Trang chủ / Tín Dụng

Tóm Tắt Kết Quả Nghiên Cứu Của Hasna Chaibi Và Zied Ftiti (2015) 51517

Navi

2008

0.017

0.005

0.597

0.562

0.076

14.688

0.044

0.016

5.66

23.12

2.40

16977

13.46

KLB

2009

0.012

0.006

0.464

0.851

0.045

15.828

0.085

0.019

5.40

7.05

2.60

17941

10.37

KLB

2010

0.011

0.009

0.383

0.745

-0.052

16.351

0.090

0.019

6.42

8.86

2.60

18932

11.5

KLB

2011

0.028

0.011

0.387

0.806

0.041

16.697

0.118

0.026

6.24

18.68

2.00

20828

13

KLB

2012

0.029

0.015

0.512

0.815

0.027

16.738

0.102

0.019

5.25

9.09

1.80

20828

11.5

KLB

2013

0.025

0.010

0.553

0.837

0.027

16.878

0.091

0.016

5.42

6.59

2.00

21036

8.48

KLB

2014

0.020

0.010

0.655

0.854

0.010

16.956

0.051

0.008

5.98

4.09

1.86

21246

7.62

KLB

2015

0.011

0.008

0.673

0.867

0.031

17.047

0.049

0.007

6.68

0.63

2.31

22381

6.5

ABB

2005


0.002


0.723


13.429

0.044

0.012

7.55

8.28

2.10

15916

8.4

ABB

2006


0.013

0.219

0.618

0.373

14.951

0.084

0.031

6.98

7.39

2.30

16054

8.4

ABB

2007

0.015

0.008

0.347

0.856

0.231

16.659

0.088

0.016

7.13

8.30

2.30

16114

8.8

ABB

2008

0.042

0.012

0.732

0.707

0.196

16.418

0.015

0.003

5.66

23.12

2.40

16977

13.46

ABB

2009

0.015

0.011

0.418

0.831

0.179

17.093

0.074

0.016

5.40

7.05

2.60

17941

10.37

ABB

2010

0.012

0.011

0.438

0.878

0.101

17.453

0.109

0.015

6.42

8.86

2.60

18932

11.5

ABB

2011

0.028

0.016

0.471

0.886

-0.019

17.542

0.066

0.008

6.24

18.68

2.00

20828

13

ABB

2012

0.023

0.022

0.612

0.894

0.047

17.648

0.083

0.009

5.25

9.09

1.80

20828

11.5

ABB

2013

0.067

0.028

0.669

0.900

0.212

17.870

0.026

0.003

5.42

6.59

2.00

21036

8.48

ABB

2014

0.040

0.018

0.656

0.915

0.119

18.027

0.020

0.002

5.98

4.09

1.86

21246

7.62

ABB

2015

0.024

0.012

0.604

0.910

0.165

17.980

0.016

0.001

6.68

0.63

2.31

22381

6.5

OCB

2005


0.005


0.897


15.207

0.153

0.015

7.55

8.28

2.10

15916

8.4

OCB

2006


0.005

0.219

0.871

0.259

15.678

0.166

0.020

6.98

7.39

2.30

16054

8.4

OCB

2007

0.014

0.005

0.380

0.859

0.108

16.280

0.136

0.019

7.13

8.30

2.30

16114

8.8

OCB

2008

0.029

0.008

0.640

0.842

0.197

16.128

0.040

0.006

5.66

23.12

2.40

16977

13.46

OCB

2009

0.026

0.010

0.421

0.816

0.116

16.356

0.105

0.018

5.40

7.05

2.60

17941

10.37

OCB

2010

0.021

0.009

0.401

0.841

0.105

16.796

0.111

0.019

6.42

8.86

2.60

18932

11.5

OCB

2011

0.028

0.013

0.470

0.852

0.003

17.051

0.088

0.013

6.24

18.68

2.00

20828

13

OCB

2012

0.028

0.018

0.479

0.861

-0.111

17.127

0.061

0.009

5.25

9.09

1.80

20828

11.5

OCB

2013

0.029

0.010

0.496

0.879

-0.023

17.306

0.062

0.008

5.42

6.59

2.00

21036

8.48

OCB

2014

0.029

0.014

0.528

0.897

0.130

17.482

0.055

0.006

5.98

4.09

1.86

21246

7.62

OCB

2015

0.019

0.009

0.558

0.915

0.068

17.716

0.051

0.005

6.68

0.63

2.31

22381

6.5

PGB

2005









7.55

8.28

2.10

15916

8.4

PGB

2006


0.001

0.271

0.820

-0.083

13.986

0.059

0.011

6.98

7.39

2.30

16054

8.4

PGB

2007

0.001

0.002

0.281

0.884

0.134

15.359

0.108

0.014

7.13

8.30

2.30

16114

