Đa dạng hóa, hiệu quả và rủi ro tại các ngân hàng thương mại Việt Nam

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roa | Coef. Std. Err. t P>|t| [95% Conf. Interval]

--------------+----------------------------------------------------------------

roa |

L1. |

.2033649	.048218	4.22	0.000	.1040581	.3026717
\| foc_loan \|	.5778051	.1874456	3.08	0.005	.1917537	.9638564
loa_loss \|	-67.16369	3.589085	-18.71	0.000	-74.55555	-59.77183
ln_asse \|	.0415264	.0071505	5.81	0.000	.0267997	.0562531
tlo_asse \|	-1.911749	.6103551	-3.13	0.004	-3.168798	-.6546988
mar_shar \|	.7305612	1.433666	0.51	0.615	-2.22213	3.683252
equ_asse \|	.6198531	.6571545	0.94	0.355	-.7335818	1.973288

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Instruments for first differences equation

GMM-type (missing=0, separate instruments for each period unless collapsed) L(1/17).(L2.foc_loan L2.loa_loss ) collapsed

------------------------------------------------------------------------------

Arellano-Bond test for AR(1) in first differences: z = -3.03 Pr > z = 0.002 Arellano-Bond test for AR(2) in first differences: z = 0.04 Pr > z = 0.968

------------------------------------------------------------------------------

Sargan test of overid. restrictions: chi2(36) = 40.05 Prob > chi2 = 0.295 (Not robust, but not weakened by many instruments.)

Dynamic panel-data estimation, two-step difference GMM

------------------------------------------------------------------------------

Group variable: bank

Number of obs	=	275
Time variable : time	Number of groups	=	25
Number of instruments = 15	Obs per group: min	=	0
F(7, 25) = 1076.22	avg	=	11.00
Prob > F = 0.000	max	=	16

-------------------------------------------------------------------------------

roa | Coef. Std. Err. t P>|t| [95% Conf. Interval]

--------------+----------------------------------------------------------------

roa |

L1. |

.2077494	.0977439	2.13	0.044	.006442	.4090568
\| foc_asse \|	.3683504	.1963213	1.88	0.072	-.035981	.7726817
loa_loss \|	-68.33226	9.73218	-7.02	0.000	-88.37606	-48.28847
ln_asse \|	.0351254	.0078287	4.49	0.000	.0190019	.051249
tlo_asse \|	-1.255925	.5345885	-2.35	0.027	-2.35693	-.1549191
mar_shar \|	-.7745449	.9972134	-0.78	0.445	-2.828344	1.279255
equ_asse \|	3.804954	2.571127	1.48	0.151	-1.49038	9.100288

-------------------------------------------------------------------------------

Instruments for first differences equation

GMM-type (missing=0, separate instruments for each period unless collapsed) L(1/17).(L2.foc_asse L2.loa_loss) collapsed

------------------------------------------------------------------------------

Arellano-Bond test for AR(1) in first differences: z = -2.73 Pr > z = 0.006 Arellano-Bond test for AR(2) in first differences: z = 0.54 Pr > z = 0.588

------------------------------------------------------------------------------

Sargan test of overid. restrictions: chi2(36) = 40. 25 Prob > chi2 = 0.288 (Not robust, but not weakened by many instruments.)

Dynamic panel-data estimation, two-step difference GMM

------------------------------------------------------------------------------

Group variable: bank

Number of obs	=	275
Time variable : time	Number of groups	=	25
Number of instruments = 20	Obs per group: min	=	0
F(7, 25) = 445.74	avg	=	11.00
Prob > F = 0.000	max	=	16

-------------------------------------------------------------------------------

roa | Coef. Std. Err. t P>|t| [95% Conf. Inter val]

