Luận án Hoạt động ngân hàng phi truyền thống và hiệu quả ngân hàng: trường hợp các ngân hàng thương mại niêm yết tại Việt Nam giai đoạn 2011 - 2019

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Hồ Chí Minh HDB 6 Ngân hàng TMCP Quân Đội MBB 7 Ngân hàng Thương mại Cổ phần Quốc Dân NCB 8 Ngân hàng TMCP Sài Gòn - Hà Nội SHB 9 Ngân hàng TMCP Sài Gòn Thương tín STB 10 Ngân hàng TMCP Kỹ thương Việt Nam TCB 11 Ngân hàng thương mại cổ phần Tiên Phong TPB 12 Ngân hàng thương mại cổ phần Ngoại thương Việt Nam VCB 13 Ngân hàng TMCP Việt Nam Thịnh Vượng VPB Phụ lục 2: Đánh giá hiệu quả hoạt động của các ngân hàng thương mại 2019 2018 2017 13. 13 2.8e+07 7.7e+06 1.5e+07 3.3e+06 3.4e+06 1.000000 1.000000 1.000000 - 12. 12 6.7e+07 1.1e+07 3.3e+07 8.5e+06 7.1e+06 1.000000 1.000000 1.000000 - 11. 11 1.2e+07 2.8e+06 6.2e+06 1.8e+06 1.5e+06 0.952243 1.000000 0.952243 irs 10. 10 2.5e+07 4.8e+06 1.1e+07 4.0e+06 3.1e+06 1.000000 1.000000 1.000000 - 9. 9 3.0e+07 5.3e+06 2.1e+07 5.2e+06 3.8e+06 0.762557 0.763764 0.998421 irs 8. 8 2.6e+07 1.6e+06 1.9e+07 1.9e+06 1.5e+06 1.000000 1.000000 1.000000 - 7. 7 5.3e+06 113038 4.1e+06 413075 449544 0.898552 1.000000 0.898552 irs 6. 6 2.8e+07 5.4e+06 1.3e+07 4.6e+06 2.9e+06 1.000000 1.000000 1.000000 - 5. 5 1.6e+07 1.4e+06 9.3e+06 24659 3.1e+06 1.000000 1.000000 1.000000 - 4. 4 1.1e+07 1.3e+06 8.1e+06 1.6e+06 1.0e+06 0.827541 0.930847 0.889019 irs 3. 3 8.2e+07 6.5e+06 4.9e+07 9.0e+06 5.7e+06 1.000000 1.000000 1.000000 - 2. 2 9.8e+07 1.1e+07 6.3e+07 9.1e+06 7.0e+06 1.000000 1.000000 1.000000 - 1. 1 2.8e+07 3.9e+06 1.6e+07 3.7e+06 4.5e+06 0.850163 0.858598 0.990176 drs dmu lai philai tralai luong khac CRS_TE VRS_TE SCALE RTS 13. 13 2.2e+07 7.3e+06 1.2e+07 3.0e+06 3.1e+06 1.000000 1.000000 1.000000 - 12. 12 5.5e+07 4.2e+06 2.7e+07 7.5e+06 5.8e+06 1.000000 1.000000 1.000000 - 11. 11 9.4e+06 1.2e+06 5.0e+06 1.5e+06 1.3e+06 0.879911 1.000000 0.879911 irs 10. 10 2.1e+07 6.0e+06 1.0e+07 3.0e+06 2.6e+06 1.000000 1.000000 1.000000 - 9. 9 2.6e+07 3.8e+06 1.8e+07 4.6e+06 3.1e+06 0.780083 0.785178 0.993511 irs 8. 8 2.2e+07 1.2e+06 1.7e+07 1.6e+06 1.4e+06 1.000000 1.000000 1.000000 - 7. 7 4.7e+06 260731 3.8e+06 434917 580893 0.801906 1.000000 0.801906 irs 6. 6 2.3e+07 3.3e+06 1.0e+07 3.7e+06 2.6e+06 1.000000 1.000000 1.000000 - 5. 5 1.3e+07 1.4e+06 8.4e+06 93642 2.5e+06 1.000000 1.000000 1.000000 - 4. 4 9.9e+06 1.5e+06 6.8e+06 1.5e+06 1.4e+06 0.778448 0.831401 0.936309 irs 3. 3 7.3e+07 5.6e+06 5.1e+07 7.0e+06 6.1e+06 0.923054 0.988352 0.933932 drs 2. 2 8.7e+07 5.5e+06 5.4e+07 8.2e+06 6.5e+06 1.000000 1.000000 1.000000 - 1. 1 2.4e+07 3.6e+06 1.4e+07 3.1e+06 3.4e+06 0.886930 0.890060 0.996483 irs dmu lai philai tralai luong khac CRS_TE VRS_TE SCALE RTS 13. 13 1.9e+07 4.8e+06 1.0e+07 2.9e+06 2.5e+06 0.935603 0.943785 0.991331 drs 12. 12 4.6e+07 7.2e+06 2.4e+07 6.6e+06 5.1e+06 0.995684 1.000000 0.995684 drs 11. 11 7.3e+06 437302 4.2e+06 961525 980078 0.953667 1.000000 0.953667 irs 10. 10 1.8e+07 6.4e+06 8.7e+06 2.4e+06 2.1e+06 1.000000 1.000000 1.000000 - 9. 9 2.1e+07 3.3e+06 1.6e+07 3.9e+06 2.1e+06 0.848321 0.849633 0.998456 irs 8. 8 1.8e+07 1.6e+06 1.3e+07 1.4e+06 1.3e+06 1.000000 1.000000 1.000000 - 7. 7 4.4e+06 135869 3.3e+06 417610 561399 0.939543 1.000000 0.939543 irs 6. 6 1.9e+07 2.5e+06 1.1e+07 2.7e+06 2.2e+06 0.955692 0.965838 0.989496 irs 5. 5 1.1e+07 1.2e+06 7.5e+06 1.0e+06 1.3e+06 1.000000 1.000000 1.000000 - 4. 4 9.0e+06 1.2e+06 6.3e+06 1.3e+06 943749 0.832783 0.965665 0.862393 irs 3. 3 6.5e+07 4.9e+06 3.8e+07 8.1e+06 6.6e+06 0.951639 0.997076 0.954430 drs 2. 2 7.6e+07 8.0e+06 4.6e+07 7.9e+06 5.9e+06 1.000000 1.000000 1.000000 - 1. 1 2.0e+07 2.9e+06 1.2e+07 2.6e+06 3.5e+06 0.940090 0.943913 0.995949 irs dmu lai philai tralai luong khac CRS_TE VRS_TE SCALE RTS 2016 2015 2014 2013 13. 13 1.5e+07 2.1e+06 8.3e+06 1.5e+06 2.1e+06 1.000000 1.000000 1.000000 - 12. 12 3.7e+07 6.2e+06 1.9e+07 5.2e+06 4.7e+06 0.976709 1.000000 0.976709 drs 11. 11 5.2e+06 188040 3.1e+06 582714 747862 0.918880 1.000000 0.918880 irs 10. 10 1.6e+07 3.0e+06 7.6e+06 2.1e+06 2.0e+06 1.000000 1.000000 1.000000 - 9. 9 1.7e+07 2.4e+06 1.4e+07 2.9e+06 2.5e+06 0.742320 0.744120 0.997581 irs 8. 8 1.4e+07 768887 1.0e+07 1.3e+06 1.1e+06 1.000000 1.000000 1.000000 - 7. 7 3.6e+06 101000 2.6e+06 385298 455731 0.885295 1.000000 0.885295 irs 6. 6 1.5e+07 1.6e+06 7.9e+06 2.0e+06 1.8e+06 0.995344 0.997351 0.997988 irs 5. 5 8.4e+06 846327 5.9e+06 806726 1.1e+06 1.000000 1.000000 1.000000 - 4. 4 8.3e+06 635546 5.2e+06 1.2e+06 1.1e+06 0.866072 0.907894 0.953935 irs 3. 3 5.2e+07 3.9e+06 3.1e+07 6.7e+06 2.4e+07 0.884107 1.000000 0.884107 drs 2. 2 6.2e+07 6.5e+06 3.9e+07 7.0e+06 5.7e+06 1.000000 1.000000 1.000000 - 1. 