.64% | 0.54% | 0.90 | 8.18 | 1.61% | 38.27% | 11.75% | 6.42% |
STB | 2011 | 0.54% | 0.57% | 0.90 | 8.15 | 1.25% | -2.36% | 18.13% | 6.24% |
STB | 2012 | 0.58% | 0.95% | 0.91 | 8.18 | 1.41% | 19.61% | 6.81% | 5.25% |
STB | 2013 | 2.05% | 0.82% | 0.90 | 8.20 | 0.66% | 11.95% | 6.04% | 5.42% |
STB | 2014 | 1.48% | 0.69% | 0.91 | 8.28 | 1.35% | 15.51% | 1.84% | 5.98% |
STB | 2015 | 1.19% | 0.77% | 0.92 | 8.47 | 1.21% | 47.43% | 0.60% | 6.68% |
STB | 2016 | 5.87% | 0.73% | 0.93 | 8.52 | 0.22% | 6.95% | 4.74% | 6.21% |
EIB | 2007 | 0.85% | 0.22% | 0.81 | 7.53 | 1.41% | 80.77% | 12.60% | 7.13% |
EIB | 2008 | 0.88% | 0.78% | 0.73 | 7.68 | 1.37% | 15.07% | 19.89% | 5.66% |
EIB | 2009 | 4.71% | 0.58% | 0.80 | 7.82 | 1.47% | 80.77% | 6.52% | 5.40% |
2010 | 1.83% | 0.48% | 0.90 | 8.12 | 1.73% | 62.44% | 11.75% | 6.42% | |
EIB | 2011 | 1.42% | 0.34% | 0.91 | 8.26 | 1.38% | 19.76% | 18.13% | 6.24% |
EIB | 2012 | 1.61% | 0.36% | 0.91 | 8.23 | 1.66% | 0.35% | 6.81% | 5.25% |
EIB | 2013 | 1.32% | 0.42% | 0.91 | 8.23 | 1.24% | 11.25% | 6.04% | 5.42% |
EIB | 2014 | 1.98% | 0.63% | 0.91 | 8.21 | 0.38% | 4.55% | 1.84% | 5.98% |
EIB | 2015 | 2.46% | 0.70% | 0.89 | 8.10 | 0.03% | -2.74% | 0.60% | 6.68% |
EIB | 2016 | 1.86% | 0.83% | 0.90 | 8.11 | 0.03% | 2.51% | 4.74% | 6.21% |
ACB | 2007 | 0.19% | 0.16% | 0.93 | 7.93 | 1.13% | 86.96% | 12.60% | 7.13% |
ACB | 2008 | 0.08% | 0.22% | 0.93 | 8.02 | 2.06% | 9.50% | 19.89% | 5.66% |
ACB | 2009 | 0.89% | 0.30% | 0.94 | 8.23 | 2.10% | 79.02% | 6.52% | 5.40% |
ACB | 2010 | 0.41% | 0.35% | 0.94 | 8.31 | 1.31% | 39.83% | 11.75% | 6.42% |
ACB | 2011 | 0.34% | 0.35% | 0.96 | 8.45 | 1.14% | 17.91% | 18.13% | 6.24% |
ACB | 2012 | 0.59% | 0.85% | 0.93 | 8.25 | 1.14% | 0.01% | 6.81% | 5.25% |
ACB | 2013 | 2.50% | 0.93% | 0.92 | 8.22 | 0.44% | 4.26% | 6.04% | 5.42% |
ACB | 2014 | 3.03% | 0.88% | 0.93 | 8.25 | 0.50% | 7.05% | 1.84% | 5.98% |
ACB | 2015 | 2.21% | 0.76% | 0.94 | 8.30 | 0.53% | 17.96% | 0.60% | 6.68% |
ACB | 2016 | 2.15% | 0.77% | 0.94 | 8.37 | 0.51% | 20.73% | 4.74% | 6.21% |
SHB | 2007 | 1.37% | 0.07% | 0.82 | 7.09 | 0.53% | 748.61% | 12.60% | 7.13% |
SHB | 2008 | 0.50% | 0.21% | 0.98 | 7.09 | 1.03% | 48.85% | 19.89% | 5.66% |
SHB | 2009 | 1.89% | 0.46% | 0.91 | 7.44 | 1.57% | 103.97% | 6.52% | 5.40% |
SHB | 2010 | 2.82% | 0.53% | 0.92 | 7.71 | 1.16% | 89.76% | 11.75% | 6.42% |
SHB | 2011 | 1.41% | 0.50% | 0.92 | 7.85 | 0.97% | 19.52% | 18.13% | 6.24% |
SHB | 2012 | 2.26% | 1.07% | 0.92 | 8.07 | 1.06% | 97.66% | 6.81% | 5.25% |
2013 | 8.81% | 0.83% | 0.93 | 8.16 | 1.45% | 34.37% | 6.04% | 5.42% | |
SHB | 2014 | 5.66% | 0.62% | 0.94 | 8.23 | 0.59% | 36.06% | 1.84% | 5.98% |
