PHỤ LỤC 3: Ma trận hệ số tương quan
zscore | banksize | eqta | ltd | llp | loanta | cir | roe | gdp | inf | lerner | own | crisis | |
zscore | 1.0000 | ||||||||||||
banksize | -0.2659 | 1.0000 | |||||||||||
eqta | 0.3435 | -0.6333 | 1.0000 | ||||||||||
ltd | 0.4107 | -0.2796 | 0.1407 | 1.0000 | |||||||||
llp | 0.0103 | 0.0782 | -0.0435 | -0.0304 | 1.0000 | ||||||||
loanta | 0.2298 | 0.1380 | -0.1442 | 0.4789 | 0.0254 | 1.0000 | |||||||
cir | -0.1197 | 0.0653 | -0.2918 | -0.2771 | 0.0320 | -0.0446 | 1.0000 | ||||||
roe | -0.0151 | 0.2982 | -0.1733 | 0.1787 | -0.0029 | 0.1851 | -0.6400 | 1.0000 | |||||
gdp | -0.1419 | 0.1884 | -0.1417 | -0.0528 | 0.0837 | 0.0309 | 0.0205 | -0.0321 | 1.0000 | ||||
inf | 0.2151 | -0.3193 | 0.2308 | 0.2177 | -0.0916 | -0.1263 | -0.1737 | 0.0773 | -0.2286 | 1.0000 | |||
lerner | 0.2213 | -0.5132 | 0.5292 | 0.3601 | -0.0887 | -0.0324 | -0.8412 | 0.3823 | -0.1033 | 0.2953 | 1.0000 | ||
own | -0.2320 | 0.4664 | -0.2206 | -0.1299 | -0.0443 | 0.0798 | -0.1273 | 0.1829 | 0.0477 | -0.1814 | -0.0447 | 1.0000 | |
crisis | 0.1676 | -0.2766 | 0.1855 | 0.2004 | -0.0538 | -0.0492 | -0.2595 | 0.1459 | 0.1385 | 0.5375 | 0.3908 | -0.1877 | 1.0000 |
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Kết Quả Và Những Đóng Góp Chính Của Nghiên Cứu -
Danh Sách 24 Nhtmcp Tác Giả Phân Tích Và Đánh Giá -
Tính Toán Năng Lực Cạnh Tranh Và Sự Ổn Định Tài Chính Của Ngân Hàng Thương Mại Việt Nam Lerner Của Các Nhtm Việt Nam Năm 2008-2016 -
Tác động của cạnh tranh tới sự ổn định tài chính của các ngân hàng thương mại Việt Nam - 19
Xem toàn bộ 156 trang tài liệu này.
PHỤ LỤC 4: Kết quả ước lượng mô hình
. xtabond2 lerner l.lerner eqta loanta roe cir banksize gdp inf, gmm(l.(l.lerner gdp eqta), collapse) iv(roe cir b
> anksize inf) sm two
Favoring speed over space. To switch, type or click on mata: mata set matafavor space, 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
Number of obs = | 192 | |
Time variable : nam | Number of groups = | 24 |
Number of instruments = 26 | Obs per group: min = | 8 |
F(8, 23) = 42895.14 | avg = | 8.00 |
Prob > F = 0.000 | max = | 8 |
Coef. | Std. Err. | t | P>|t| | [95% Conf. | Interval] | |
lerner | ||||||
L1. | .1449159 | .0136909 | 10.58 | 0.000 | .116594 | .1732378 |
eqta | -.0975748 | .0250269 | -3.90 | 0.001 | -.1493469 | -.0458027 |
loanta | -.0379628 | .0105643 | -3.59 | 0.002 | -.0598168 | -.0161089 |
roe | .0285822 | .0072571 | 3.94 | 0.001 | .0135696 | .0435947 |
cir | -.8494106 | .0133517 | -63.62 | 0.000 | -.8770306 | -.8217905 |
banksize | -.0288231 | .0018059 | -15.96 | 0.000 | -.032559 | -.0250872 |
gdp | -.4447003 | .1856143 | -2.40 | 0.025 | -.8286726 | -.0607279 |
inf | -.1634348 | .0128169 | -12.75 | 0.000 | -.1899485 | -.1369212 |
_cons | 1.593844 | .0287235 | 55.49 | 0.000 | 1.534425 | 1.653263 |
Warning: Uncorrected two-step standard errors are unreliable.