1 1.6e+07 648216 9.5e+06 2.2e+06 2.3e+06 0.878707 0.884712 0.993212 drs dmu lai philai tralai luong khac CRS_TE VRS_TE SCALE RTS 13. 13 1.4e+07 1.9e+06 7.8e+06 1.9e+06 2.0e+06 0.931357 0.933763 0.997424 irs 12. 12 3.1e+07 5.6e+06 1.6e+07 4.2e+06 4.0e+06 1.000000 1.000000 1.000000 - 11. 11 3.3e+06 198257 1.9e+06 345126 449667 0.998320 1.000000 0.998320 irs 10. 10 1.3e+07 946973 6.2e+06 1.9e+06 1.8e+06 0.992543 0.993320 0.999218 irs 9. 9 1.5e+07 1.6e+06 9.2e+06 2.7e+06 2.3e+06 0.837148 0.838474 0.998419 irs 8. 8 1.2e+07 180480 8.3e+06 1.2e+06 865459 1.000000 1.000000 1.000000 - 7. 7 2.8e+06 5337 2.0e+06 263578 394427 1.000000 1.000000 1.000000 - 6. 6 1.3e+07 1.1e+06 6.1e+06 1.5e+06 1.8e+06 1.000000 1.000000 1.000000 - 5. 5 6.5e+06 912510 4.4e+06 655925 1.0e+06 1.000000 1.000000 1.000000 - 4. 4 8.6e+06 400908 5.2e+06 1.1e+06 1.2e+06 0.859132 0.873799 0.983215 irs 3. 3 4.2e+07 3.8e+06 2.4e+07 5.4e+06 5.0e+06 0.947536 1.000000 0.947536 drs 2. 2 4.8e+07 4.9e+06 3.0e+07 6.1e+06 4.4e+06 1.000000 1.000000 1.000000 - 1. 1 1.4e+07 398539 8.2e+06 1.9e+06 2.0e+06 0.841345 0.841387 0.999950 irs dmu lai philai tralai luong khac CRS_TE VRS_TE SCALE RTS 13. 13 1.2e+07 1.1e+06 7.0e+06 1.8e+06 1.7e+06 0.872908 0.873251 0.999607 irs 12. 12 2.8e+07 5.1e+06 1.6e+07 3.4e+06 3.4e+06 1.000000 1.000000 1.000000 - 11. 11 2.3e+06 375219 1.4e+06 283500 381722 0.966835 1.000000 0.966835 irs 10. 10 1.3e+07 1.0e+06 7.2e+06 1.6e+06 1.7e+06 0.904818 0.905006 0.999793 irs 9. 9 1.5e+07 1.6e+06 8.6e+06 2.4e+06 1.9e+06 0.912102 0.913583 0.998379 irs 8. 8 1.0e+07 422816 7.6e+06 827608 736829 1.000000 1.000000 1.000000 - 7. 7 2.5e+06 62983 1.9e+06 218126 386045 0.929274 1.000000 0.929274 irs 6. 6 1.4e+07 958256 6.6e+06 1.4e+06 1.6e+06 1.000000 1.000000 1.000000 - 5. 5 5.5e+06 1.4e+06 4.6e+06 543692 860920 1.000000 1.000000 1.000000 - 4. 4 8.7e+06 386618 5.9e+06 941460 1.1e+06 0.858006 0.861482 0.995965 irs 3. 3 4.1e+07 3.1e+06 2.4e+07 4.9e+06 4.6e+06 0.927411 1.000000 0.927411 drs 2. 2 4.4e+07 4.7e+06 2.7e+07 4.8e+06 3.5e+06 1.000000 1.000000 1.000000 - 1. 1 1.3e+07 1.2e+06 9.0e+06 1.7e+06 2.1e+06 0.805233 0.828567 0.971838 irs dmu lai philai tralai luong khac CRS_TE VRS_TE SCALE RTS 2012 2011 13. 13 1.1e+07 1.0e+06 7.0e+06 1.2e+06 1.7e+06 0.867532 0.868206 0.999223 irs 12. 12 2.8e+07 4.2e+06 1.8e+07 3.2e+06 3.0e+06 1.000000 1.000000 1.000000 - 11. 11 1.7e+06 288404 1.1e+06 192255 230880 1.000000 1.000000 1.000000 - 10. 10 1.3e+07 1.3e+06 8.9e+06 1.4e+06 2.0e+06 0.851048 0.861237 0.988169 irs 9. 9 1.6e+07 1.2e+06 9.7e+06 2.1e+06 2.0e+06 0.910674 0.932035 0.977081 drs 8. 8 9.2e+06 204252 7.1e+06 711513 1.1e+06 1.000000 1.000000 1.000000 - 7. 7 2.1e+06 70454 1.5e+06 204638 413455 0.889026 1.000000 0.889026 irs 6. 6 1.3e+07 1.5e+06 7.3e+06 1.2e+06 1.5e+06 1.000000 1.000000 1.000000 - 5. 5 4.8e+06 1.1e+06 4.6e+06 325467 631671 1.000000 1.000000 1.000000 - 4. 4 1.1e+07 500044 8.2e+06 934893 1.2e+06 0.950658 0.954664 0.995804 irs 3. 3 4.4e+07 3.6e+06 2.6e+07 4.9e+06 4.8e+06 0.937746 1.000000 0.937746 drs 2. 2 4.3e+07 4.9e+06 2.9e+07 3.8e+06 -1.0e+06 1.000000 1.000000 1.000000 - 1. 1 1.5e+07 1.3e+06 1.1e+07 1.5e+06 2.1e+06 0.867254 0.887497 0.977191 irs dmu lai philai tralai luong khac CRS_TE VRS_TE SCALE RTS 13. 13 1.0e+07 274103 7.3e+06 797556 1.1e+06 0.929546 0.936908 0.992142 irs 12. 12 3.2e+07 3.6e+06 2.1e+07 3.3e+06 2.6e+06 1.000000 1.000000 1.000000 - 11. 11 1.4e+06 237998 1.1e+06 124571 201980 1.000000 1.000000 1.000000 - 10. 10 1.8e+07 645805 1.3e+07 1.4e+06 1.9e+06 0.915733 0.943086 0.970996 drs 9. 9 1.7e+07 496311 1.0e+07 2.0e+06 2.1e+06 0.918521 0.939832 0.977324 drs 8. 8 1.0e+07 881628 8.1e+06 702645 920374 0.922063 1.000000 0.922063 irs 7. 7 2.6e+06 10465 1.9e+06 244909 405439 0.828099 0.938292 0.882560 irs 6. 6 1.5e+07 966547 8.8e+06 1.2e+06 1.3e+06 1.000000 1.000000 1.000000 - 5. 5 5.2e+06 672334 4.3e+06 301888 494634 1.000000 1.000000 1.000000 - 4. 4 1.7e+07 467739 1.2e+07 1.1e+06 1.2e+06 1.000000 1.000000 1.000000 - 3. 3 5.0e+07 3.8e+06 3.2e+07 4.9e+06 4.4e+06 0.930186 1.000000 0.930186 drs 2. 2 3.1e+07 2.3e+06 2.1e+07 3.3e+06 -1.2e+06 1.000000 1.000000 1.000000 - 1. 1 2.2e+07 1.3e+06 1.5e+07 1.8e+06 2.3e+06 0.916824 1.000000 0.916824 drs dmu lai philai tralai luong khac CRS_TE VRS_TE SCALE RTS 13. 13 9.4e+06 115689 7.2e+06 659250 578005 0.833536 0.835474 0.997681 irs 12. 12 3.3e+07 4.4e+06 2.1e+07 3.1e+06 2.5e+06 1.000000 1.000000 1.000000 - 11. 11 2.3e+06 223486 2.5e+06 106531 1.2e+06 1.000000 1.000000 1.000000 - 10. 10 2.0e+07 1.2e+06 1.5e+07 1.1e+06 1.2e+06 0.961473 1.000000 0.961473 drs 9. 9 1.7e+07 910399 1.2e+07 1.8e+06 1.6e+06 0.901897 0.916631 0.983925 drs 8. 8 7.8e+06 256016 5.9e+06 495717 619000 0.886656 0.888550 0.997869 irs 7. 7 2.7e+06 50170 2.0e+06 194459 199925 0.844332 1.000000 0.844332 irs 6. 