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Tác động của rủi ro thanh khoản đến hiệu quả hoạt động kinh doanh ngân hàng nghiên cứu trường hợp các Quốc gia Đông Nam Á - 26



eta |

-1.359252

-.7305919

-.6286601

.6156796

llp |

.7289909

.7866095

-.0576187

.1165588

gdp |

.2947037

1.184992

-.8902885

.365236

infl |

.2073965

.1536234

.053773

.0233716

m2 |

-.0000909

-.0002328

.0001419

.0000926

d_cris |

-2.205937

-1.636634

-.5693036

.496531

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Tác động của rủi ro thanh khoản đến hiệu quả hoạt động kinh doanh ngân hàng nghiên cứu trường hợp các Quốc gia Đông Nam Á - 26

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

b = consistent under Ho and Ha; obtained from xtreg B = inconsistent under Ha, efficient under Ho; obtained from xtreg

Test: Ho: difference in coefficients not systematic chi2(11) = (b-B)'[(V_b-V_B)^(-1)](b-B)

= 13.92

Prob>chi2 = 0.2374

(V_b-V_B is not positive definite)


.

. xtabond roe fgap nlst nlta lia llr lads size size2 eta llp gdp infl m2 d_cris,twostep note: fgap dropped from div() because of collinearity

note: fgap dropped because of collinearity


Number of obs

=

130

Number of groups

=

24

Obs per group:

min =

1


avg =

5.416667


max =

10

Wald chi2(14)

=

955.46

Prob > chi2

=

0.0000

Arellano-Bond dynamic panel-data estimation Group variable: donvi

Time variable: year

Number of instruments = 72


Two-step results

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

roe | Coef. Std. Err. z P>|z| [95% Conf. Interval]

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

roe

|


L1.

|

.3617753

.1532079

2.36

0.018

.0614933

.6620573


|







nlst

|

.1813828

.0830921

2.18

0.029

.0185252

.3442404

nlta

|

.0741174

.0539163

1.37

0.169

-.0315566

.1797914

lia

|

-.4462176

.1509575

-2.96

0.003

-.7420888

-.1503464

llr

|

-.1352479

.0287517

-4.70

0.000

-.1916001

-.0788957

lads

|

.3531372

.8265227

0.43

0.669

-1.266817

1.973092

size

|

-84.07204

45.42891

-1.85

0.064

-173.1111

4.966992

size2

|

-54.91203

35.46578

-1.55

0.122

-124.4237

14.59963

eta

|

-2.936372

1.618607

-1.81

0.070

-6.108784

.2360404

llp

|

.8758312

.2559605

3.42

0.001

.3741578

1.377505

gdp

|

.6439101

.7330851

0.88

0.380

-.7929104

2.080731

infl

|

.1222572

.0605955

2.02

0.044

.0034923

.2410221

m2

|

-.0001368

.0002645

-0.52

0.605

-.0006553

.0003817

d_cris

|

-2.566756

1.31293

-1.95

0.051

-5.140051

.0065392

_cons

|

-9.460171

5.760187

-1.64

0.101

-20.74993

1.829588

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

Warning: gmm two-step standard errors are biased; robust standard errors are recommended.

Instruments for differenced equation GMM-type: L(2/.).roe

Standard: D.nlst D.nlta D.lia D.llr D.lads D.size D.size2 D.eta D.llp D.gdp D.infl D.m2 D.d_cris Instruments for level equation

Standard: _cons


.

. estat sargan

Sargan test of overidentifying restrictions

H0: overidentifying restrictions are valid


chi2(57) = 11.0932

Prob > chi2 = 1.0000


.

. estat abond


Arellano-Bond test for zero autocorrelation in first-differenced errors

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

|Order | z Prob > z|

|------+----------------|

| 1 |-1.9475 0.0515 |

| 2 |-1.5705 0.1163 |

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

H0: no autocorrelation


.

. est sto GMM55


.

. esttab P55 F55 R55 GMM55,r2 star(* 0.1 ** 0.05 *** 0.01) brackets nogap


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

(1)

(2)

(3)

(4)

roe

roe

roe

roe

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

L.roe


fgap

0.562*** [9.72]

.

.

0.461*** [6.33]

.

.

0.562*** [9.72]

-26.98***

[-2.68]

0.362** [2.36]

nlst

0.0851

0.0622

0.0851

0.181**


[1.19]

[0.65]

[1.19]

[2.18]

nlta

0.148

0.192

0.418***

0.0741


[1.36]

[1.33]

[3.19]

[1.37]

lia

-0.270***

-0.308*

.