--------------+----------------------------------------------------------------

roa |

L1. |

.4750993	.0459419	10.34	0.000	.3804802	.5697183
\| div_inco \|	.7861025	.1530184	5.14	0.000	.4709551	1.10125
loa_loss \|	-64.11046	5.301739	-12.09	0.000	-75.0296	-53.19133
ln_asse \|	.0305161	.0046824	6.52	0.000	.0208726	.0401596
tlo_asse \|	.1199275	.3464039	0.35	0.732	-.5935047	.8333598
mar_shar \|	2.024944	2.018179	1.00	0.325	-2.131575	6.181462
equ_asse \|	1.603012	.4939825	3.25	0.003	.5856362	2.620388

-------------------------------------------------------------------------------

Instruments for first differences equation

GMM-type (missing=0, separate instruments for each period unless collapsed) L(1/17).(L2.div_inco L2.loa_loss) collapsed

------------------------------------------------------------------------------

Arellano-Bond test for AR(1) in first differences: z = -3.79 Pr > z = 0.000 Arellano-Bond test for AR(2) in first differences: z = 0.01 Pr > z = 0.990

------------------------------------------------------------------------------

Sargan test of overid. restrictions: chi2(21) = 15.36 Prob > chi2 = 0.804 (Not robust, but not weakened by many instruments.)

Phụ lục H4: Mô hình động đo lường tác động đa dạng hóa đến kém hiệu quả hoạt động kinh doanh tại các NHTM Việt Nam: Biến Inef

Dynamic panel-data estimation, two-step difference GMM

------------------------------------------------------------------------------

Group variable: bank

Number of obs	=	240
Time variable : time	Number of groups	=	25
Number of instruments = 15	Obs per group: min	=	0
F(7, 25) = 6.23e+12	avg	=	9.60
Prob > F = 0.000	max	=	16

-------------------------------------------------------------------------------

inef | Coef. Std. Err. t P>|t| [95% Conf. Interval]

--------------+----------------------------------------------------------------

inef |


L1. \|	.9611864	1.10e-06	8.7e+05	0.000	.9611841	.9611886
\| foc_depo \|	-1.93e-06	1.05e-06	-1.83	0.079	-4.10e-06	2.43e-07
loa_loss \|	.0000107	.0000354	0.30	0.765	.0000835	.0000622
ln_asse \|	-6.45e-09	2.23e-08	-0.29	0.775	-5.25e-08	3.96e-08
tlo_asse \|	1.21e-06	3.45e-06	0.35	0.730	8.32e-06	5.91e-06
mar_shar \|	.000011	.0000113	0.97	0.339	.0000122	.0000342
equ_asse \|	-1.74e-06	8.62e-06	-0.20	0.842	-.0000195	.000016

-------------------------------------------------------------------------------

Instruments for first differences equation

GMM-type (missing=0, separate instruments for each period unless collapsed) L(1/17).(L2.foc_depo L2.inef) collapsed

------------------------------------------------------------------------------

Arellano-Bond test for AR(1) in first differences: z = -3.29 Pr > z = 0.001 Arellano-Bond test for AR(2) in first differences: z = 0.29 Pr > z = 0.769

------------------------------------------------------------------------------

Sargan test of overid. restrictions: chi2(6) = 4.90 Prob > chi2 = 0.556 (Not robust, but not weakened by many instruments.)

Dynamic panel-data estimation, two-step difference GMM

------------------------------------------------------------------------------

Group variable: bank

Number of obs	=	234
Time variable : time	Number of groups	=	25
Number of instruments = 23	Obs per group: min	=	0
F(7, 25) = 6.95e+14	avg	=	9.36
Prob > F = 0.000	max	=	15

--------------------------------------------------------------------------------

inef | Coef. Std. Err. t P>|t| [95% Conf. Interval]

---------------+----------------------------------------------------------------

inef |


L1. \|	.9611877	4.53e-07	2.1e+06	0.000	.9611868	.9611886
\| foc_loan \|	-1.13e-06	6.48e-07	-1.75	0.093	-2.47e-06	2.04e-07
loa_loss \|	.0000336	.0000205	1.64	0.114	.0000758	8.60e -06
ln_asse \|	-1.44e-08	1.31e-08	1.10	0.282	-1.26e-08	4.15e-08
tlo_asse \|	2.32e-06	1.63e-06	1.42	0.167	5.69e-06	1.04e-06
mar_shar \|	9.31e-06	3.11e-06	2.99	0.006	2.91e-06	.0000157
equ_asse \|	-2.56e-07	3.61e-06	-0.07	0.944	-7.68e-06	7.17e-06