8.8

PGB

2008

0.014

0.007

0.487

0.834

0.339

15.638

0.084

0.012

5.66

23.12

2.40

16977

13.46

PGB

2009

0.012

0.008

0.366

0.895

0.319

16.159

0.165

0.021

5.40

7.05

2.60

17941

10.37

PGB

2010

0.014

0.010

0.425

0.867

0.222

16.611

0.134

0.016

6.42

8.86

2.60

18932

11.5

PGB

2011

0.021

0.015

0.388

0.853

0.063

16.682

0.187

0.026

6.24

18.68

2.00

20828

13

PGB

2012

0.084

0.023

0.500

0.834

0.120

16.773

0.083

0.013

5.25

9.09

1.80

20828

11.5

PGB

2013

0.030

0.013

0.699

0.871

0.235

17.029

0.012

0.002

5.42

6.59

2.00

21036

8.48

PGB

2014

0.025

0.012

0.638

0.870

0.126

17.065

0.040

0.005

5.98

4.09

1.86

21246

7.62

PGB

2015

0.028

0.011

0.649

0.863

0.123

17.022

0.012

0.002

6.68

0.63

2.31

22381

6.5

SCB

2005


0.004

0.628

0.918

0.174

15.210

0.187

0.015

7.55

8.28

2.10

15916

8.4

SCB

2006


0.005


0.925


16.208

0.215

0.017

6.98

7.39

2.30

16054

8.4

SCB

2007

0.003

0.004

0.399

0.897

0.354

17.073

0.149

0.014

7.13

8.30

2.30

16114

8.8

SCB

2008

0.006

0.008

0.380

0.927

0.171

17.469

0.169

0.014

5.66

23.12

2.40

16977

13.46

SCB

2009

0.013

0.011

0.427

0.916

0.219

17.814

0.085

0.007

5.40

7.05

2.60

17941

10.37

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Tác động của rủi ro tín dụng đến hiệu quả kinh doanh tại các Ngân hàng thương mại Việt Nam - 18

KLB

2010

0.125

0.023

0.388

0.922

0.696

17.913

0.060

0.005

6.42

8.86

2.60

18932

11.5

SCB

2011

0.072

0.025


0.922


18.791



6.24

18.68

2.00

20828

13

SCB

2012

0.072

0.011

0.711

0.924

0.035

18.821

0.006

0.000

5.25

9.09

1.80

20828

11.5

SCB

2013

0.016

0.007

0.707

0.928

0.224

19.014

0.003

0.000

5.42

6.59

2.00

21036

8.48

SCB

2014

0.005

0.005

0.541

0.946

0.350

19.305

0.007

0.000

5.98

4.09

1.86

21246

7.62

SCB

2015

0.005

0.007

0.523

0.951

0.100

19.557

0.006

0.000

6.68

0.63

2.31

22381

6.5

VietA

2005


0.003

0.361

0.866

0.206

14.673

0.115

0.015

7.55

8.28

2.10

15916

8.4

VietA

2006


0.006

0.628

0.819

0.079

15.246

0.099

0.016

6.98

7.39

2.30

16054

8.4

VietA

2007


0.004

0.488

0.860

0.119

16.063

0.141

0.021

7.13

8.30

2.30

16114

8.8

VietA

2008

0.018

0.009

0.547

0.860

0.301

16.145

0.052

0.007

5.66

23.12

2.40

16977

13.46

VietA

2009

0.013

0.010

0.387

0.892

0.365

16.577

0.133

0.016

5.40

7.05

2.60

17941

10.37

VietA

2010

0.025

0.015

0.420

0.859

0.273

16.997

0.104

0.013

6.42

8.86

2.60

18932

11.5

VietA

2011

0.026

0.016

0.505

0.841

0.242

16.930

0.071

0.011

6.24

18.68

2.00

20828

13

VietA

2012

0.047

0.015

0.593

0.856

0.409

17.019

0.046

0.007

5.25

9.09

1.80

20828

11.5

VietA

2013

0.029

0.013

0.645

0.867

0.122

17.113

0.017

0.002

5.42

6.59

2.00

21036

8.48

VietA

2014

0.023

0.012

0.827

0.898

0.051

17.388

0.013

0.002

5.98

4.09

1.86

21246

7.62

VietA

2015

0.023

0.011

0.501

0.906

-0.259

17.550

0.022

0.002

6.68

0.63

2.31

22381

6.5

SCB


Nguồn: Tác giả thu thập từ BCTC và ADB


4. Tóm tắt kết quả nghiên cứu của Hasna Chaibi và Zied Ftiti (2015)


Biến

GMM Estimations

Kỳ vọng

Pháp

Đức

NPL(t-1)