Instruments for first differences equation Standard
D.(roe cir banksize inf)
GMM-type (missing=0, separate instruments for each period unless collapsed) L(1/8).(L2.lerner L.gdp L.eqta) collapsed
Instruments for levels equation Standard
roe cir banksize inf
_cons
GMM-type (missing=0, separate instruments for each period unless collapsed) D.(L2.lerner L.gdp L.eqta) collapsed
Arellano-Bond test for AR(1) in first differences: z = -2.72 Pr > z = 0.007 Arellano-Bond test for AR(2) in first differences: z = 0.65 Pr > z = 0.517
Sargan test of overid. restrictions: chi2(17) = 75.96 Prob > chi2 = 0.000 (Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(17) = 19.98 Prob > chi2 = 0.275 (Robust, but weakened by many instruments.)
Difference-in-Hansen tests of exogeneity of instrument subsets: GMM instruments for levels
= | 20.23 | Prob > chi2 = | 0.163 | |
Difference (null H = exogenous): chi2(2) | = | -0.25 | Prob > chi2 = | 1.000 |
iv(roe cir banksize inf) | ||||
Hansen test excluding group: chi2(13) | = | 19.34 | Prob > chi2 = | 0.113 |
Difference (null H = exogenous): chi2(4) | = | 0.64 | Prob > chi2 = | 0.958 |
.
. xtabond2 lerner l.lerner eqta loanta roe cir banksize gdp inf khunghoang, gmm(l.(l.lerner gdp eqta), collapse) i
> v(roe cir banksize inf) sm two
Favoring speed over space. To switch, type or click on mata: mata set matafavor space, 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
Number of obs = | 192 | |
Time variable : nam | Number of groups = | 24 |
Number of instruments = 26 | Obs per group: min = | 8 |
F(9, 23) = 19130.99 | avg = | 8.00 |
Prob > F = 0.000 | max = | 8 |
Coef. | Std. Err. | t | P>|t| | [95% Conf. | Interval] | |
lerner | ||||||
L1. | .0874026 | .0115927 | 7.54 | 0.000 | .0634213 | .1113839 |
eqta | .0326133 | .0351409 | 0.93 | 0.363 | -.0400813 | .1053078 |
loanta | -.0612704 | .0094837 | -6.46 | 0.000 | -.0808889 | -.0416519 |
roe | .0323262 | .0081652 | 3.96 | 0.001 | .0154353 | .0492172 |
cir | -.8245554 | .0173864 | -47.43 | 0.000 | -.8605218 | -.788589 |
banksize | -.0239086 | .0020128 | -11.88 | 0.000 | -.0280724 | -.0197447 |
gdp | .4085908 | .1318028 | 3.10 | 0.005 | .1359359 | .6812458 |
inf | -.1274238 | .0153797 | -8.29 | 0.000 | -.1592392 | -.0956085 |
khunghoang | .0214603 | .0021338 | 10.06 | 0.000 | .0170462 | .0258744 |
_cons | 1.44121 | .0390795 | 36.88 | 0.000 | 1.360368 | 1.522052 |
Warning: Uncorrected two-step standard errors are unreliable.
Instruments for first differences equation Standard
D.(roe cir banksize inf)
GMM-type (missing=0, separate instruments for each period unless collapsed) L(1/8).(L2.lerner L.gdp L.eqta) collapsed
Instruments for levels equation Standard
roe cir banksize inf
_cons
GMM-type (missing=0, separate instruments for each period unless collapsed) D.(L2.lerner L.gdp L.eqta) collapsed
Arellano-Bond test for AR(1) in first differences: z = -2.97 Pr > z = 0.003 Arellano-Bond test for AR(2) in first differences: z = -1.02 Pr > z = 0.306
Sargan test of overid. restrictions: chi2(16) = 50.89 Prob > chi2 = 0.000 (Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(16) = 18.41 Prob > chi2 = 0.300 (Robust, but weakened by many instruments.)
Difference-in-Hansen tests of exogeneity of instrument subsets: GMM instruments for levels
= | 17.80 | Prob > chi2 = | 0.216 | |
Difference (null H = exogenous): chi2(2) | = | 0.61 | Prob > chi2 = | 0.736 |
iv(roe cir banksize inf) | ||||
Hansen test excluding group: chi2(12) | = | 17.76 | Prob > chi2 = | 0.123 |
Difference (null H = exogenous): chi2(4) | = | 0.65 | Prob > chi2 = | 0.957 |
.