-0.446***


[-2.68]

[-1.94]

.

[-2.96]

llr

-0.121***

-0.113***

-0.121***

-0.135***


[-9.66]

[-6.12]

[-9.66]

[-4.70]

lads

0.599*

0.121

0.599*

0.353


[1.88]

[0.22]

[1.88]

[0.43]

size

-74.71***

-84.62***

-74.71***

-84.07*


[-4.99]

[-4.27]

[-4.99]

[-1.85]

size2

-48.84*

-15.81

-48.84*

-54.91


[-1.88]

[-0.40]

[-1.88]

[-1.55]

eta

-0.731

-1.359

-0.731

-2.936*


[-1.25]

[-1.60]

[-1.25]

[-1.81]

llp

0.787***

0.729***

0.787***

0.876***


[7.42]

[4.63]

[7.42]

[3.42]

gdp

1.185

0.295

1.185*

0.644


[1.65]

[0.37]

[1.65]

[0.88]

infl

0.154**

0.207***

0.154**

0.122**


[2.26]

[2.89]

[2.26]

[2.02]

m2

-0.000233

-0.0000909

-0.000233

-0.000137


[-0.84]

[-0.31]

[-0.84]

[-0.52]

d_cris

-1.637

-2.206*

-1.637

-2.567*


[-1.44]

[-1.78]

[-1.44]

[-1.95]

d_deve

.

.

.



.

.

.


_cons

-18.83***

-8.515

-45.82***

-9.460


[-2.83]

[-0.93]

[-4.32]

[-1.64]

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

N

157

157

157

130

R-sq

0.774

0.670



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

t statistics in brackets

* p<0.1, ** p<0.05, *** p<0.01


.

.

.

. *nim


.

. reg nim l.nim fgap nlst nlta lia llr lads size eta llp gdp infl m2 d_cris d_deve note: fgap omitted because of collinearity

note: d_deve omitted because of collinearity


Source | SS df MS

Number of obs =

157

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

F( 13, 143) =

19.07

Model | 134.549892 13 10.3499917

Prob > F =

0.0000

Residual | 77.6161502 143 .542770281

R-squared =

0.6342

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

Adj R-squared =

0.6009

Total | 212.166042 156 1.36003873

Root MSE =

.73673


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

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

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

nim

|


L1.

|

.7146162

.0673768

10.61

0.000

.581433

.8477993


|







fgap

|

0

(omitted)





nlst

|

.0055084

.0116048

0.47

0.636

-.0174306

.0284475

nlta

|

.0023318

.0168197

0.14

0.890

-.0309156

.0355791

lia

|

.0326788

.0164213

1.99

0.048

.000219

.0651386

llr

|

.001191

.001686

0.71

0.481

-.0021417

.0045238

lads

|

.0925032

.0520177

1.78

0.077

-.0103198

.1953262

size

|

1.997726

2.357967

0.85

0.398

-2.66325

6.658702

eta

|

.1352516

.0929154

1.46

0.148

-.0484135

.3189167

llp

|

-.0124462

.0137036

-0.91

0.365

-.039534

.0146415

gdp

|

-.157214

.1143195

-1.38

0.171

-.3831885

.0687606

infl

|

-.0098002

.0109152

-0.90

0.371

-.0313762

.0117759

m2

|

-.0001018

.0000453

-2.25

0.026

-.0001914

-.0000122

d_cris

|

.0187786

.1849689

0.10

0.919

-.3468479

.3844052

d_deve

|

0

(omitted)





_cons

|

.8281528

.9763508

0.85

0.398

-1.101792

2.758098

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


.

. vif


Variable | VIF 1/VIF

-------------+---------------------- llp | 108.07 0.009253

llr |

35.70

0.028010

size |

23.98

0.041709


nlta

|

19.66

0.050865

nlst

|

16.13

0.062004

d_cris

|

2.05

0.487795

m2

|

1.89

0.530342

lia

|

1.55

0.643638

lads

|

1.52

0.659031

infl

|

1.42

0.704764

nim

|



L1.

|

1.40

0.715952

eta

|

1.36

0.735432

gdp

|

1.31

0.764128

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

Mean VIF | 16.62


.