6 1.4e+07 1.5e+06 8.3e+06 820014 27637 1.000000 1.000000 1.000000 - 5. 5 5.3e+06 62127 4.0e+06 267297 327306 1.000000 1.000000 1.000000 - 4. 4 1.8e+07 948116 1.2e+07 1.0e+06 858724 0.950344 0.987475 0.962398 drs 3. 3 5.5e+07 2.0e+06 3.6e+07 4.9e+06 4.1e+06 0.947477 1.000000 0.947477 drs 2. 2 4.4e+07 2.8e+06 3.2e+07 3.0e+06 2.5e+06 0.865733 1.000000 0.865733 drs 1. 1 2.5e+07 1.0e+06 1.9e+07 1.6e+06 1.6e+06 0.906060 0.994764 0.910829 drs dmu lai philai tralai luong khac CRS_TE VRS_TE SCALE RTS Phụ lục 3: Thống kê mô tả mẫu nghiên cứu Bảng 1. Kết quả thống kê mô tả các biến trong mô hình Bảng 2. Ma trận hệ số tương quan v Các biến độc lập trong mô hình tác động của hoạt động ngân hàng phi truyền thống đến hiệu quả ngân hàng v Các biến độc lập trong mô hình các yếu tố tác động hoạt động ngân hàng phi truyền thống dep 117 .6683634 .124621 .2508404 .8937174 branch 117 5.656091 .8446669 3.401197 7.051856 llp 117 .0075038 .00271 -.0035102 .0145291 nim 117 .0310653 .0170178 -.007868 .0941 sec 117 .0082754 .0292847 -.2163673 .1258451 ser 117 .0338137 .0242809 -.0434252 .1388698 forex 117 .00672 .0183981 -.0896994 .073236 size 117 19.19411 .9633772 16.53155 21.12201 nii 117 .0897465 .0529351 .0019361 .2676877 inf 117 .0593111 .0503876 .0063 .1858 gdp 117 .0654556 .0092541 .0525 .0846 lta 117 .5693268 .1200375 .1472547 .7538183 eta 117 .0785778 .0267849 .0406177 .2195057 roa 117 .0081644 .0083033 -.0551175 .0266516 te 117 .9415233 .0677219 .74232 1 Variable Obs Mean Std. Dev. Min Max inf -0.0505 -0.1682 -0.2973 -0.2904 0.0972 -0.0739 -0.4292 0.3990 1.0000 gdp -0.0585 -0.0975 -0.0076 0.0809 -0.1442 0.0767 -0.0383 1.0000 lta -0.0887 0.0038 0.1802 0.6596 -0.1397 0.2492 1.0000 roa 0.2072 0.1562 0.3888 0.3112 0.2646 1.0000 eta 0.0299 -0.0039 0.3075 -0.4208 1.0000 size 0.1904 0.2434 0.2652 1.0000 nii 0.2109 0.2998 1.0000 se 0.4934 1.0000 te 1.0000 te se nii size eta roa lta gdp inf Bảng 3. Kiểm tra đa cộng tuyến giữa các biến độc lập trong mô hình các yếu tố tác động đến hoạt động ngân hàng phi truyền thống Bảng 4. Kiểm tra đa cộng tuyến giữa các biến độc lập trong mô hình tác động của hoạt động ngân hàng phi truyền thống đến hiệu quả ngân hàng branch 0.0390 -0.0131 0.4232 -0.3606 0.4602 1.0000 llp 0.2938 -0.0240 0.3975 0.0014 1.0000 eta 0.3075 0.2148 -0.1315 1.0000 dep 0.0928 -0.1668 1.0000 nim 0.1544 1.0000 nii 1.0000 nii nim dep eta llp branch Mean VIF 1.36 nim 1.09 0.914916 eta 1.27 0.788510 dep 1.34 0.743977 llp 1.41 0.707566 branch 1.66 0.600819 Variable VIF 1/VIF Mean VIF 2.19 forex 1.30 0.769077 gdp 1.43 0.697778 inf 1.82 0.549244 ser 1.94 0.514577 sec 2.10 0.477136 nii 2.21 0.451538 lta 2.27 0.440611 eta 2.40 0.417228 roa 2.88 0.346731 size 3.52 0.283771 Variable VIF 1/VIF Phụ lục 4: Các yếu tố ảnh hưởng đến hoạt động ngân hàng phi truyền thống Bảng 5. Kết quả ước lượng mô hình các yếu tố tác động đến hoạt động NHPTT bằng phương pháp các yếu tố tác động cố định (FEM) Bảng 6. Kết quả ước lượng mô hình các yếu tố tác động đến hoạt động NHPTT bằng phương pháp các yếu tố tác động ngẫu nhiên (REM) F test that all u_i=0: F(12, 99) = 4.36 Prob > F = 0.0000 rho .52009406 (fraction of variance due to u_i) sigma_e .04168238 sigma_u .04339257 _cons -.2215493 .1184591 -1.87 0.064 -.4565979 .0134993 branch .035653 .0218879 1.63 0.107 -.0077773 .0790833 llp 4.246266 2.407894 1.76 0.081 -.531518 9.024049 eta .5369683 .1945929 2.76 0.007 .1508538 .9230827 dep .0468617 .0513412 0.91 0.364 -.0550104 .1487338 nim .137164 .4372392 0.31 0.754 -.7304135 1.004742 nii Coef. Std. Err. t P>|t| [95% Conf. Interval] corr(u_i, Xb) = -0.5940 Prob > F = 0.0003 F(5,99) = 5.23 overall = 0.0660 max = 9 between = 0.0170 avg = 9.0 within = 0.2091 min = 9 R-sq: Obs per group: Group variable: id Number of groups = 13 Fixed-effects (within) regression Number of obs = 117 rho .32466263 (fraction of variance due to u_i) sigma_e .04168238 sigma_u .02890069 _cons -.0571346 .0635321 -0.90 0.368 -.1816553 .0673861 branch .005384 .0108316 0.50 0.619 -.0158455 .0266135 llp 4.274285 2.15885 1.98 0.048 .0430159 8.505554 eta .4996856 .185046 2.70 0.007 .1370022 .8623691 dep .0544679 .0451437 1.21 0.228 -.0340121 .142948 nim .279615 .3567715 0.78 0.433 -.4196443 .9788742 nii Coef. Std. Err. z P>|z| [95% Conf. Interval] corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0001 Wald chi2(5) = 25.31 overall = 0.1690 max = 9 between = 0.1239 avg = 9.0 within = 0.1914 min = 9 R-sq: Obs per group: Group variable: id Number of groups = 13 Random-effects GLS regression Number of obs = 117 Bảng 7: Kiểm định Hausman Bảng 8. Kiểm định Breusch and Pagan Lagrangian multiplier Bảng 9. Kiểm định Wooldridge Prob>chi2 = 0.3422 = 5.65 chi2(5) = (b-B)'[(V_b-V_B)^(-1)](b-B) Test: Ho: difference in