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Tác động của rủi ro tín dụng đến hiệu quả kinh doanh tại các Ngân hàng thương mại Việt Nam - 19

R-sq: within = 0.4691



F(12,166)

=

12.22

corr(u_i, Xb) = -0.4298

Prob > F

=

0.0000

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Tác động của rủi ro tín dụng đến hiệu quả kinh doanh tại các Ngân hàng thương mại Việt Nam - 19



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


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


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


npl

|


L1.

|

.077342

.0675214

1.15

0.254

-.0559694

.2106534


|







llr

|

1.829252

.2019861

9.06

0.000

1.430459

2.228045

eff

|

.007543

.0089853

0.84

0.402

-.0101971

.0252832

lev

|

-.0078886

.0106322

-0.74

0.459

-.0288803

.0131031

nii

|

.0137797

.0061449

2.24

0.026

.0016474

.0259121

size

|

-.0065195

.0030071

-2.17

0.032

-.0124567

-.0005823

roe

|

-.0087414

.0193799

-0.45

0.653

-.0470043

.0295214

ggdp

|

.000943

.0018421

0.51

0.609

-.0026939

.0045798

inf

|

-.0002642

.0003077

-0.86

0.392

-.0008717

.0003433

unr

|

-.0060426

.0040908

-1.48

0.142

-.0141192

.002034

exr

|

1.23e-06

1.15e-06

1.07

0.285

-1.03e-06

3.49e-06

inr

|

.0012654

.0009348

1.35

0.178

-.0005803

.0031111

_cons

|

.0890021

.0410335

2.17

0.032

.0079872

.170017


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


sigma_u | .00677395


sigma_e | .01078927


rho | .28273487 (fraction of variance due to u_i)


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


F test that all u_i=0: F(25, 166) = 1.87 Prob > F = 0.0108


.


. est sto FIX1


.


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


Random-effects GLS regression

Number of obs

=

204

Group variable: donvi

Number of groups

=

26


R-sq: within = 0.4391 Obs per group: min = 5

avg =

7.8

overall = 0.4517

max =

10

between = 0.5069



Wald chi2(12)

=

157.35

corr(u_i, X)

= 0 (assumed)

Prob > chi2

=

0.0000


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


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


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


npl

|


L1.

|

.1719398

.0637995

2.69

0.007

.0468949

.2969846


|







llr

|

1.268895

.1606624

7.90

0.000

.9540026

1.583788

eff

|

.0100425

.0076513

1.31

0.189

-.0049537

.0250388

lev

|

-.0028094

.0089534

-0.31

0.754

-.0203578

.014739

nii

|

.0140145

.0054503

2.57

0.010

.0033321

.024697

size

|

-.0033214

.001013

-3.28

0.001

-.0053068

-.001336

roe

|

-.019222

.0166014

-1.16

0.247

-.05176

.0133161

ggdp

|

.0001132

.0018301

0.06

0.951

-.0034736

.0037001

inf

|

-.0002893

.0003124

-0.93

0.354

-.0009017

.000323

unr

|

-.0045828

.0041865

-1.09

0.274

-.0127882

.0036225

exr

|

8.57e-07

7.70e-07

1.11

0.265

-6.51e-07

2.37e-06

inr

|

.0019409

.0009374

2.07

0.038

.0001035

.0037782

_cons

|

.0347255

.0280183

1.24

0.215

-.0201894

.0896403


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


sigma_u | 0


sigma_e | .01078927


rho | 0 (fraction of variance due to u_i)


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


.


. est sto RAN1


.


. hausman FIX1 RAN1


Note: the rank of the differenced variance matrix (11) does not equal the number of coefficients being tested (12); 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))

|

FIX1

RAN1

Difference

S.E.


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


L.npl

|

.077342

.1719398

-.0945978

.0221079

llr

|

1.829252

1.268895

.5603567

.1224171

eff

|

.007543

.0100425

-.0024995

.0047109

lev

|

-.0078886

-.0028094

-.0050792

.005734

nii

|

.0137797

.0140145

-.0002348

.002838

size

|

-.0065195

-.0033214

-.0031981

.0028314

roe

|

-.0087414

-.019222

.0104806

.0099988

ggdp

|

.000943

.0001132

.0008298

.0002099

inf

|

-.0002642

-.0002893

.0000251

.

unr

|

-.0060426

-.0045828

-.0014598

.

exr

|

1.23e-06

8.57e-07

3.73e-07

8.49e-07

inr

|

.0012654

.0019409

-.0006754

.


