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Tác động của rủi ro tín dụng đến hiệu quả kinh doanh tại các Ngân hàng thương mại Việt Nam - 20

Total | 123.63 79 0.0010


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


.


. est sto P2


.


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


Fixed-effects (within) regression

Number of obs

=

230

Group variable: donvi

Number of groups

=

26

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Tác động của rủi ro tín dụng đến hiệu quả kinh doanh tại các Ngân hàng thương mại Việt Nam - 20


R-sq: within = 0.4855

Obs per group: min =

6

between = 0.6664

avg =

8.8

overall = 0.5577

max =

11



F(11,193)

=

16.55

corr(u_i, Xb) = 0.1460

Prob > F

=

0.0000



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


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


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


npl

|

-.0720825

.2825853

-0.26

0.799

-.6294345

.4852695

llr

|

-.763182

.9493775

-0.80

0.422

-2.635669

1.109305

eff

|

-.1279354

.0287132

-4.46

0.000

-.1845672

-.0713035

lev

|

-.0715159

.0430294

-1.66

0.098

-.1563843

.0133524

nii

|

-.0062461

.0223352

-0.28

0.780

-.0502985

.0378062

size

|

.0242159

.0102389

2.37

0.019

.0040213

.0444105

ggdp

|

.0234399

.0066298

3.54

0.001

.0103637

.0365161

inf

|

-.0035889

.0012378

-2.90

0.004

-.0060303

-.0011475

unr

|

-.0173607

.0146408

-1.19

0.237

-.0462373

.0115159

exr

|

-.0000147

3.86e-06

-3.79

0.000

-.0000223

-7.04e-06

inr

|

.0151131

.0037572

4.02

0.000

.0077026

.0225235

_cons

|

-.1185282

.141888

-0.84

0.405

-.3983785

.161322


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


sigma_u | .02807164


sigma_e | .045961


rho | .27168971 (fraction of variance due to u_i)


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


F test that all u_i=0: F(25, 193) = 3.17 Prob > F = 0.0000


.

. est sto F2


.


. esttab F2


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


(1)


roe


---------------------------- npl -0.0721

(-0.26)


llr -0.763


(-0.80)


eff -0.128***


(-4.46)


lev -0.0715


(-1.66)


nii -0.00625


(-0.28)


size 0.0242*


(2.37)


ggdp 0.0234***


(3.54)


inf -0.00359**


(-2.90)


unr -0.0174


(-1.19)


exr -0.0000147*** (-3.79)


inr 0.0151***


(4.02)

_cons -0.119


(-0.84)


---------------------------- N 230

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


t statistics in parentheses


* p<0.05, ** p<0.01, *** p<0.001


.


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


Random-effects GLS regression

Number of obs

=

230

Group variable: donvi

Number of groups

=

26


R-sq: within = 0.4844

Obs per group: min =

6

between = 0.6719

avg =

8.8

overall = 0.5634

max =

11



Wald chi2(11)

=

230.85

corr(u_i, X)

= 0 (assumed)

Prob > chi2

=

0.0000



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


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


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


npl

|

-.1243923

.2716101

-0.46

0.647

-.6567383

.4079537

llr

|

-.926046

.8409122

-1.10

0.271

-2.574204

.7221115

eff

|

-.1230069

.0260344

-4.72

0.000

-.1740333

-.0719804

lev

|

-.0712083

.0383014

-1.86

0.063

-.1462777

.0038611

nii

|

-.0102386

.0209554

-0.49

0.625

-.0513106

.0308333

size

|

.028755

.0052752

5.45

0.000

.0184158

.0390942

ggdp

|

.0240101

.0064202

3.74

0.000

.0114268

.0365935

inf

|

-.0036266

.0012194

-2.97

0.003

-.0060166

-.0012366

unr

|

-.0196723

.0144872

-1.36

0.174

-.0480667

.0087222

exr

|

-.0000163

2.57e-06

-6.34

0.000

-.0000213

-.0000113

inr

|

.0153041

.0036808

4.16

0.000

.0080899

.0225183

_cons

|

-.1669474

.1061387

-1.57

0.116

-.3749754

.0410806


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


sigma_u | .02364897


sigma_e | .045961


rho | .20933355 (fraction of variance due to u_i)


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

.