coefficients not systematic B = inconsistent under Ha, efficient under Ho; obtained from xtreg b = consistent under Ho and Ha; obtained from xtreg branch .035653 .005384 .030269 .0190199 llp 4.246266 4.274285 -.028019 1.066451 eta .5369683 .4996856 .0372826 .0602027 dep .0468617 .0544679 -.0076062 .0244533 nim .137164 .279615 -.1424509 .2527692 fe re Difference S.E. (b) (B) (b-B) sqrt(diag(V_b-V_B)) Coefficients Prob > chibar2 = 0.0000 chibar2(01) = 22.81 Test: Var(u) = 0 u .0008352 .0289007 e .0017374 .0416824 nii .0028021 .0529351 Var sd = sqrt(Var) Estimated results: nii[id,t] = Xb + u[id] + e[id,t] Breusch and Pagan Lagrangian multiplier test for random effects Prob > F = 0.0002 F( 1, 12) = 28.031 H0: no first-order autocorrelation Wooldridge test for autocorrelation in panel data Bảng 10. Kết quả ước lượng mô hình các yếu tố tác động đến hoạt động NHPTT bằng phương pháp SGMM Difference (null H = exogenous): chi2(3) = 3.03 Prob > chi2 = 0.387 Hansen test excluding group: chi2(1) = 2.56 Prob > chi2 = 0.109 iv(dep eta branch) Difference (null H = exogenous): chi2(1) = 0.97 Prob > chi2 = 0.326 Hansen test excluding group: chi2(3) = 4.62 Prob > chi2 = 0.201 GMM instruments for levels Difference-in-Hansen tests of exogeneity of instrument subsets: (Robust, but weakened by many instruments.) Hansen test of overid. restrictions: chi2(4) = 5.59 Prob > chi2 = 0.232 (Not robust, but not weakened by many instruments.) Sargan test of overid. restrictions: chi2(4) = 9.86 Prob > chi2 = 0.043 Arellano-Bond test for AR(2) in first differences: z = -1.29 Pr > z = 0.196 Arellano-Bond test for AR(1) in first differences: z = 1.90 Pr > z = 0.057 D.L2.nii collapsed GMM-type (missing=0, separate instruments for each period unless collapsed) _cons dep eta branch Standard Instruments for levels equation L(1/8).L2.nii collapsed GMM-type (missing=0, separate instruments for each period unless collapsed) D.(dep eta branch) Standard Instruments for first differences equation Warning: Uncorrected two-step standard errors are unreliable. _cons -.1002407 .0361243 -2.77 0.017 -.1789487 -.0215327 branch .0599226 .0231259 2.59 0.024 .0095357 .1103096 llp -31.55979 12.71789 -2.48 0.029 -59.26969 -3.849882 eta 1.096811 .342179 3.21 0.008 .3512671 1.842355 dep .0248673 .0717229 0.35 0.735 -.1314036 .1811382 nim -1.036749 1.430507 -0.72 0.483 -4.153557 2.080059 L1. .3311027 .097417 3.40 0.005 .1188493 .5433562 nii nii Coef. Std. Err. t P>|t| [95% Conf. Interval] Prob > F = 0.000 max = 8 F(6, 12) = 26.15 avg = 8.00 Number of instruments = 11 Obs per group: min = 8 Time variable : year Number of groups = 13 Group variable: id Number of obs = 104 Dynamic panel-data estimation, two-step system GMM Phụ lục 5: Tác động của hoạt động ngân hàng phi truyền thống đến hiệu quả Bảng 11. Kết quả ước lượng mô hình tác động của hoạt động NHPTT đến hiệu quả ngân hàng bằng phương pháp các yếu tố tác động cố định (FEM) Bảng 12. Kết quả ước lượng mô hình tác động của hoạt động NHPTT đến hiệu quả ngân hàng bằng phương pháp các yếu tố tác động cố định (REM) F test that all u_i=0: F(12, 97) = 8.61 Prob > F = 0.0000 rho .51053911 (fraction of variance due to u_i) sigma_e .04666224 sigma_u .04765638 _cons .3888387 .3592965 1.08 0.282 -.3242654 1.101943 size .0325939 .0191657 1.70 0.092 -.0054448 .0706325 nii -.0229257 .1268178 -0.18 0.857 -.2746239 .2287726 inf -.0151181 .1674782 -0.09 0.928 -.347516 .3172798 gdp -.5702056 .6421607 -0.89 0.377 -1.844717 .7043056 lta -.1411219 .0769856 -1.83 0.070 -.293917 .0116732 roa .7325005 .7417384 0.99 0.326 -.7396449 2.204646 eta .5308853 .2911636 1.82 0.071 -.0469939 1.108764 te Coef. Std. Err. t P>|t| [95% Conf. Interval] corr(u_i, Xb) = 0.0213 Prob > F = 0.1788 F(7,97) = 1.49 overall = 0.1422 max = 9 between = 0.1776 avg = 9.0 within = 0.0973 min = 9 R-sq: Obs per group: Group variable: id Number of groups = 13 Fixed-effects (within) regression Number of obs = 117 rho .43046992 (fraction of variance due to u_i) sigma_e .04666224 sigma_u .04056754 _cons .4437978 .2522968 1.76 0.079 -.0506949 .9382904 size .0304828 .0135703 2.25 0.025 .0038856 .05708 nii .0088673 .1226968 0.07 0.942 -.2316139 .2493486 inf -.045616 .1379887 -0.33 0.741 -.316069 .2248369 gdp -.5243688 .5871533 -0.89 0.372 -1.675168 .6264306 lta -.1694129 .0710827 -2.38 0.017 -.3087323 -.0300934 roa .8476004 .7033388 1.21 0.228 -.5309183 2.226119 eta .488673 .2766735 1.77 0.077 -.0535971 1.030943 te Coef. Std. Err. z P>|z| [95% Conf. Interval] corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0586 Wald chi2(7) = 13.61 overall = 0.1602 max = 9 between = 0.2143 avg = 9.0 within = 0.0954 min = 9 R-sq: Obs per group: Group variable: id Number of groups = 13 Random-effects GLS