0.39***

0.36***

+


-3.95

-3.56


Biến nội tại




Dự phòng rủi ro tín dụng(LLP)

160.9**

-58.2

+


-2.99

(-1.12)


Kém hiệu quả (EFF)

0.0052**

-0.001

+/-


-3.83

(-0.34)


Đòn bẩy (LEV)

-6.282

10.22*

+


(-086)

-2.38


Thu nhập ngoài lãi (NII)

-

-0.0003

-



(-1.41)


Quy mô (SIZE)

2.683**

0.276*

+


-2.49

-1.99


Lợi nhuận (ROE)

-0.01*

-0.02'

-/+

(-220)

(-2.61)


Biến kinh tế vĩ mô




Lạm phát (INF)

-0.517

-0.621***

+/-


(-1.62)

(—4.91)


Tăng trưởng GDP (GGDP)

-0.491***

-0.097*

-


-3.59

(—/.97)


Lãi suất danh nghĩa (INR)

2.061**

-

+


-3.17



Tỷ lệ thất nghiệp (UNR)

327*

0.472***

+


-2.58

-4.86


Tỷ giá hối đoái (EXR)

0.571***

-0.203*

+/-


-3.63

-2.61


Sargan test (p-value)

0.5074

0.9696


Serial correlation test (p-value)

0.7245

0.3267


Số quan sát

199

78



Nguồn: Hasna Chaibi và Zied Ftiti (2015)


5. Kết quả nghiên cứu trên phần mềm STATA 13


. *** Mo hinh 1


.


. xtset donvi time


panel variable: donvi (strongly balanced) time variable: time, 2005 to 2015

delta: 1 unit


.


. sum npl llr eff lev nii size roe ggdp inf unr exr inr


Variable | Obs Mean Std. Dev. Min Max


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


npl |

233

.0224712

.0158215

.001

.1246

llr |

271

.0111496

.0066228

.0001286

.0370178

eff |

262

.4879579

.190311

.0795316

2.0527

lev |

276

.8698281

.1108404

.0152707

1.129474

nii |

264

.1606875

.2713953

-2.003685

.7855639

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


size |

276

17.34343

1.619804

11.88353

20.56153

roe |

275

.114088

.0747594

.0007494

.4449051

ggdp |

286

6.246387

.7420688

5.247367

7.547248

inf |

286

9.280675

6.03656

.63

23.11632

unr |

286

2.206564

.2625723

1.8

2.6


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


exr |

286 18932.05

2319.773

15916

22380.54

inr |

286 9.820909

2.178888

6.5

13.46


.


. corr npl llr eff lev nii size roe ggdp inf unr exr inr (obs=230)


| npl llr eff lev nii size roe ggdp inf unr

exr


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


npl

|

1.0000






llr

|

0.5258

1.0000




eff

|

0.2015

-0.0229

1.0000



lev

|

-0.0936

0.1457

-0.2249

1.0000


nii

|

-0.0711

-0.0030

-0.5166

0.3357

1.0000

size

|

0.0029

0.4629

-0.2154

0.5494

0.2359

1.0000




roe

|

-0.2439

-0.0531

-0.5585

0.1936

0.3051

0.2812

1.0000



ggdp

|

-0.2795

-0.2966

-0.1968

0.0643

-0.0057

-0.0930

0.2636

1.0000


inf

|

0.0412

-0.0481

-0.1133

-0.0865

0.0657

-0.2027

0.1704

-0.1668

1.0000

unr

|

-0.2662

-0.2741

-0.2968

0.0527

0.2003

-0.2107

0.2720

0.2537

0.0555


1.0000

exr

|

0.2040

0.3535

0.2815

0.0940

-0.2484

0.4105

-0.4104

-0.2862

-0.3791


0.3007

inr

|

0.0969

0.0345

-0.1699

-0.0885

0.0428

-0.1652

0.2070

-0.3332

0.8866

------


1.0000


-0.5588


0.1313 -


| inr


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


inr | 1.0000


.