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


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)


= 66.90


Prob>chi2 = 0.0000


(V_b-V_B is not positive definite)


.


. xtabond npl llr eff lev nii size roe ggdp inf unr exr inr,twostep


Arellano-Bond dynamic panel-data estimation

Number of obs

=

176

Group variable: donvi Time variable: time

Number of groups


Obs per group:

=


min =

26


3



avg =

6.769231



max =

9


Number of instruments = 57 Wald chi2(12) = 734.65

Prob > chi2 = 0.0000


Two-step results


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


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

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


npl

|


L1.

|

.0868391

.0486262

1.79

0.074

-.0084665

.1821446


|







llr

|

2.150804

.2501726

8.60

0.000

1.660475

2.641133

eff

|

.0017503

.0065765

0.27

0.790

-.0111394

.0146401

lev

|

-.0030159

.005709

-0.53

0.597

-.0142053

.0081736

nii

|

.0120496

.0032165

3.75

0.000

.0057454

.0183538

size

|

-.0077424

.0018113

-4.27

0.000

-.0112925

-.0041924

roe

|

-.0004792

.0144553

-0.03

0.974

-.0288111

.0278526

ggdp

|

-.0006616

.0008867

-0.75

0.456

-.0023994

.0010763

inf

|

-.0001463

.0001145

-1.28

0.201

-.0003708

.0000782

unr

|

-.0042115

.0017794

-2.37

0.018

-.007699

-.0007239

exr

|

2.46e-06

5.31e-07

4.63

0.000

1.42e-06

3.50e-06

inr

|

.0008438

.0004494

1.88

0.060

-.000037

.0017247

_cons

|

.0886193

.02241

3.95

0.000

.0446964

.1325421


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


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

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

Standard: D.llr D.eff D.lev D.nii D.size D.roe D.ggdp D.inf D.unr D.exr D.inr Instruments for level equation

Standard: _cons


.


. estat sargan


Sargan test of overidentifying restrictions


H0: overidentifying restrictions are valid


chi2(44) = 14.04058


Prob > chi2 = 1.0000


.


. estat abond


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


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


|Order | z Prob > z|


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


| 1 |-2.0282 0.0425 |


| 2 |-1.9529 0.0508 |

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


H0: no autocorrelation



.


. est sto GMM1


.


. esttab POOL1 FIX1 RAN1 GMM1 ,r2 star(* 0.1 ** 0.05 *** 0.01) brackets nogap


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


(1)

(2)

(3)

(4)

npl

npl

npl

npl


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

L.npl

0.172***

0.0773

0.172***

0.0868*


[2.69]

[1.15]

[2.69]

[1.79]

llr

1.269***

1.829***

1.269***

2.151***


[7.90]

[9.06]

[7.90]

[8.60]

eff

0.0100

0.00754

0.0100

0.00175


[1.31]

[0.84]

[1.31]

[0.27]

lev

-0.00281

-0.00789

-0.00281

-0.00302


[-0.31]

[-0.74]

[-0.31]

[-0.53]

nii

0.0140**

0.0138**

0.0140**

0.0120***


[2.57]

[2.24]

[2.57]

[3.75]

size

-0.00332***

-0.00652**

-0.00332***

-0.00774***


[-3.28]

[-2.17]

[-3.28]

[-4.27]

roe

-0.0192

-0.00874

-0.0192

-0.000479


[-1.16]

[-0.45]

[-1.16]

[-0.03]

ggdp

0.000113

0.000943

0.000113

-0.000662


[0.06]

[0.51]

[0.06]

[-0.75]

inf

-0.000289

-0.000264

-0.000289

-0.000146


[-0.93]

[-0.86]

[-0.93]

[-1.28]

unr

-0.00458

-0.00604

-0.00458

-0.00421**


[-1.09]

[-1.48]

[-1.09]

[-2.37]

exr

0.000000857

0.00000123

0.000000857

0.00000246***


[1.11]

[1.07]

[1.11]

[4.63]

inr

0.00194**

0.00127

0.00194**

0.000844*


[2.07]

[1.35]

[2.07]

[1.88]

_cons

0.0347

0.0890**

0.0347

0.0886***


[1.24]

[2.17]

[1.24]

[3.95]


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

N

204

204

204

176

R-sq

0.452

0.469



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


t statistics in brackets


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


.