regression Number of obs = 117 Bảng 13. Kiểm định Hausman Bảng 14. Kiểm định Breusch and Pagan Lagrangian multiplier Bảng 15. Kiểm định Wooldridge Test: Ho: difference in coefficients not systematic B = inconsistent under Ha, efficient under Ho; obtained from xtreg b = consistent under Ho and Ha; obtained from xtreg size .0325939 .0304828 .0021111 .0135341 nii -.0229257 .0088673 -.031793 .0320666 inf -.0151181 -.045616 .0304979 .0949108 gdp -.5702056 -.5243688 -.0458368 .260041 lta -.1411219 -.1694129 .028291 .0295641 roa .7325005 .8476004 -.1150999 .235564 eta .5308853 .488673 .0422123 .0907085 fe re Difference S.E. (b) (B) (b-B) sqrt(diag(V_b-V_B)) Coefficients Prob>chi2 = 0.3422 = 5.65 chi2(5) = (b-B)'[(V_b-V_B)^(-1)](b-B) Test: Ho: difference in coefficients not systematic B = inconsistent under Ha, efficient under Ho; obtained from xtreg b = consistent under Ho and Ha; obtained from xtreg branch .035653 .005384 .030269 .0190199 llp 4.246266 4.274285 -.028019 1.066451 eta .5369683 .4996856 .0372826 .0602027 dep 046 617 .0544 9 - 076062 244533 nim .137164 .279615 -.1424509 .2527692 fe re Difference S.E. (b) (B) (b-B) sqrt(diag(V_b-V_B)) Coefficient Prob > chibar2 = 0.0000 chibar2(01) = 84.64 Test: Var(u) = 0 u .0016457 .0405675 e .0021774 .0466622 te .0045863 .0677219 Var sd = sqrt(Var) Estimated results: te[id,t] = Xb + u[id] + e[id,t] Breusch and Pagan Lagrangian multiplier test for random effects Prob > F = 0.0967 F( 1, 12) = 3.248 H0: no first-order autocorrelation Wooldridge test for autocorrelation in panel data Bảng 16. Kết quả ước lượng mô hình tác động của hoạt động NHPTT đến hiệu quả ngân hàng bằng phương pháp SGMM Bảng 17. Kết quả ước lượng mô hình tác động của tỷ lệ thu nhập từ kinh doanh ngoại hối trên tổng thu nhập (FOREX) đến hiệu quả ngân hàng bằng phương pháp FEM Bảng 18. Kết quả ước lượng mô hình tác động của tỷ lệ thu nhập từ kinh doanh ngoại hối trên tổng thu nhập (FOREX) đến hiệu quả ngân hàng bằng phương pháp REM F test that all u_i=0: F(12, 97) = 10.23 Prob > F = 0.0000 rho .57810795 (fraction of variance due to u_i) sigma_e .04454871 sigma_u .05214815 _cons .6222224 .3368306 1.85 0.068 -.0462932 1.290738 forex -1.009603 .3282822 -3.08 0.003 -1.661152 -.3580534 size .0199128 .018051 1.10 0.273 -.0159134 .0557391 inf -.1907415 .1694223 -1.13 0.263 -.5269977 .1455148 gdp -.2252709 .6224675 -0.36 0.718 -1.460696 1.010155 lta -.1271277 .0735078 -1.73 0.087 -.2730203 .0187649 roa 1.359247 .7357868 1.85 0.068 -.1010861 2.81958 eta .397244 .255836 1.55 0.124 -.1105195 .9050076 te Coef. Std. Err. t P>|t| [95% Conf. Interval] corr(u_i, Xb) = -0.0710 Prob > F = 0.0070 F(7,97) = 2.98 overall = 0.0889 max = 9 between = 0.0281 avg = 9.0 within = 0.1772 min = 9 R-sq: Obs per group: Group variable: id Number of groups = 13 Fixed-effects (within) regression Number of obs = 117 rho .46127122 (fraction of variance due to u_i) sigma_e .04454871 sigma_u .04122192 _cons .4693593 .2405785 1.95 0.051 -.0021659 .9408846 forex -.8288259 .3143582 -2.64 0.008 -1.444957 -.2126951 size .0288713 .0129782 2.22 0.026 .0034346 .0543081 inf -.1451801 .136282 -1.07 0.287 -.4122878 .1219277 gdp -.3702265 .5659486 -0.65 0.513 -1.479465 .7390123 lta -.1571474 .0690941 -2.27 0.023 -.2925693 -.0217254 roa 1.216118 .6945266 1.75 0.080 -.1451291 2.577365 eta .4576029 .2439564 1.88 0.061 -.0205428 .9357486 te Coef. Std. Err. z P>|z| [95% Conf. Interval] corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0035 Wald chi2(7) = 21.22 overall = 0.1314 max = 9 between = 0.0995 avg = 9.0 within = 0.1723 min = 9 R-sq: Obs per group: Group variable: id Number of groups = 13 Random-effects GLS regression Number of obs = 117 Bảng 19. Kiểm định Hausman Bảng 20. Kiểm định Breusch and Pagan Lagrangian multiplier Bảng 21. Kiểm định Wooldridge (V_b-V_B is not positive definite) Prob>chi2 = 0.9473 = 2.21 chi2(7) = (b-B)'[(V_b-V_B)^(-1)](b-B) Test: Ho: difference in coefficients not systematic B = inconsistent under Ha, efficient under Ho; obtained from xtreg b = consistent under Ho and Ha; obtained from xtreg forex -1.009603 -.8288259 -.1807768 .0945945 size .0199128 .0288713 -.0089585 .0125461 inf -.1907415 -.1451801 -.0455614 .1006535 gdp -.2252709 -.3702265 .1449556 .2591679 lta -.1271277 -.1571474 .0300196 .0250879 roa 1.359247 1.216118 .1431291 .2429302 eta .397244 .4576029 -.0603588 .0770541 fe re Difference S.E. (b) (B) (b-B) sqrt(diag(V_b-V_B)) Coefficients Prob > chibar2 = 0.0000 chibar2(01) = 92.85 Test: Var(u) = 0 u .0016992 .0412219 e .0019846 .0445487 te .0045863 .0677219 Var sd = sqrt(Var) Estimated results: te[id,t] = Xb + u[id] + e[id,t] Breusch and Pagan Lagrangian multiplier test for random effects Prob > F = 0.2208 F( 1, 12) = 1.668 H0: no