. est sto R2


.


. hausman F2 R2


Note: the rank of the differenced variance matrix (9) does not equal the number of coefficients being tested (11); 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))

|

F2

R2

Difference

S.E.


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


npl

|

-.0720825

-.1243923

.0523098

.0779899

llr

|

-.763182

-.926046

.1628641

.4406636

eff

|

-.1279354

-.1230069

-.0049285

.0121102

lev

|

-.0715159

-.0712083

-.0003077

.0196095

nii

|

-.0062461

-.0102386

.0039925

.0077285

size

|

.0242159

.028755

-.004539

.0087754

ggdp

|

.0234399

.0240101

-.0005703

.001654

inf

|

-.0035889

-.0036266

.0000377

.0002127

unr

|

-.0173607

-.0196723

.0023116

.0021153

exr

|

-.0000147

-.0000163

1.64e-06

2.88e-06

inr

|

.0151131

.0153041

-.0001911

.0007539


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


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(9) = (b-B)'[(V_b-V_B)^(-1)](b-B)


= 3.56


Prob>chi2 = 0.9382


.


. xttest0


Breusch and Pagan Lagrangian multiplier test for random effects

roe[donvi,t] = Xb + u[donvi] + e[donvi,t]


Estimated results:


| Var sd = sqrt(Var)


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


roe |

.0057722

.075975

e |

.0021124

.045961

u |

.0005593

.023649


Test: Var(u) = 0

chibar2(01) = 39.31

Prob > chibar2 = 0.0000


.


. xtgls roe npl llr eff lev nii size ggdp inf unr exr inr,igls panels(h) nolog


Cross-sectional time-series FGLS regression


Coefficients: generalized least squares Panels: heteroskedastic Correlation: no autocorrelation


Estimated covariances

=

26

Number of obs =

230

Estimated autocorrelations

=

0

Number of groups =

26

Estimated coefficients

=

12

Obs per group: min =

6




avg =

8.846154




max =

11




Wald chi2(11) =

755.23

Log likelihood

=

421.5587

Prob > chi2 =

0.0000



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


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


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


npl |

-.2107157

.2027057

-1.04

0.299

-.6080116

.1865801

llr |

-1.643583

.5419744

-3.03

0.002

-2.705833

-.5813324

eff |

-.1908553

.015303

-12.47

0.000

-.2208486

-.1608619

lev |

-.0542148

.0261156

-2.08

0.038

-.1054005

-.0030291

nii |

-.0129232

.0087917

-1.47

0.142

-.0301546

.0043082

size |

.0318661

.0028516

11.17

0.000

.0262771

.0374551

ggdp |

.012571

.0035341

3.56

0.000

.0056442

.0194978

inf |

-.0014974

.0006927

-2.16

0.031

-.002855

-.0001398

-.0183644

.0076772

-2.39

0.017

-.0334114

-.0033174

exr |

-.0000122

1.30e-06

-9.41

0.000

-.0000148

-9.68e-06

inr |

.0063253

.0020462

3.09

0.002

.0023149

.0103357

_cons |

-.1400302

.0538202

-2.60

0.009

-.2455159

-.0345445

unr |


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


.


. est sto G2


.


. esttab P2 F2 R2 G2,r2 star(* 0.1 ** 0.05 *** 0.01) brackets nogap


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


(1)

(2)

(3)

(4)

roe

roe

roe

roe


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

npl

-0.260

-0.0721

-0.124

-0.211


[-0.91]

[-0.26]

[-0.46]

[-1.04]

llr

-1.064

-0.763

-0.926

-1.644***


[-1.38]

[-0.80]

[-1.10]

[-3.03]

eff

-0.118***

-0.128***

-0.123***

-0.191***


[-4.67]

[-4.46]

[-4.72]

[-12.47]

lev

-0.0614

-0.0715*

-0.0712*

-0.0542**


[-1.60]

[-1.66]

[-1.86]

[-2.08]

nii

-0.0139

-0.00625

-0.0102

-0.0129


[-0.65]

[-0.28]

[-0.49]