> e) iv(roe ltd banksize gdp) sm two
Favoring speed over space. To switch, type or click on mata: mata set matafavor space, 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
Number of obs = | 192 | |
Time variable : nam | Number of groups = | 24 |
Number of instruments = 26 | Obs per group: min = | 8 |
F(10, 23) = 4448.59 | avg = | 8.00 |
Prob > F = 0.000 | max = | 8 |
Coef. | Std. Err. | t | P>|t| | [95% Conf. | Interval] | |
lnzscore | ||||||
L1. | .6515766 | .0359032 | 18.15 | 0.000 | .5773051 | .7258481 |
eqta | 1.740693 | .1162671 | 14.97 | 0.000 | 1.500176 | 1.981209 |
loanta | 1.329493 | .1597641 | 8.32 | 0.000 | .9989954 | 1.65999 |
cir | 1.346955 | .2923115 | 4.61 | 0.000 | .7422629 | 1.951648 |
roe | 1.758227 | .0927538 | 18.96 | 0.000 | 1.566351 | 1.950103 |
ltd | -.0996386 | .0832464 | -1.20 | 0.244 | -.2718468 | .0725696 |
llp | .4442481 | .3118853 | 1.42 | 0.168 | -.2009358 | 1.089432 |
banksize | -.0413911 | .0183854 | -2.25 | 0.034 | -.0794243 | -.0033579 |
gdp | -5.377824 | 1.09461 | -4.91 | 0.000 | -7.642197 | -3.113451 |
inf | 1.254079 | .1831367 | 6.85 | 0.000 | .8752314 | 1.632926 |
_cons | -.1241131 | .4854552 | -0.26 | 0.800 | -1.128354 | .8801275 |
Warning: Uncorrected two-step standard errors are unreliable.
Instruments for first differences equation Standard
D.(roe ltd banksize gdp)
GMM-type (missing=0, separate instruments for each period unless collapsed) L(1/8).(L2.lnzscore L.eqta L.inf) collapsed
Instruments for levels equation Standard
roe ltd banksize gdp
_cons
GMM-type (missing=0, separate instruments for each period unless collapsed) D.(L2.lnzscore L.eqta L.inf) collapsed
Arellano-Bond test for AR(1) in first differences: z = -1.95 Pr > z = 0.051 Arellano-Bond test for AR(2) in first differences: z = 0.16 Pr > z = 0.874
Sargan test of overid. restrictions: chi2(15) = 106.77 Prob > chi2 = 0.000 (Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(15) = 15.37 Prob > chi2 = 0.425 (Robust, but weakened by many instruments.)
Difference-in-Hansen tests of exogeneity of instrument subsets:
Hansen test excluding group: chi2(13) | = | 14.72 | Prob > chi2 = | 0.325 |
Difference (null H = exogenous): chi2(2) | = | 0.65 | Prob > chi2 = | 0.723 |
Hansen test excluding group: chi2(12) | = | 13.03 | Prob > chi2 = | 0.367 |
Difference (null H = exogenous): chi2(3) | = | 2.34 | Prob > chi2 = | 0.505 |
GMM instruments for levels
iv(roe ltd banksize gdp)
more
> collapse) iv(roe ltd banksize inf) sm two
Favoring speed over space. To switch, type or click on mata: mata set matafavor space, 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
Number of obs = | 192 | |
Time variable : nam | Number of groups = | 24 |
Number of instruments = 26 | Obs per group: min = | 8 |
F(11, 23) = 5631.66 | avg = | 8.00 |
Prob > F = 0.000 | max = | 8 |
Coef. | Std. Err. | t | P>|t| | [95% Conf. | Interval] | |
lnzscore | ||||||
L1. | .7040903 | .039972 | 17.61 | 0.000 | .6214019 | .7867786 |
eqta | .9672254 | .1473595 | 6.56 | 0.000 | .6623889 | 1.272062 |
loanta | 1.198443 | .1487049 | 8.06 | 0.000 | .8908232 | 1.506062 |
cir | 1.04501 | .2345064 | 4.46 | 0.000 | .5598963 | 1.530123 |
roe | 1.632461 | .076357 | 21.38 | 0.000 | 1.474504 | 1.790417 |
ltd | -.0592591 | .0724325 | -0.82 | 0.422 | -.209097 | .0905789 |
llp | .4440919 | .2805354 | 1.58 | 0.127 | -.1362398 | 1.024424 |
banksize | -.0479003 | .0188805 | -2.54 | 0.018 | -.0869577 | -.008843 |
gdp | -6.999121 | .7343918 | -9.53 | 0.000 | -8.518326 | -5.479915 |
inf | 1.035007 | .1929817 | 5.36 | 0.000 | .6357939 | 1.43422 |
crisis | -.0470932 | .0296829 | -1.59 | 0.126 | -.108497 | .0143106 |
_cons | .3388179 | .4403732 | 0.77 | 0.449 | -.5721634 | 1.249799 |
Warning: Uncorrected two-step standard errors are unreliable.