SHB | 2015 | 2.02% | 0.69% | 0.95 | 8.31 | 0.47% | 26.26% | 0.60% | 6.68% |
SHB | 2016 | 1.72% | 0.77% | 0.94 | 8.37 | 0.39% | 22.18% | 4.74% | 6.21% |
NCB | 2007 | 1.04% | 0.06% | 0.94 | 7.00 | 1.85% | 1131.72% | 12.60% | 7.13% |
NCB | 2008 | 0.16% | 0.20% | 0.90 | 7.04 | 0.75% | 25.46% | 19.89% | 5.66% |
NCB | 2009 | 2.91% | 0.51% | 0.94 | 7.27 | 0.52% | 81.93% | 6.52% | 5.40% |
NCB | 2010 | 2.45% | 0.53% | 0.92 | 7.71 | 0.76% | 144.74% | 11.75% | 6.42% |
NCB | 2011 | 1.40% | 0.50% | 0.92 | 7.85 | 0.97% | 19.64% | 18.13% | 6.24% |
NCB | 2012 | 2.23% | 1.01% | 0.85 | 7.33 | 1.06% | -55.81% | 6.81% | 5.25% |
NCB | 2013 | 5.64% | 0.72% | 0.89 | 7.46 | 0.01% | 4.58% | 6.04% | 5.42% |
NCB | 2014 | 6.07% | 0.53% | 0.91 | 7.57 | 0.06% | 22.04% | 1.84% | 5.98% |
NCB | 2015 | 2.55% | 0.43% | 0.93 | 7.68 | 0.02% | 24.24% | 0.60% | 6.68% |
NCB | 2016 | 2.15% | 0.42% | 0.95 | 7.84 | 0.01% | 24.08% | 4.74% | 6.21% |
MBB | 2007 | 2.78% | 0.49% | 0.88 | 7.47 | 1.61% | 93.57% | 12.60% | 7.13% |
MBB | 2008 | 1.53% | 0.56% | 0.89 | 7.65 | 1.66% | 35.55% | 19.89% | 5.66% |
MBB | 2009 | 1.83% | 0.65% | 0.89 | 7.84 | 1.59% | 87.97% | 6.52% | 5.40% |
MBB | 2010 | 1.68% | 0.67% | 0.91 | 8.04 | 2.88% | 64.92% | 11.75% | 6.42% |
MBB | 2011 | 1.26% | 0.79% | 0.93 | 8.14 | 1.56% | 21.00% | 18.13% | 6.24% |
MBB | 2012 | 0.79% | 0.75% | 0.92 | 8.24 | 1.53% | 26.14% | 6.81% | 5.25% |
MBB | 2013 | 1.84% | 0.98% | 0.91 | 8.26 | 1.31% | 17.81% | 6.04% | 5.42% |
MBB | 2014 | 24.46% | 1.23% | 0.91 | 8.30 | 1.27% | 14.62% | 1.84% | 5.98% |
MBB | 2015 | 2.73% | 0.89% | 0.90 | 8.34 | 1.25% | 20.66% | 0.60% | 6.68% |
2016 | 1.61% | 0.80% | 0.90 | 8.41 | 1.14% | 24.22% | 4.74% | 6.21% | |
ABB | 2007 | 3.10% | 0.34% | 0.86 | 7.23 | 1.87% | 506.42% | 12.60% | 7.13% |
ABB | 2008 | 1.51% | 0.60% | 0.71 | 7.13 | 0.94% | -4.65% | 19.89% | 5.66% |
ABB | 2009 | 2.07% | 0.54% | 0.83 | 7.42 | 0.37% | 97.02% | 6.52% | 5.40% |
ABB | 2010 | 2.21% | 0.56% | 0.88 | 7.58 | 1.18% | 54.29% | 11.75% | 6.42% |
ABB | 2011 | 2.36% | 0.77% | 0.89 | 7.62 | 1.26% | 0.19% | 18.13% | 6.24% |
ABB | 2012 | 2.58% | 0.90% | 0.89 | 7.66 | 0.74% | -5.82% | 6.81% | 5.25% |
ABB | 2013 | 2.84% | 1.13% | 0.90 | 7.76 | 0.87% | 26.08% | 6.04% | 5.42% |
ABB | 2014 | 6.74% | 0.70% | 0.92 | 7.83 | 0.24% | 9.82% | 1.84% | 5.98% |
ABB | 2015 | 3.97% | 0.60% | 0.91 | 7.81 | 0.17% | 19.05% | 0.60% | 6.68% |
ABB | 2016 | 2.12% | 0.79% | 0.92 | 7.87 | 0.14% | 26.83% | 4.74% | 6.21% |
SeaBank | 2007 | 0.23% | 0.18% | 0.87 | 7.42 | 0.97% | 227.81% | 12.60% | 7.13% |
SeaBank | 2008 | 0.24% | 0.35% | 0.81 | 7.35 | 1.14% | -31.29% | 19.89% | 5.66% |