first-order autocorrelation Wooldridge test for autocorrelation in panel data Bảng 22. Kết quả ước lượng mô hình tác động của tỷ lệ thu nhập từ kinh doanh ngoại hối trên tổng thu nhập (FOREX) đến hiệu quả ngân hàng bằng phương pháp SGMM Difference (null H = exogenous): chi2(4) = 4.58 Prob > chi2 = 0.334 Hansen test excluding group: chi2(0) = 0.00 Prob > chi2 = . iv(L.te inf size ser) Difference (null H = exogenous): chi2(1) = 3.29 Prob > chi2 = 0.070 Hansen test excluding group: chi2(3) = 1.29 Prob > chi2 = 0.732 GMM instruments for levels Difference-in-Hansen tests of exogeneity of instrument subsets: (Robust, but weakened by many instruments.) Hansen test of overid. restrictions: chi2(4) = 4.58 Prob > chi2 = 0.334 (Not robust, but not weakened by many instruments.) Sargan test of overid. restrictions: chi2(4) = 3.78 Prob > chi2 = 0.436 Arellano-Bond test for AR(2) in first differences: z = 1.17 Pr > z = 0.241 Arellano-Bond test for AR(1) in first differences: z = -2.66 Pr > z = 0.008 D.L.roa collapsed GMM-type (missing=0, separate instruments for each period unless collapsed) _cons L.te inf size ser Standard Instruments for levels equation L(1/8).L.roa collapsed GMM-type (missing=0, separate instruments for each period unless collapsed) D.(L.te inf size ser) Standard Instruments for first differences equation Warning: Uncorrected two-step standard errors are unreliable. _cons .1209858 .4804391 0.25 0.805 -.925801 1.167773 forex .6889355 .2521561 2.73 0.018 .1395347 1.238336 size .0283238 .0315866 0.90 0.388 -.0404976 .0971452 inf .2769913 .3900174 0.71 0.491 -.5727837 1.126766 gdp 2.904221 2.460214 1.18 0.261 -2.456126 8.264567 lta -.4462872 .338638 -1.32 0.212 -1.184116 .2915416 roa -1.119513 1.734015 -0.65 0.531 -4.897606 2.658581 eta .0541404 .4378831 0.12 0.904 -.8999249 1.008206 L1. .3658698 .1772144 2.06 0.061 -.0202472 .7519867 te te Coef. Std. Err. t P>|t| [95% Conf. Interval] Prob > F = 0.000 max = 8 F(8, 12) = 88.45 avg = 8.00 Number of instruments = 13 Obs per group: min = 8 Time variable : year Number of groups = 13 Group variable: id Number of obs = 104 Dynamic panel-data estimation, two-step system GMM Bảng 23. Kết quả ước lượng mô hình tác động của tỷ lệ thu nhập từ dịch vụ (SER) đến hiệu quả ngân hàng bằng phương pháp FEM Bảng 24. Kết quả ước lượng mô hình tác động của tỷ lệ thu nhập từ dịch vụ (SER) đến hiệu quả ngân hàng bằng phương pháp REM . F test that all u_i=0: F(12, 97) = 6.82 Prob > F = 0.0000 rho .48050543 (fraction of variance due to u_i) sigma_e .04619799 sigma_u .04443055 _cons .3904164 .3418721 1.14 0.256 -.2881051 1.068938 ser -.4901816 .3472466 -1.41 0.161 -1.17937 .1990068 size .0324676 .018303 1.77 0.079 -.0038588 .0687939 inf -.024096 .1652767 -0.15 0.884 -.3521244 .3039325 gdp -.5088473 .6363521 -0.80 0.426 -1.77183 .7541356 lta -.1123441 .0789138 -1.42 0.158 -.2689662 .0442781 roa 1.165492 .7937305 1.47 0.145 -.4098429 2.740828 eta .4285755 .2687447 1.59 0.114 -.1048084 .9619594 te Coef. Std. Err. t P>|t| [95% Conf. Interval] corr(u_i, Xb) = 0.1817 Prob > F = 0.0953 F(7,97) = 1.80 overall = 0.2234 max = 9 between = 0.3238 avg = 9.0 within = 0.1151 min = 9 R-sq: Obs per group: Group variable: id Number of groups = 13 Fixed-effects (within) regression Number of obs = 117 rho .35758239 (fraction of variance due to u_i) sigma_e .04619799 sigma_u .03446691 _cons .3983283 .228994 1.74 0.082 -.0504917 .8471483 ser -.6741023 .3122628 -2.16 0.031 -1.286126 -.0620784 size .0331283 .0123769 2.68 0.007 .00887 .0573867 inf -.0794694 .1300604 -0.61 0.541 -.3343832 .1754444 gdp -.401125 .574696 -0.70 0.485 -1.527509 .7252585 lta -.148028 .0706167 -2.10 0.036 -.2864343 -.0096218 roa 1.500456 .7535498 1.99 0.046 .023526 2.977387 eta .4214347 .2496835 1.69 0.091 -.0679359 .9108053 te Coef. Std. Err. z P>|z| [95% Conf. Interval] corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0070 Wald chi2(7) = 19.42 overall = 0.2615 max = 9 between = 0.4326 avg = 9.0 within = 0.1121 min = 9 R-sq: Obs per group: Group variable: id Number of groups = 13 Random-effects GLS regression Number of obs = 117 Bảng 25. Kiểm định Hausman Bảng 26. Kiểm định Breusch and Pagan Lagrangian multiplier Bảng 27. Kiểm định Wooldridge (V_b-V_B is not positive definite) Prob>chi2 = 0.9999 = 0.29 chi2(7) = (b-B)'[(V_b-V_B)^(-1)](b-B) Test: Ho: difference in coefficients not systematic B = inconsistent under Ha, efficient under Ho; obtained from xtreg b = consistent under Ho and Ha; obtained from xtreg ser -.4901816 -.6741023 .1839207 .1518951 size .0324676 .0331283 -.0006608 .0134837 inf -.024096 -.0794694 .0553735 .1019836 gdp -.5088473 -.401125 -.1077222 .2732554 lta -.1123441 -.148028 .0356839 .0352232 roa 1.165492 1.500456 -.334964 .2493407 