Instruments for first differences equation Standard
D.(roe ltd banksize inf)
GMM-type (missing=0, separate instruments for each period unless collapsed) L(1/8).(L2.lnzscore L.eqta L.gdp) collapsed
Instruments for levels equation Standard
roe ltd banksize inf
_cons
GMM-type (missing=0, separate instruments for each period unless collapsed) D.(L2.lnzscore L.eqta L.gdp) collapsed
Arellano-Bond test for AR(1) in first differences: z = -1.65 Pr > z = 0.099 Arellano-Bond test for AR(2) in first differences: z = -0.49 Pr > z = 0.628
Sargan test of overid. restrictions: chi2(14) = 106.97 Prob > chi2 = 0.000 (Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(14) = 12.66 Prob > chi2 = 0.553 (Robust, but weakened by many instruments.)
Difference-in-Hansen tests of exogeneity of instrument subsets:
Hansen test excluding group: chi2(12) | = | 14.24 | Prob > chi2 = | 0.285 |
Difference (null H = exogenous): chi2(2) | = | -1.58 | Prob > chi2 = | 1.000 |
Hansen test excluding group: chi2(10) | = | 13.40 | Prob > chi2 = | 0.202 |
Difference (null H = exogenous): chi2(4) | = | -0.74 | Prob > chi2 = | 1.000 |
GMM instruments for levels
iv(roe ltd banksize inf)
more
Number of obs | = | 168 | |
Time variable : nam | Number of groups | = | 24 |
Number of instruments = 22 | Obs per group: min | = | 7 |
F(6, 24) = 255.96 | avg | = | 7.00 |
Prob > F = 0.000 | max | = | 7 |
Coef. | Std. Err. | t | P>|t| | [95% Conf. | Interval] | |
lnz | ||||||
L1. | -.0899887 | .0710879 | -1.27 | 0.218 | -.236707 | .0567295 |
lerner | 4.457077 | .6877205 | 6.48 | 0.000 | 3.037692 | 5.876463 |
lerner2 | -5.021643 | 1.062915 | -4.72 | 0.000 | -7.215391 | -2.827894 |
banksize | -.2869942 | .0236706 | -12.12 | 0.000 | -.335848 | -.2381404 |
loanta | -.1392289 | .0571403 | -2.44 | 0.023 | -.2571607 | -.0212971 |
own | .260141 | .0935992 | 2.78 | 0.010 | .0669617 | .4533203 |
Warning: Uncorrected two-step standard errors are unreliable.
Instruments for first differences equation Standard
D.(lerner2 banksize loanta)
GMM-type (missing=0, separate instruments for each period unless collapsed) L2.L.lnz
L(2/3).lerner
Arellano-Bond test for AR(1) in first differences: z = 2.10 Pr > z = 0.036 Arellano-Bond test for AR(2) in first differences: z = 0.09 Pr > z = 0.932
Sargan test of overid. restrictions: chi2(16) = 24.43 Prob > chi2 = 0.081 (Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(16) = 20.50 Prob > chi2 = 0.198 (Robust, but weakened by many instruments.)
Hansen test excluding group: | chi2(3) | = | 0.08 | Prob | > | chi2 | = | 0.994 |
Difference (null H = exogenous): | chi2(13) | = | 20.42 | Prob | > | chi2 | = | 0.085 |
Hansen test excluding group: | chi2(10) | = | 14.27 | Prob | > | chi2 | = | 0.161 |
Difference (null H = exogenous): | chi2(6) | = | 6.23 | Prob | > | chi2 | = | 0.398 |
iv(lerner2 banksize loanta) | ||||||||
Hansen test excluding group: | chi2(13) | = | 18.48 | Prob | > | chi2 | = | 0.140 |
Difference (null H = exogenous): | chi2(3) | = | 2.02 | Prob | > | chi2 | = | 0.568 |
Difference-in-Hansen tests of exogeneity of instrument subsets: gmm(lerner, lag(2 3))
gmm(L.lnz, lag(2 2))
Number of obs | = | 168 | |
Time variable : nam | Number of groups | = | 24 |
Number of instruments = 23 | Obs per group: min | = | 7 |
F(7, 24) = 3614.63 | avg | = | 7.00 |
Prob > F = 0.000 | max | = | 7 |
Coef. | Std. Err. | t | P>|t| | [95% Conf. | Interval] | |
lnz | ||||||
L1. | .0528002 | .0414951 | 1.27 | 0.215 | -.0328415 | .1384419 |
lerner | 3.689246 | .647726 | 5.70 | 0.000 | 2.352405 | 5.026086 |
lerner2 | -4.886169 | 1.122592 | -4.35 | 0.000 | -7.203085 | -2.569252 |
banksize | -.2706271 | .0224003 | -12.08 | 0.000 | -.3168591 | -.2243952 |
loanta | -.1176764 | .1386021 | -0.85 | 0.404 | -.4037372 | .1683843 |
own | .0189007 | .0431874 | 0.44 | 0.666 | -.0702338 | .1080352 |
crisis | -.0347856 | .0076611 | -4.54 | 0.000 | -.0505973 | -.0189739 |
Warning: Uncorrected two-step standard errors are unreliable.
