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Đa dạng hóa, hiệu quả và rủi ro tại các ngân hàng thương mại Việt Nam - 28



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

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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Đa dạng hóa, hiệu quả và rủi ro tại các ngân hàng thương mại Việt Nam - 28

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


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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