eta .4285755 .4214347 .0071408 .0994078 fe re Difference S.E. (b) (B) (b-B) sqrt(diag(V_b-V_B)) Coefficients Prob > chibar2 = 0.0000 chibar2(01) = 50.12 Test: Var(u) = 0 u .001188 .0344669 e .0021343 .046198 te .0045863 .0677219 Var sd = sqrt(Var) Estimated results: te[id,t] = Xb + u[id] + e[id,t] Breusch and Pagan Lagrangian multiplier test for random effects Prob > F = 0.1176 F( 1, 12) = 2.842 H0: no first-order autocorrelation Wooldridge test for autocorrelation in panel data Bảng 28. Kết quả ước lượng mô hình tác động của tỷ lệ thu nhập từ dịch vụ (SER) đến hiệu quả ngân hàng bằng phương pháp SGMM Bảng 29. Kết quả ước lượng mô hình tác động của tỷ lệ thu nhập từ mua bán chứng khoán trên tổng thu nhập (SEC) đến hiệu quả ngân hàng bằng phương pháp FEM Bảng 30. Kết quả ước lượng mô hình tác động của tỷ lệ thu nhập từ mua bán chứng khoán trên tổng thu nhập (SEC) đến hiệu quả ngân hàng bằng phương pháp FEM . F test that all u_i=0: F(12, 97) = 9.68 Prob > F = 0.0000 rho .55961705 (fraction of variance due to u_i) sigma_e .04530365 sigma_u .05106971 _cons .4879007 .3367018 1.45 0.151 -.1803592 1.156161 sec -.5615198 .2304004 -2.44 0.017 -1.018801 -.1042388 size .0288494 .0179776 1.60 0.112 -.0068311 .06453 inf -.039737 .1622605 -0.24 0.807 -.3617791 .2823051 gdp -.9852082 .6442914 -1.53 0.129 -2.263948 .2935319 lta -.1344044 .0746566 -1.80 0.075 -.282577 .0137682 roa 2.299063 .9632877 2.39 0.019 .3872037 4.210923 eta .3706384 .2637244 1.41 0.163 -.1527814 .8940583 te Coef. Std. Err. t P>|t| [95% Conf. Interval] corr(u_i, Xb) = -0.1403 Prob > F = 0.0246 F(7,97) = 2.43 overall = 0.1067 max = 9 between = 0.0838 avg = 9.0 within = 0.1491 min = 9 R-sq: Obs per group: Group variable: id Number of groups = 13 Fixed-effects (within) regression Number of obs = 117 . rho .3170263 (fraction of variance due to u_i) sigma_e .04530365 sigma_u .03086589 _cons .5234436 .2299256 2.28 0.023 .0727977 .9740895 sec -.3919349 .2349151 -1.67 0.095 -.85236 .0684903 size .0276139 .0123089 2.24 0.025 .0034888 .051739 inf -.0882755 .1310968 -0.67 0.501 -.3452204 .1686694 gdp -.7601545 .5989484 -1.27 0.204 -1.934072 .4137629 lta -.1765107 .0699209 -2.52 0.012 -.3135532 -.0394682 roa 1.974135 .9617916 2.05 0.040 .0890585 3.859212 eta .3902589 .2575141 1.52 0.130 -.1144593 .8949772 te Coef. Std. Err. z P>|z| [95% Conf. Interval] corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0135 Wald chi2(7) = 17.68 overall = 0.1376 max = 9 between = 0.1362 avg = 9.0 within = 0.1409 min = 9 R-sq: Obs per group: Group variable: id Number of groups = 13 Random-effects GLS regression Number of obs = 117 Bảng 31. Kiểm định Hausman Bảng 32. Kiểm định Breusch and Pagan Lagrangian multiplier Bảng 33. Kiểm định Wooldridge Test: Ho: difference in coefficients not systematic B = inconsistent under Ha, efficient under Ho; obtained from xtreg b = consistent under Ho and Ha; obtained from xtreg sec -.5615198 -.3919349 -.1695849 . size .0288494 .0276139 .0012355 .0131028 inf -.039737 -.0882755 .0485385 .0956143 gdp -.9852082 -.7601545 -.2250537 .2374284 lta -.1344044 -.1765107 .0421063 .0261662 roa 2.299063 1.974135 .3249278 .0536668 eta .3706384 .3902589 -.0196205 .0568951 fe re Difference S.E. (b) (B) (b-B) sqrt(diag(V_b-V_B)) Coefficients (V_b-V_B is not positive definite) Prob>chi2 = 0.9999 = 0.29 chi2(7) = (b-B)'[(V_b-V_B)^(-1)](b-B) Test: Ho: difference in coefficients not systematic B = inconsistent under Ha, efficient under Ho; obtained from xtreg b = consistent under Ho and Ha; obtained from xtreg ser -.4901816 -.6741023 .1839207 .1518951 size 0324676 033 283 0006608 013 837 inf -.024096 -.0794694 .0553735 .1019836 gdp -.5088473 -.401125 -.1077222 .2732554 lta -.1123441 -.148028 .0356839 .0352232 roa 1.165492 1.500456 -.334964 .2493407 eta .4285755 .4214347 .0071408 .0994078 fe re Difference S.E. (b) (B) (b-B) sqrt(diag(V_b-V_B)) Coefficients Prob > chibar2 = 0.0000 chibar2(01) = 80.78 Test: Var(u) = 0 u .0009527 .0308659 e .0020524 .0453036 te .0045863 .0677219 Var sd = sqrt(Var) Estimated results: te[id,t] = Xb + u[id] + e[id,t] Breusch and Pagan Lagrangian multiplier test for random effects Prob > F = 0.1256 F( 1, 12) = 2.711 H0: no first-order autocorrelation Wooldridge test for autocorrelation in panel data Bảng 34. Kết quả ước lượng mô hình tác động của tỷ lệ thu nhập từ mua bán chứng khoán trên tổng thu nhập (SEC) đến hiệu quả ngân hàng bằng phương pháp SGMM Bảng 35. Kết quả ước lượng mô hình tác động của tỷ lệ thu nhập từ dịch vụ khác trên tổng thu nhập (OTHER) đến hiệu quả ngân hàng bằng phương pháp FEM Bảng 36. Kết quả ước lượng mô hình tác động của tỷ lệ thu nhập từ dịch vụ khác trên tổng thu nhập (OTHER) đến hiệu quả ngân hàng bằng phương pháp FEM . F test that