[-1.47]

size

0.0297***

0.0242**

0.0288***

0.0319***


[7.61]

[2.37]

[5.45]

[11.17]

ggdp

0.0249***

0.0234***

0.0240***

0.0126***


[3.57]

[3.54]

[3.74]

[3.56]

inf

-0.00379***

-0.00359***

-0.00363***

-0.00150**


[-2.80]

[-2.90]

[-2.97]

[-2.16]

unr

-0.0241

-0.0174

-0.0197

-0.0184**


[-1.50]

[-1.19]

[-1.36]

[-2.39]

exr

-0.0000172***

-0.0000147***

-0.0000163***

-0.0000122***


[-6.90]

[-3.79]

[-6.34]

[-9.41]

inr

0.0159***

0.0151***

0.0153***

0.00633***


[3.93]

[4.02]

[4.16]

[3.09]

_cons

-0.172

-0.119

-0.167

-0.140***


[-1.60]

[-0.84]

[-1.57]

[-2.60]


---------------------------------------------------------------------------- N 230 230 230 230

R-sq 0.565 0.485


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


t statistics in brackets


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


.


.


.


. *** Mo hinh 3 - voi ROA


.


.


.


. xtset donvi time


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

delta: 1 unit


.


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


Variable | Obs Mean Std. Dev. Min Max


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


roa |

275

.0125335

.0092107

.0001088

.0595185

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

| roa npl llr eff lev nii size ggdp inf unr

exr


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

------



roa

|

1.0000







npl

|

-0.2498

1.0000





llr

|

-0.2680

0.5258

1.0000




eff

|

-0.4548

0.2015

-0.0229

1.0000



lev

|

-0.2969

-0.0936

0.1457

-0.2249

1.0000


nii

|

0.1191

-0.0711

-0.0030

-0.5166

0.3357

1.0000

size

|

-0.3576

0.0029

0.4629

-0.2154

0.5494

0.2359

1.0000





ggdp

|

0.2109

-0.2795

-0.2966

-0.1968

0.0643

-0.0057

-0.0930

1.0000




inf

|

0.1904

0.0412

-0.0481

-0.1133

-0.0865

0.0657

-0.2027

-0.1668

1.0000



unr

|

0.3196

-0.2662

-0.2741

-0.2968

0.0527

0.2003

-0.2107

0.2537

0.0555

1.0000



1.0000

exr

|

-0.4572

0.2040

0.3535

0.2815

0.0940

-0.2484

0.4105

-0.2862

-0.3791

-0.5588



0.3007

inr

|

0.2516

0.0969

0.0345

-0.1699

-0.0885

0.0428

-0.1652

-0.3332

0.8866

0.1313

-


| inr


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


inr | 1.0000


.


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

Source | SS df MS Number of obs = 230

-------------+------------------------------ F( 11, 218) = 22.79

Model | .008437675 11 .000767061 Prob > F = 0.0000


Residual | .007336642 218 .000033654 R-squared = 0.5349


-------------+------------------------------ Adj R-squared = 0.5114 Total | .015774318 229 .000068883 Root MSE = .0058


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


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


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


npl |

-.0857793

.0320945

-2.67

0.008

-.1490346

-.0225241

llr |

.0083109

.087309

0.10

0.924

-.1637669

.1803886

eff |

-.0199555

.002842

-7.02

0.000

-.0255568

-.0143541

lev |

-.0193246

.0043417

-4.45

0.000

-.0278816

-.0107676

nii |

-.0001668

.0024288

-0.07

0.945

-.0049538

.0046202

size |

-.0014527

.0004411

-3.29

0.001

-.002322

-.0005833

ggdp |

.0016552

.0007882

2.10

0.037

.0001019

.0032086

-.0004808

.0001526

-3.15

0.002

-.0007815

-.0001801

unr |

-.0017988

.0018181

-0.99

0.324

-.0053821

.0017844

exr |

-7.24e-07

2.81e-07

-2.58

0.011

-1.28e-06

-1.70e-07

inr |

.0016775

.000457

3.67

0.000

.0007767

.0025783

_cons |

.0615208

.0121201

5.08

0.000

.0376332

.0854084

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