--------------------------------------------------------------------------------

Instruments for first differences equation

GMM-type (missing=0, separate instruments for each period unless collapsed) L(1/17).(L2.foc_loan L2.inef) collapsed

------------------------------------------------------------------------------

Arellano-Bond test for AR(1) in first differences: z = -3.02 Pr > z = 0.003 Arellano-Bond test for AR(2) in first differences: z = -0.33 Pr > z = 0.742

------------------------------------------------------------------------------

Sargan test of overid. restrictions: chi2(21) = 15.45 Prob > chi2 = 0.800 (Not robust, but not weakened by many instruments.)

Dynamic panel-data estimation, two-step difference GMM

------------------------------------------------------------------------------

Group variable: bank

Number of obs	=	240
Time variable : time	Number of groups	=	25
Number of instruments = 25	Obs per group: min	=	0
F(7, 25) = 1.59e+13	avg	=	9.60
Prob > F = 0.000	max	=	16

-------------------------------------------------------------------------------

inef | Coef. Std. Err. t P>|t| [95% Conf. Interval]

--------------+----------------------------------------------------------------

inef |


L1. \|	.9611865	3.26e-07	3.0e+06	0.000	.9611858	.9611872
\| foc_asse \|	-1.21e-06	6.85e-07	-1.77	0.089	-2.62e-06	1.97e-07
loa_loss \|	.0000198	.0000164	1.20	0.240	-.0000141	.0000536
ln_asse \|	-1.51e-08	1.15e-08	-1.31	0.201	-3.88e-08	8.58e-09
tlo_asse \|	3.44e-07	1.35e-06	0.25	0.801	3.12e-06	2.44e-06
mar_shar \|	-5.84e-06	4.36e-06	-1.34	0.192	-.0000148	3.13e-06
equ_asse \|	-1.26e-06	2.99e-06	-0.42	0.678	-7.42e-06	4.91e-06

-------------------------------------------------------------------------------

Instruments for first differences equation

GMM-type (missing=0, separate instruments for each period unless collapsed) L(1/17).(L2.foc_asse L2.inef) collapsed

------------------------------------------------------------------------------

Arellano-Bond test for AR(1) in first differences: z = -3.35 Pr > z = 0.001 Arellano-Bond test for AR(2) in first differences: z = 0.06 Pr > z = 0.954

------------------------------------------------------------------------------

Sargan test of overid. restrictions: chi2(16) = 72.66 Prob > chi2 = 0.268 (Not robust, but not weakened by many instruments.)

Dynamic panel-data estimation, two-step difference GMM

------------------------------------------------------------------------------

Group variable: bank

Number of obs	=	240
Time variable : time	Number of groups	=	25
Number of instruments = 25	Obs per group: min	=	0
F(7, 25) = 7.77e+13	avg	=	9.60
Prob > F = 0.000	max	=	16

-------------------------------------------------------------------------------

inef | Coef. Std. Err. t P>|t| [95% Conf. Interval]

--------------+----------------------------------------------------------------

inef |

L1. |

.9611871	4.39e-07	2.2e+06	0.000	.9611862	.961188
\|
div_inco \|	-5.88e-07	3.17e-07	-1.85	0.076	-1.24e-06	6.51e-08
loa_loss \|	.0000154	.0000206	0.75	0.462	-.000027	.0000578
ln_asse \|	-3.18e-08	1.18e-08	-2.69	0.013	-5.62e-08	-7.45e-09
tlo_asse \|	8.82e-07	1.62e-06	0.54	0.592	-2.46e-06	4.23e-06
mar_shar \|	7.87e-06	4.22e-06	1.86	0.074	.0000166	8.23e-07
equ_asse \|	5.25e-07	2.75e-06	0.19	0.850	-5.14e-06	6.19e-06

-------------------------------------------------------------------------------

Instruments for first differences equation

GMM-type (missing=0, separate instruments for each period unless collapsed) L(1/17).(L2.div_inco L2.inef) collapsed

------------------------------------------------------------------------------

Arellano-Bond test for AR(1) in first differences: z = -3.89 Pr > z = 0.000 Arellano-Bond test for AR(2) in first differences: z = 0.11 Pr > z = 0.913

------------------------------------------------------------------------------

Sargan test of overid. restrictions: chi2(23) = 22.04 Prob > chi2 = 0.967 (Not robust, but not weakened by many instruments.)