.


.


. *** Mo hinh 2 - voi ROE


.


.


.


. xtset donvi time


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

delta: 1 unit


.


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


Variable | Obs Mean Std. Dev. Min Max


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


roe |

275

.114088

.0747594

.0007494

.4449051

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

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


| roe npl llr eff lev nii size ggdp inf unr

exr

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

------



roe

|

1.0000







npl

|

-0.2439

1.0000





llr

|

-0.0531

0.5258

1.0000




eff

|

-0.5585

0.2015

-0.0229

1.0000



lev

|

0.1936

-0.0936

0.1457

-0.2249

1.0000


nii

|

0.3051

-0.0711

-0.0030

-0.5166

0.3357

1.0000

size

|

0.2812

0.0029

0.4629

-0.2154

0.5494

0.2359

1.0000





ggdp

|

0.2636

-0.2795

-0.2966

-0.1968

0.0643

-0.0057

-0.0930

1.0000




inf

|

0.1704

0.0412

-0.0481

-0.1133

-0.0865

0.0657

-0.2027

-0.1668

1.0000



unr

|

0.2720

-0.2662

-0.2741

-0.2968

0.0527

0.2003

-0.2107

0.2537

0.0555

1.0000



1.0000

exr

|

-0.4104

0.2040

0.3535

0.2815

0.0940

-0.2484

0.4105

-0.2862

-0.3791

-0.5588



0.3007

inr

|

0.2070

0.0969

0.0345

-0.1699

-0.0885

0.0428

-0.1652

-0.3332

0.8866

0.1313

-


| inr


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


inr | 1.0000


.


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

Source | SS df MS Number of obs = 230

-------------+------------------------------ F( 11, 218) = 25.75

Model | .746891689 11 .067899244 Prob > F = 0.0000


Residual | .574943043 218 .002637353 R-squared = 0.5650


-------------+------------------------------ Adj R-squared = 0.5431 Total | 1.32183473 229 .005772204 Root MSE = .05136


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


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


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


npl |

-.2597459

.2841151

-0.91

0.362

-.8197099

.300218

llr |

-1.064024

.7728987

-1.38

0.170

-2.587335

.4592859

eff |

-.1175674

.0251587

-4.67

0.000

-.167153

-.0679819

lev |

-.0613612

.0384343

-1.60

0.112

-.1371116

.0143891

nii |

-.0139028

.021501

-0.65

0.519

-.0562791

.0284736

size |

.0297325

.0039047

7.61

0.000

.0220367

.0374284

ggdp |

.0249096

.0069771

3.57

0.000

.0111584

.0386608

inf |

-.0037851

.0013507

-2.80

0.006

-.0064471

-.001123

unr |

-.0241332

.0160944

-1.50

0.135

-.0558537

.0075873

-.0000172

2.49e-06

-6.90

0.000

-.0000221

-.0000123

inr |

.0158837

.0040459

3.93

0.000

.0079095

.0238578

_cons |

-.1721965

.1072927

-1.60

0.110

-.3836602

.0392673

exr |


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


.


. vif


Variable | VIF 1/VIF


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


inr

|

7.17

0.139550

inf

|

6.46

0.154878

size

|

2.42

0.413271

exr

|

2.39

0.419267

llr

|

2.09

0.478990

eff

|

1.84

0.543427

unr

|

1.81

0.551458

ggdp

|

1.76

0.568053

nii

|

1.72

0.582485

npl

|

1.68

0.594872

lev

|

1.60

0.625316


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

Mean VIF | 2.81


.


. imtest,white


White's test for Ho: homoskedasticity


against Ha: unrestricted heteroskedasticity

chi2(67) = 100.21

Prob > chi2 = 0.0053


Cameron & Trivedi's decomposition of IM-test


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


Source | chi2 df p


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


Heteroskedasticity |

100.21

67

0.0053

Skewness |

19.62

11

0.0508

Kurtosis |

3.80

1

0.0513


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

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