. reg npl l.npl llr eff lev nii size roe ggdp inf unr exr inr

Source | SS df MS Number of obs = 204

-------------+------------------------------ F( 12, 191) = 13.11

Model | .020411414 12 .001700951 Prob > F = 0.0000

Residual | .0247762 191 .000129718 R-squared = 0.4517


-------------+------------------------------ Adj R-squared = 0.4173 Total | .045187613 203 .000222599 Root MSE = .01139


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


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


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


npl

|


L1.

|

.1719398

.0637995

2.69

0.008

.0460976

.2977819


|







llr

|

1.268895

.1606624

7.90

0.000

.9519946

1.585796

eff

|

.0100425

.0076513

1.31

0.191

-.0050494

.0251344

lev

|

-.0028094

.0089534

-0.31

0.754

-.0204697

.0148509

nii

|

.0140145

.0054503

2.57

0.011

.003264

.0247651

size

|

-.0033214

.001013

-3.28

0.001

-.0053195

-.0013234

roe

|

-.019222

.0166014

-1.16

0.248

-.0519675

.0135235

ggdp

|

.0001132

.0018301

0.06

0.951

-.0034965

.0037229

inf

|

-.0002893

.0003124

-0.93

0.356

-.0009056

.0003269

unr

|

-.0045828

.0041865

-1.09

0.275

-.0128405

.0036749

exr

|

8.57e-07

7.70e-07

1.11

0.267

-6.61e-07

2.38e-06

inr

|

.0019409

.0009374

2.07

0.040

.0000918

.0037899

_cons

|

.0347255

.0280183

1.24

0.217

-.0205396

.0899905


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


.


. vif


Variable | VIF 1/VIF


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


inr

|

7.28

0.137276

inf

|

6.72

0.148760

exr

|

3.32

0.301063

roe

|

2.54

0.392968

size

|

2.52

0.396951

unr

|

2.41

0.414942

eff

|

1.98

0.504402

ggdp

|

1.64

0.608486

llr

|

1.51

0.661288

lev

|

1.41

0.707721

npl

|



L1.

|

1.40

0.714563

nii

|

1.37

0.731054

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

Mean VIF | 2.84

.

. reg npl l.npl llr eff lev nii size roe ggdp inf unr exr inr

Source | SS df MS Number of obs = 204

-------------+------------------------------ F( 12, 191) = 13.11

Model | .020411414 12 .001700951 Prob > F = 0.0000


Residual | .0247762 191 .000129718 R-squared = 0.4517


-------------+------------------------------ Adj R-squared = 0.4173 Total | .045187613 203 .000222599 Root MSE = .01139


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


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


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


npl

|


L1.

|

.1719398

.0637995

2.69

0.008

.0460976

.2977819


|







llr

|

1.268895

.1606624

7.90

0.000

.9519946

1.585796

eff

|

.0100425

.0076513

1.31

0.191

-.0050494

.0251344

lev

|

-.0028094

.0089534

-0.31

0.754

-.0204697

.0148509

nii

|

.0140145

.0054503

2.57

0.011

.003264

.0247651

size

|

-.0033214

.001013

-3.28

0.001

-.0053195

-.0013234

roe

|

-.019222

.0166014

-1.16

0.248

-.0519675

.0135235

ggdp

|

.0001132

.0018301

0.06

0.951

-.0034965

.0037229

inf

|

-.0002893

.0003124

-0.93

0.356

-.0009056

.0003269

unr

|

-.0045828

.0041865

-1.09

0.275

-.0128405

.0036749

exr

|

8.57e-07

7.70e-07

1.11

0.267

-6.61e-07

2.38e-06

inr

|

.0019409

.0009374

2.07

0.040

.0000918

.0037899

_cons

|

.0347255

.0280183

1.24

0.217

-.0205396

.0899905


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


.


. vif


Variable | VIF 1/VIF


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


inr |

7.28

0.137276

inf |

6.72

0.148760

exr |

3.32

0.301063

roe |

2.54

0.392968

2.52

0.396951

unr |

2.41

0.414942

eff |

1.98

0.504402

ggdp |

1.64

0.608486

llr |

1.51

0.661288

lev |

1.41

0.707721

npl |



L1. |

1.40

0.714563

nii |

1.37

0.731054

size |


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

Mean VIF | 2.84


.


. imtest,white


White's test for Ho: homoskedasticity


against Ha: unrestricted heteroskedasticity

chi2(79) = 153.26

Prob > chi2 = 0.0000


Cameron & Trivedi's decomposition of IM-test


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


Source | chi2 df p


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


Heteroskedasticity |

153.26

79

0.0000

Skewness |

29.58

12

0.0032

Kurtosis |

1.47

1

0.2256


---------------------+----------------------------- Total | 184.32 92 0.0000

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


.


. est sto POOL1


.


. xtreg npl l.npl llr eff lev nii size roe ggdp inf unr exr inr,fe


Fixed-effects (within) regression

Number of obs

=

204

Group variable: donvi

Number of groups

=

26

Obs per group: min =

5

between = 0.3793

avg =

7.8

overall = 0.4221

max =

10

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