SeaBank | 2009 | 2.14% | 0.53% | 0.82 | 7.49 | 1.43% | 26.89% | 6.52% | 5.40% |
SeaBank | 2010 | 1.88% | 0.59% | 0.90 | 7.74 | 1.50% | 113.09% | 11.75% | 6.42% |
SeaBank | 2011 | 2.14% | 0.32% | 0.95 | 8.00 | 1.14% | -4.25% | 18.13% | 6.24% |
SeaBank | 2012 | 2.75% | 0.62% | 0.93 | 7.88 | 0.12% | -15.00% | 6.81% | 5.25% |
SeaBank | 2013 | 2.98% | 0.63% | 0.93 | 7.90 | 0.07% | 25.36% | 6.04% | 5.42% |
SeaBank | 2014 | 2.84% | 0.62% | 0.93 | 7.90 | 0.19% | 53.22% | 1.84% | 5.98% |
SeaBank | 2015 | 2.86% | 0.43% | 0.93 | 7.93 | 0.11% | 33.49% | 0.60% | 6.68% |
SeaBank | 2016 | 1.60% | 0.53% | 0.94 | 8.01 | 0.11% | 37.81% | 4.74% | 6.21% |
VIETCAP | 2007 | 0.04% | 0.10% | 0.63 | 6.31 | 1.52% | 101.76% | 12.60% | 7.13% |
VIETCAP | 2008 | 0.44% | 0.10% | 0.69 | 6.52 | 3.16% | 23.30% | 19.89% | 5.66% |
2009 | 1.24% | 0.54% | 0.07 | 6.52 | 0.15% | 78.60% | 6.52% | 5.40% | |
VIETCAP | 2010 | 3.48% | 0.45% | 0.75 | 6.92 | 1.64% | 58.23% | 11.75% | 6.42% |
VIETCAP | 2011 | 4.07% | 0.28% | 0.81 | 7.23 | 0.69% | 19.59% | 18.13% | 6.24% |
VIETCAP | 2012 | 2.70% | 0.35% | 0.84 | 7.32 | 1.59% | 77.66% | 6.81% | 5.25% |
VIETCAP | 2013 | 1.90% | 0.54% | 0.86 | 7.36 | 1.00% | 28.93% | 6.04% | 5.42% |
VIETCAP | 2014 | 4.11% | 0.54% | 0.87 | 7.41 | 0.45% | 29.46% | 1.84% | 5.98% |
VIETCAP | 2015 | 4.25% | 0.42% | 0.89 | 7.46 | 0.63% | 22.12% | 0.60% | 6.68% |
VIETCAP | 2016 | 4.33% | 0.36% | 0.84 | 7.52 | 0.18% | 12.78% | 4.74% | 6.21% |
EAB | 2007 | 0.98% | 0.23% | 0.88 | 7.44 | 1.55% | 123.62% | 12.60% | 7.13% |
EAB | 2008 | 0.44% | 0.77% | 0.90 | 7.54 | 1.21% | 43.19% | 19.89% | 5.66% |
EAB | 2009 | 2.55% | 0.81% | 0.90 | 7.63 | 1.55% | 34.35% | 6.52% | 5.40% |
EAB | 2010 | 1.33% | 0.80% | 0.90 | 7.75 | 1.38% | 11.54% | 11.75% | 6.42% |
EAB | 2011 | 1.60% | 1.01% | 0.91 | 7.82 | 1.18% | 14.83% | 18.13% | 6.24% |
EAB | 2012 | 1.69% | 1.29% | 0.91 | 7.84 | 1.44% | 15.11% | 6.81% | 5.25% |
EAB | 2013 | 3.95% | 1.20% | 0.92 | 7.87 | 0.83% | 4.74% | 6.04% | 5.42% |
EAB | 2014 | 3.99% | 1.09% | 0.94 | 7.94 | 0.44% | -2.26% | 1.84% | 5.98% |
EAB | 2015 | 3.76% | 1.14% | 0.96 | 7.96 | 0.03% | 8.80% | 0.60% | 6.68% |
EAB | 2016 | 4.55% | 1.09% | 0.93 | 7.99 | 0.22% | -2.26% | 4.74% | 6.21% |
MSB | 2007 | 3.76% | 0.20% | 0.89 | 7.24 | 0.93% | 126.02% | 12.60% | 7.13% |
MSB | 2008 | 2.08% | 0.26% | 0.94 | 7.51 | 0.98% | 71.72% | 19.89% | 5.66% |
MSB | 2009 | 2.78% | 0.27% | 0.94 | 7.81 | 0.97% | 112.95% | 6.52% | 5.40% |
MSB | 2010 | 3.42% | 0.27% | 0.95 | 8.06 | 1.21% | 33.34% | 11.75% | 6.42% |
MSB | 2011 | 2.65% | 0.32% | 0.92 | 8.06 | 1.00% | 18.61% | 18.13% | 6.24% |