Instruments for first differences equation Standard
D.(own banksize loanta crisis)
GMM-type (missing=0, separate instruments for each period unless collapsed) L2.L.lnz
L(2/3).lerner
Arellano-Bond test for AR(1) in first differences: z = 2.05 Pr > z = 0.041 Arellano-Bond test for AR(2) in first differences: z = -0.80 Pr > z = 0.424
Sargan test of overid. restrictions: chi2(16) = 27.85 Prob > chi2 = 0.033 (Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(16) = 22.02 Prob > chi2 = 0.143 (Robust, but weakened by many instruments.)
Difference-in-Hansen tests of exogeneity of instrument subsets: gmm(lerner, lag(2 3))
chi2(3) | = | 1.94 | Prob | > | chi2 | = | 0.584 | |
Difference (null H = exogenous): | chi2(13) | = | 20.07 | Prob | > | chi2 | = | 0.093 |
gmm(L.lnz, lag(2 2)) | ||||||||
Hansen test excluding group: | chi2(10) | = | 18.31 | Prob | > | chi2 | = | 0.050 |
Difference (null H = exogenous): | chi2(6) | = | 3.71 | Prob | > | chi2 | = | 0.716 |
iv(own banksize loanta crisis) | ||||||||
Hansen test excluding group: | chi2(12) | = | 18.86 | Prob | > | chi2 | = | 0.092 |
Difference (null H = exogenous): | chi2(4) | = | 3.16 | Prob | > | chi2 | = | 0.531 |
= | 1242.25 | avg | = | 7.00 | |
Prob > F | = | 0.000 | max | = | 7 |
Coef. | Std. Err. | t | P>|t| | [95% Conf. | Interval] | |
lnz | ||||||
L1. | -.0646517 | .0466301 | -1.39 | 0.178 | -.1608915 | .0315881 |
lerner | .7913438 | .3993427 | 1.98 | 0.059 | -.032859 | 1.615547 |
banksize | -.3041946 | .0278817 | -10.91 | 0.000 | -.3617397 | -.2466496 |
loanta | -.1538239 | .1452247 | -1.06 | 0.300 | -.4535529 | .145905 |
own | .0627214 | .0527673 | 1.19 | 0.246 | -.046185 | .1716278 |
lernerxcrisis | -.0677002 | .0275785 | -2.45 | 0.022 | -.1246195 | -.0107809 |
Warning: Uncorrected two-step standard errors are unreliable.
Instruments for first differences equation Standard
D.(own banksize loanta)
GMM-type (missing=0, separate instruments for each period unless collapsed) L2.L.lnz
L(2/3).lerner
Arellano-Bond test for AR(1) in first differences: z = 2.78 Pr > z = 0.005 Arellano-Bond test for AR(2) in first differences: z = -0.80 Pr > z = 0.424
Sargan test of overid. restrictions: chi2(16) = 26.49 Prob > chi2 = 0.048 (Not robust, but not weakened by many instruments.)
Hansen test of overid. restrictions: chi2(16) = 21.02 Prob > chi2 = 0.178 (Robust, but weakened by many instruments.)
Hansen test excluding group: | chi2(3) | = | 7.20 | Prob | > | chi2 | = | 0.066 |
Difference (null H = exogenous): | chi2(13) | = | 13.82 | Prob | > | chi2 | = | 0.387 |
Hansen test excluding group: | chi2(10) | = | 14.97 | Prob | > | chi2 | = | 0.133 |
Difference (null H = exogenous): | chi2(6) | = | 6.04 | Prob | > | chi2 | = | 0.418 |
iv(own banksize loanta) | ||||||||
Hansen test excluding group: | chi2(13) | = | 20.00 | Prob | > | chi2 | = | 0.095 |
Difference (null H = exogenous): | chi2(3) | = | 1.01 | Prob | > | chi2 | = | 0.798 |
Difference-in-Hansen tests of exogeneity of instrument subsets: gmm(lerner, lag(2 3))
gmm(L.lnz, lag(2 2))