. reg nim l.nim fgap nlst nlta lia llr lads size size2 eta llp gdp infl m2 d_cris d_deve note: fgap omitted because of collinearity

note: d_deve omitted because of collinearity


Source | SS df MS

Number of obs =

157

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

F( 14, 142) =

17.58

Model | 134.549902 14 9.6107073

Prob > F =

0.0000

Residual | 77.6161402 142 .546592537

R-squared =

0.6342

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

Adj R-squared =

0.5981

Total | 212.166042 156 1.36003873

Root MSE =

.73932


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

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

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

nim

|


L1.

|

.7146075

.067644

10.56

0.000

.5808881

.8483268


|







fgap

|

0

(omitted)





nlst

|

.0055133

.0117015

0.47

0.638

-.0176183

.028645

nlta

|

.0023045

.0180392

0.13

0.899

-.0333556

.0379646

lia

|

.0326796

.01648

1.98

0.049

.0001018

.0652574

llr

|

.0011956

.0019985

0.60

0.551

-.002755

.0051462

lads

|

.092511

.0522323

1.77

0.079

-.0107423

.1957644

size

|

1.994871

2.458237

0.81

0.418

-2.8646

6.854341

size2

|

.0176429

4.116084

0.00

0.997

-8.119077

8.154363

eta

|

.135284

.0935477

1.45

0.150

-.0496421

.3202101

llp

|

-.012489

.0169888

-0.74

0.463

-.0460727

.0210946

gdp

|

-.1571819

.1149658

-1.37

0.174

-.3844475

.0700838

infl

|

-.0097927

.0110918

-0.88

0.379

-.0317191

.0121337

m2

|

-.0001018

.0000455

-2.23

0.027

-.0001918

-.0000117

d_cris

|

.0188132

.1857939

0.10

0.919

-.3484662

.3860926

d_deve

|

0

(omitted)





_cons

|

.830004

1.070749

0.78

0.440

-1.286664

2.946672

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


.

. est sto P66


.

. imtest, white


White's test for Ho: homoskedasticity

against Ha: unrestricted heteroskedasticity


chi2(115) = 125.04

Prob > chi2 = 0.2459


Cameron & Trivedi's decomposition of IM-test


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

Source | chi2 df p

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

Heteroskedasticity | 125.04 115 0.2459

Skewness |

9.54 14

0.7948

Kurtosis |

2.66 1

0.1027

---------------------+----------------------------- Total | 137.25 130 0.3147

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


.

. xtreg nim l.nim fgap nlst nlta lia llr lads size size2 eta llp gdp infl m2 d_cris d_deve,fe note: fgap omitted because of collinearity

note: d_deve omitted because of collinearity


Fixed-effects (within) regression

Number of obs

=

157

Group variable: donvi

Number of groups

=

25

R-sq: within = 0.4271

Obs per group: min =

1

between = 0.6595

avg =

6.3

overall = 0.5379

max =

11


F(14,118)

=

6.28

corr(u_i, Xb) = -0.2714

Prob > F

=

0.0000


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

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

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

nim

|


L1.

|

.4741567

.0876272

5.41

0.000

.300631

.6476824


|







fgap

|

0

(omitted)





nlst

|

.0090947

.0149947

0.61

0.545

-.0205989

.0387883

nlta

|

.0267038

.0231557

1.15

0.251

-.0191509

.0725584

lia

|

.048391

.0255882

1.89

0.061

-.0022806

.0990626

llr

|

.0026825

.0027697

0.97

0.335

-.0028022

.0081673

lads

|

.0134569

.0839654

0.16

0.873

-.1528175

.1797313

size

|

3.452345

3.095244

1.12

0.267

-2.677081

9.58177

size2

|

-.0206942

5.76869

-0.00

0.997

-11.44427

11.40288

eta

|

.2030523

.1309546

1.55

0.124

-.0562734

.4623781

llp

|

-.0180397

.0235717

-0.77

0.446

-.064718

.0286386

gdp

|

-.1981395

.121514

-1.63

0.106

-.4387704

.0424914

infl

|

-.0016922

.0110754

-0.15

0.879

-.0236244

.0202401

m2

|

-.0000554

.0000458

-1.21

0.229

-.0001461

.0000353

d_cris

|

-.0435437

.1923798

-0.23

0.821

-.4245082

.3374207

d_deve

|

0

(omitted)





_cons

|

-.1510615

1.423926

-0.11

0.916

-2.970822

2.668699

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

sigma_u | .5450701

sigma_e | .69271262

rho | .38239343 (fraction of variance due to u_i)

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

F test that all u_i=0: F(24, 118) = 1.82 Prob > F = 0.0187


.

. est sto F66


.

