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Tác động của cạnh tranh tới sự ổn định tài chính của các ngân hàng thương mại Việt Nam - 18


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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Tác động của cạnh tranh tới sự ổn định tài chính của các ngân hàng thương mại Việt Nam - 18


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


Group variable: id

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


lerner

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

Hansen test excluding group: chi2(15)

=

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


Group variable: id

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


lerner

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

Hansen test excluding group: chi2(14)

=

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


Group variable: id

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


lnzscore

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


Group variable: id

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


lnzscore

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


Group variable: id

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


lnz

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))


Group variable: id

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


lnz

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))

Hansen test excluding group:

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


F(6, 24)

=

1242.25

avg

=

7.00

Prob > F

=

0.000

max

=

7


lnz

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))

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