PHỤ LỤC I: CÁC MÔ HÌNH ĐO LƯỜNG TÁC ĐỘNG ĐA DẠNG HÓA ĐẾN RỦI RO TẠI CÁC NHTM VIỆT NAM

Phụ lục I1: Mô hình tĩnh đo lường tác động đa dạng hóa đến rủi ro các NHTM Việt Nam: Biến Loa_loss

Regression with Driscoll-Kraay

standard errors	Number of	obs	=	338
Method: Pooled OLS					Number of	groups	=	25
Group variable (i): bank					F( 5,	24)	=	29.15
maximum lag: 2					Prob > F		=	0.0000
					R-squared		=	0.4184
					Root MSE		=	0.0043
-------------------------------------------------------------------------------
loa_loss	\| \|	Coef.	Drisc/Kraay Std. Err.	t	P>\|t\|	[95% Conf. Interval]
--------------+----------------------------------------------------------------
foc_depo	\|	-.0008666	.0019711	-0.44	0.664	-.0049347	.0032014
mar_shar	\|	.0397545	.004872	8.16	0.000	.0296991	.0498098
exp_asse	\|	.4378042	.0923879	4.74	0.000	.2471249	.6284836
cos_inco	\|	-.000018	.0000206	-0.88	0.390	-.0000604	.0000244
nlo_asse	\|	-.0000291	.0000123	-2.36	0.027	-.0000545	-3.64e-06
_cons	\|	.0007567	.001912	0.40	0.696	-.0031895	.0047029

-------------------------------------------------------------------------------

Regression with Driscoll-Kraay

standard errors	Number of	obs =	331
Method: Pooled OLS					Number of	groups =	25
Group variable (i): bank					F( 5,	24) =	72.72
maximum lag: 2					Prob > F	=	0.0000
					R-squared	=	0.4268
					Root MSE	=	0.0043
-------------------------------------------------------------------------------
loa_loss	\| \|	Coef.	Drisc/Kraay Std. Err.	t	P>\|t\|	[95% Conf. Interval]
--------------+----------------------------------------------------------------
foc_loan	\|	-.0009884	.0013561	-0.73	0.473	-.0037873	.0018105
mar_shar	\|	.0405504	.004438	9.14	0.000	.0313908	.0497099
exp_asse	\|	.4464673	.1018094	4.39	0.000	.236343	.6565917
cos_inco	\|	-.0000236	.0000241	-0.98	0.338	-.0000734	.0000262
nlo_asse	\|	-.0000302	.0000189	-1.60	0.123	-.0000692	8.76e-06
_cons	\|	.0011994	.0020585	0.58	0.566	-.0030492	.0054481
-------------------------------------------------------------------------------

Regression with Driscoll-Kraay

standard errors	Number of	obs	=	338
Method: Pooled OLS					Number of	groups	=	25
Group variable (i): bank					F( 5,	24)	=	26.70
maximum lag: 2					Prob > F		=	0.0000
					R-squared		=	0.4191
					Root MSE		=	0.0043
-------------------------------------------------------------------------------
loa_loss	\| \|	Coef.	Drisc/Kraay Std. Err.	t	P>\|t\|	[95% Conf. Interval]
--------------+----------------------------------------------------------------
foc_asse	\|	-.0010963	.0016209	-0.68	0.505	-.0044418	.0022491
mar_shar	\|	.0398977	.0049422	8.07	0.000	.0296975	.0500979
exp_asse	\|	.4385377	.0928123	4.72	0.000	.2469826	.6300928
cos_inco	\|	-.0000176	.0000206	-0.85	0.403	-.0000601	.000025
nlo_asse	\|	-.0000304	.0000119	-2.55	0.018	-.0000549	-5.79e-06
_cons	\|	.0009054	.0014865	0.61	0.548	-.0021626	.0039735