. xtreg nim l.nim fgap nlst nlta lia llr lads size size2 eta llp gdp infl m2 d_cris d_deve,re note: lia omitted because of collinearity

note: d_deve omitted because of collinearity


Random-effects GLS regression

Number of obs

=

157

Group variable: donvi

Number of groups

=

25

R-sq: within = 0.3667

Obs per group: min =

1

between = 0.8812

avg =

6.3

overall = 0.6342

max =

11



Wald chi2(14)

=

246.16

corr(u_i, X)

= 0 (assumed)

Prob > chi2

=

0.0000


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

nim | Coef. Std. Err. z P>|z| [95% Conf. Interval]

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

nim

|


L1.

|

.7146075

.067644

10.56

0.000

.5820277

.8471872


|







fgap

|

3.267956

1.647998

1.98

0.047

.037939

6.497972

nlst

|

.0055133

.0117015

0.47

0.638

-.0174212

.0284479

nlta

|

-.0303751

.0207151

-1.47

0.143

-.0709759

.0102257

lia

|

0

(omitted)





llr

|

.0011956

.0019985

0.60

0.550

-.0027213

.0051125

lads

|

.092511

.0522323

1.77

0.077

-.0098624

.1948844

size

|

1.994871

2.458237

0.81

0.417

-2.823186

6.812927

size2

|

.017643

4.116084

0.00

0.997

-8.049733

8.085019

eta

|

.135284

.0935477

1.45

0.148

-.0480661

.3186342

llp

|

-.012489

.0169888

-0.74

0.462

-.0457864

.0208084

gdp

|

-.1571819

.1149658

-1.37

0.172

-.3825107

.068147

infl

|

-.0097927

.0110918

-0.88

0.377

-.0315322

.0119468

m2

|

-.0001018

.0000455

-2.23

0.025

-.000191

-.0000125

d_cris

|

.0188132

.1857939

0.10

0.919

-.3453361

.3829625

d_deve

|

0

(omitted)





_cons

|

4.097959

1.800383

2.28

0.023

.5692745

7.626644

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

sigma_u | 0

sigma_e | .69271263

rho | 0 (fraction of variance due to u_i)

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


.

. xttest0


Breusch and Pagan Lagrangian multiplier test for random effects nim[donvi,t] = Xb + u[donvi] + e[donvi,t]

Estimated results:

| Var sd = sqrt(Var)

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


nim |

1.360039

1.166207

e |

.4798508

.6927126

u |

0

0

Test:

Var(u) = 0


chibar2(01) =


0.00

Prob > chibar2 = 1.0000


.

. est sto R66


.

. hausman F66 R66


Note: the rank of the differenced variance matrix (11) does not equal the number of coefficients being tested (13); be sure

this is what you expect, or there may be problems computing the test. Examine the output of your estimators for

anything unexpected and possibly consider scaling your variables so that the coefficients are on a similar scale.


---- Coefficients ----

| (b) (B) (b-B) sqrt(diag(V_b-V_B))

| F66 R66 Difference S.E.

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

L.nim

|

.4741567

.7146075

-.2404508

.0557029

nlst

|

.0090947

.0055133

.0035814

.0093764

nlta

|

.0267038

-.0303751

.0570788

.0103476

llr

|

.0026825

.0011956

.0014869

.0019177

lads

|

.0134569

.092511

-.0790541

.0657418

size

|

3.452345

1.994871

1.457474

1.880852

size2

|

-.0206942

.017643

-.0383372

4.041737

eta

|

.2030523

.135284

.0677683

.0916402

llp

|

-.0180397

-.012489

-.0055507

.0163402

gdp

|

-.1981395

-.1571819

-.0409576

.0393513

infl

|

-.0016922

-.0097927

.0081005

.

m2

|

-.0000554

-.0001018

.0000464

4.93e-06

d_cris

|

-.0435437

.0188132

-.0623569

.0499062

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

b = consistent under Ho and Ha; obtained from xtreg B = inconsistent under Ha, efficient under Ho; obtained from xtreg

Test: Ho: difference in coefficients not systematic chi2(11) = (b-B)'[(V_b-V_B)^(-1)](b-B)

= 54.82

Prob>chi2 = 0.0000

(V_b-V_B is not positive definite)


.