all u_i=0: F(12, 97) = 8.80 Prob > F = 0.0000 rho .50892961 (fraction of variance due to u_i) sigma_e .04499346 sigma_u .04580431 _cons .7956127 .362283 2.20 0.030 .0765812 1.514644 other .4533009 .1670442 2.71 0.008 .1217643 .7848374 size .0120043 .0192353 0.62 0.534 -.0261725 .0501812 inf -.0317707 .1609205 -0.20 0.844 -.3511534 .287612 gdp -.8932659 .628798 -1.42 0.159 -2.141256 .3547241 lta -.1038434 .075404 -1.38 0.172 -.2534994 .0458126 roa 2.657551 1.00546 2.64 0.010 .661992 4.65311 eta -.0041444 .318114 -0.01 0.990 -.6355126 .6272239 te Coef. Std. Err. t P>|t| [95% Conf. Interval] corr(u_i, Xb) = 0.1177 Prob > F = 0.0149 F(7,97) = 2.65 overall = 0.2109 max = 9 between = 0.2601 avg = 9.0 within = 0.1607 min = 9 R-sq: Obs per group: Group variable: id Number of groups = 13 Fixed-effects (within) regression Number of obs = 117 . rho .45426688 (fraction of variance due to u_i) sigma_e .04499346 sigma_u .04105015 _cons .7281435 .2585681 2.82 0.005 .2213594 1.234928 other .4615036 .1609717 2.87 0.004 .146005 .7770023 size .0161529 .0138051 1.17 0.242 -.0109046 .0432104 inf -.0207409 .1303403 -0.16 0.874 -.2762032 .2347214 gdp -.9616096 .5808864 -1.66 0.098 -2.100126 .1769068 lta -.1198513 .070593 -1.70 0.090 -.258211 .0185083 roa 2.663918 .9279716 2.87 0.004 .8451268 4.482709 eta .0019204 .2976689 0.01 0.995 -.5814999 .5853407 te Coef. Std. Err. z P>|z| [95% Conf. Interval] corr(u_i, X) = 0 (assumed) Prob > chi2 = 0.0019 Wald chi2(7) = 22.69 overall = 0.2175 max = 9 between = 0.2712 avg = 9.0 within = 0.1599 min = 9 R-sq: Obs per group: Group variable: id Number of groups = 13 Random-effects GLS regression Number of obs = 117 Bảng 37. Kiểm định Hausman Bảng 38. Kiểm định Breusch and Pagan Lagrangian multiplier Bảng 39. Kiểm định Wooldridge Test: Ho: difference in coefficients not systematic B = inconsistent under Ha, efficient under Ho; obtained from xtreg b = consistent under Ho and Ha; obtained from xtreg other .4533009 .4615036 -.0082028 .0446306 size .0120043 .0161529 -.0041485 .0133947 inf -.0317707 -.0207409 -.0110298 .0943759 gdp -.8932659 -.9616096 .0683437 .2407445 lta -.1038434 -.1198513 .016008 .0265027 roa 2.657551 2.663918 -.0063665 .3870632 eta -.0041444 .0019204 -.0060648 .1122041 fe re Difference S.E. (b) (B) (b-B) sqrt(diag(V_b-V_B)) Coefficients (V_b-V_B is not positive definite) Prob>chi2 = 0.3151 = 7.06 chi2(6) = (b-B)'[(V_b-V_B)^(-1)](b-B) Prob > chibar2 = 0.0000 chibar2(01) = 90.15 Test: Var(u) = 0 u .0016851 .0410501 e .0020244 .0449935 te .0045863 .0677219 Var sd = sqrt(Var) Estimated results: te[id,t] = Xb + u[id] + e[id,t] Breusch and Pagan Lagrangian multiplier test for random effects Prob > F = 0.1114 F( 1, 12) = 2.954 H0: no first-order autocorrelation Wooldridge test for autocorrelation in panel data Bảng 40. Kết quả ước lượng mô hình tác động của tỷ lệ thu nhập từ dịch vụ khác trên tổng thu nhập (OTHER) đến hiệu quả ngân hàng bằng phương pháp SGMM . Difference (null H = exogenous): chi2(1) = 0.01 Prob > chi2 = 0.908 Hansen test excluding group: chi2(1) = 0.46 Prob > chi2 = 0.499 GMM instruments for levels Difference-in-Hansen tests of exogeneity of instrument subsets: (Robust, but weakened by many instruments.) Hansen test of overid. restrictions: chi2(2) = 0.47 Prob > chi2 = 0.790 (Not robust, but not weakened by many instruments.) Sargan test of overid. restrictions: chi2(2) = 0.40 Prob > chi2 = 0.820 Arellano-Bond test for AR(2) in first differences: z = 0.09 Pr > z = 0.929 Arellano-Bond test for AR(1) in first differences: z = -1.75 Pr > z = 0.080 D.L2.other collapsed GMM-type (missing=0, separate instruments for each period unless collapsed) _cons L3.te L.size L2.inf Standard Instruments for levels equation L(1/8).L2.other collapsed GMM-type (missing=0, separate instruments for each period unless collapsed) D.(L3.te L.size L2.inf) Standard Instruments for first differences equation Warning: Uncorrected two-step standard errors are unreliable. _cons .1821625 1.06406 0.17 0.867 -2.136226 2.500551 other 1.489636 .709911 2.10 0.058 -.0571277 3.036399 size .0615963 .0754966 0.82 0.430 -.1028965 .2260892 inf -2.342594 1.860461 -1.26 0.232 -6.396192 1.711003 gdp 3.012647 4.241668 0.71 0.491 -6.229153 12.25445 lta -.8363086 .793189 -1.05 0.312 -2.564519 .8919017 roa -.7590632 4.519905 -0.17 0.869 -10.60709 9.088963 eta -.4462043 2.04453 -0.22 0.831 -4.900853 4.008444 L1. -.0622898 .476442 -0.13 0.898 -1.100368 .975788 te te Coef. Std. Err. t P>|t| [95% Conf. Interval] Prob > F = 0.000 max = 6 F(8, 12) = 31.85 avg = 6.00 Number of instruments = 11 Obs per group: min = 6 Time variable : year Number of groups = 13 Group variable: id Number of obs = 78 Dynamic panel-data estimation, two-step system GMM