-------------------------------------------------------------------------------

Regression with Driscoll-Kraay

standard errors	Number of	obs	=	338
Method: Pooled OLS					Number of	groups	=	25
Group variable (i): bank					F( 5,	24)	=	31.92
maximum lag: 2					Prob > F		=	0.0000
					R-squared		=	0.4179
					Root MSE		=	0.0043
-------------------------------------------------------------------------------
loa_loss	\| \|	Coef.	Drisc/Kraay Std. Err.	t	P>\|t\|	[95% Conf. Interval]
--------------+----------------------------------------------------------------
div_inco	\|	-.0002617	.0013352	-0.20	0.846	-.0030175	.0024941
mar_shar	\|	.0396956	.0049419	8.03	0.000	.0294959	.0498952
exp_asse	\|	.4354412	.0954549	4.56	0.000	.238432	.6324503
cos_inco	\|	-.0000178	.0000238	-0.75	0.462	-.0000669	.0000313
nlo_asse	\|	-.0000308	.0000137	-2.26	0.033	-.000059	-2.64e-06
_cons	\|	.0002817	.0015042	0.19	0.853	-.0028228	.0033862
-------------------------------------------------------------------------------

Phụ lục I2: Mô hình tĩnh đo lường tác động đa dạng hóa đến rủi ro các NHTM Việt Nam: Biến Sta_inef

Regression with Driscoll-Kraay

standard errors	Number of	obs	=	278
Method: Pooled OLS					Number of	groups	=	25
Group variable (i): bank					F( 5,	24)	=	2.11
maximum lag: 2					Prob > F		=	0.0994
					R-squared		=	0.0201
					Root MSE		=	0.1608
-------------------------------------------------------------------------------
Sta_inef	\| \|	Coef.	Drisc/Kraay Std. Err.	t	P>\|t\|	[95% Conf. Interval]
--------------+----------------------------------------------------------------
foc_depo	\|	.1174471	.1310321	0.90	0.379	-.1529898	.387884
mar_shar	\|	-.0009019	.068825	-0.01	0.990	-.1429497	.1411459
exp_asse	\|	-.0894204	1.279039	-0.07	0.945	-2.729227	2.550387
cos_inco	\|	.0006572	.0015945	0.41	0.684	-.0026338	.0039481
nlo_asse	\|	-.0009731	.000415	-2.34	0.028	-.0018297	-.0001165
_cons	\|	-.045718	.1248751	-0.37	0.717	-.3034475	.2120116

-------------------------------------------------------------------------------

Regression with Driscoll-Kraay

standard errors	Number of	obs	=	275
Method: Pooled OLS					Number of	groups	=	25
Group variable (i): bank					F( 5,	24)	=	2.22
maximum lag: 2					Prob > F		=	0.0856
					R-squared		=	0.0571
					Root MSE		=	0.1585
-------------------------------------------------------------------------------
Sta_inef	\| \|	Coef.	Drisc/Kraay Std. Err.	t	P>\|t\|	[95% Conf. Interval]
--------------+----------------------------------------------------------------
foc_loan	\|	.2047798	.1215159	1.69	0.105	-.0460168	.4555763
mar_shar	\|	.0544769	.0946694	0.58	0.570	-.1409111	.249865
exp_asse	\|	-.3178973	1.048298	-0.30	0.764	-2.481477	1.845683
cos_inco	\|	.0013233	.0016469	0.80	0.430	-.0020758	.0047224
nlo_asse	\|	.0004531	.0005716	0.79	0.436	-.0007267	.0016329
_cons	\|	-.1833031	.141113	-1.30	0.206	-.4745461	.1079399
-------------------------------------------------------------------------------

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Ngày đăng: 11/07/2022