. xtabond nim fgap nlst nlta lia llr lads size size2 eta llp gdp infl m2 d_cris,twostep note: fgap dropped from div() because of collinearity

note: fgap dropped because of collinearity


Number of obs

=

130

Number of groups

=

24

Obs per group:

min =

1


avg =

5.416667


max =

10

Wald chi2(14)

=

47914.46

Prob > chi2

=

0.0000

Arellano-Bond dynamic panel-data estimation Group variable: donvi

Time variable: year

Number of instruments = 72


Two-step results

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

nim | Coef. Std. Err. z P>|z| [95% Conf. Interval]

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

nim

|


L1.

|

.3168381

.1150499

2.75

0.006

.0913445

.5423318


|







nlst

|

-.0119653

.0165088

-0.72

0.469

-.0443219

.0203912

nlta

|

.0196503

.0152884

1.29

0.199

-.0103145

.049615

lia

|

.0907776

.0655259

1.39

0.166

-.0376509

.2192061

llr

|

.0168902

.0084396

2.00

0.045

.0003489

.0334315

lads

|

.2536683

.1681254

1.51

0.131

-.0758515

.5831881

size

|

31.05614

13.55198

2.29

0.022

4.494753

57.61752

size2

|

-2.631114

9.137201

-0.29

0.773

-20.5397

15.27747

eta

|

.5413333

.4173132

1.30

0.195

-.2765856

1.359252

llp

|

-.1464228

.0741311

-1.98

0.048

-.2917172

-.0011285

gdp

|

-.1346717

.1913661

-0.70

0.482

-.5097424

.2403991

infl

|

-.0119401

.0070365

-1.70

0.090

-.0257313

.0018512

m2

|

-.0001321

.0000433

-3.05

0.002

-.0002171

-.0000472

d_cris

|

.2662153

.4067729

0.65

0.513

-.531045

1.063476

_cons

|

-1.44425

1.535312

-0.94

0.347

-4.453406

1.564906

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

Warning: gmm two-step standard errors are biased; robust standard errors are recommended.

Instruments for differenced equation GMM-type: L(2/.).nim

Standard: D.nlst D.nlta D.lia D.llr D.lads D.size D.size2 D.eta D.llp D.gdp D.infl D.m2 D.d_cris Instruments for level equation

Standard: _cons


.

. estat sargan

Sargan test of overidentifying restrictions

H0: overidentifying restrictions are valid


chi2(57) = 15.9888

Prob > chi2 = 1.0000


.

. estat abond


Arellano-Bond test for zero autocorrelation in first-differenced errors

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

|Order | z Prob > z|

|------+----------------|

| 1 |-2.8026 0.0051 |

| 2 |-1.4778 0.1395 |

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

H0: no autocorrelation


.

. est sto GMM66


.

. esttab P66 F66 R66 GMM66,r2 star(* 0.1 ** 0.05 *** 0.01) brackets nogap


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

(1)

(2)

(3)

(4)

nim

nim

nim

nim

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

L.nim

0.715***

0.474***

0.715***

0.317***


[10.56]

[5.41]

[10.56]

[2.75]

fgap

.

.

3.268**



.

.

[1.98]


nlst

0.00551

0.00909

0.00551

-0.0120


[0.47]

[0.61]

[0.47]

[-0.72]

nlta

0.00230

0.0267

-0.0304

0.0197


[0.13]

[1.15]

[-1.47]

[1.29]

lia

0.0327**

0.0484*

.

0.0908


[1.98]

[1.89]

.

[1.39]

llr

0.00120

0.00268

0.00120

0.0169**


[0.60]

[0.97]

[0.60]

[2.00]

lads

0.0925*

0.0135

0.0925*

0.254


[1.77]

[0.16]

[1.77]

[1.51]

size

1.995

3.452

1.995

31.06**


[0.81]

[1.12]

[0.81]

[2.29]

size2

0.0176

-0.0207

0.0176

-2.631


[0.00]

[-0.00]

[0.00]

[-0.29]

eta

0.135

0.203

0.135

0.541


[1.45]

[1.55]

[1.45]

[1.30]

llp

-0.0125

-0.0180

-0.0125

-0.146**


[-0.74]

[-0.77]

[-0.74]

[-1.98]

gdp

-0.157

-0.198

-0.157

-0.135


[-1.37]

[-1.63]

[-1.37]

[-0.70]

infl

-0.00979

-0.00169

-0.00979

-0.0119*


[-0.88]

[-0.15]

[-0.88]

[-1.70]

m2

-0.000102**

-0.0000554

-0.000102**

-0.000132***


[-2.23]

[-1.21]

[-2.23]

[-3.05]

d_cris

0.0188

-0.0435

0.0188

0.266


[0.10]

[-0.23]

[0.10]

[0.65]

d_deve

.

.

.



.

.

.


_cons

0.830

-0.151

4.098**

-1.444


[0.78]

[-0.11]

[2.28]

[-0.94]

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

N

157

157

157

130

R-sq

0.634

0.427



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

t statistics in brackets

* p<0.1, ** p<0.05, *** p<0.01

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