Luận án Những nhân tố ảnh hưởng đến rủi ro tín dụng trong hệ thống ngân hàng thương mại Việt Nam

,538839 11,52647 0,0000 GGDP -307,9663 26,62690 -11,56598 0,0000 ESI -4,730410 1,671456 -2,830113 0,0051 EXI -0,001761 0,037378 -0,047106 0,9625 R-squared 0,403733 Mean dependent var -0,790059 Adjusted R-squared 0,396217 S.D. dependent var 2,444571 S.E. of regression 1,899516 Akaike info criterion 4,137466 Sum squared resid 858,7426 Schwarz criterion 4,195135 Log likelihood -496,6334 Hannan-Quinn criter. 4,160697 F-statistic 53,71669 Durbin-Watson stat 2,094874 Prob(F-statistic) 0,000000  = ½ RSS = ½ 858,7426>2(0,05,m-1) = 2(0,05,4)= 9,48773 , với df = m-1 = 4. Ta bác bỏ giả thiết H0, nghĩa là có hiện tượng phương sai thay đổi giữa CPI với các biến khác 185 Phụ lục 15. Kiểm định phương sai thay đổi trong mô hình kiểm định các nhân tố đặc trưng hoạt động ngân hàng 15.1. Mô hình LLR2 15.1.1. Kiểm định biến GLOAN Dependent Variable: PLOAN Method: Panel Least Squares Date: 01/31/18 Time: 21:00 Sample: 2004 2015 Periods included: 12 Cross-sections included: 31 Total panel (unbalanced) observations: 366 Variable Coefficient Std. Error t-Statistic Prob. C 566,5301 346,8875 1,633181 0,1033 LOG(SIZE) -24,29061 26,90665 -0,902774 0,3673 ETA 290,9870 481,8078 0,603948 0,5463 IIR -576,9718 1321,091 -0,436739 0,6626 NIM 5919,532 2277,245 2,599427 0,0097 LDR 33,38507 52,59351 0,634775 0,5260 OEXPR -33215,55 1499,166 -22,15602 0,0000 TTML -62,42509 64,27799 -0,971174 0,3321 GPROV 21286,71 9751,595 2,182895 0,0297 R-squared 0,593970 Mean dependent var -19,10115 Adjusted R-squared 0,584872 S.D. dependent var 1020,509 S.E. of regression 657,5183 Akaike info criterion 15,83911 Sum squared resid 1,54E+08 Schwarz criterion 15,93507 Log likelihood -2889,556 Hannan-Quinn criter. 15,87724 F-statistic 65,28077 Durbin-Watson stat 2,399888 Prob(F-statistic) 0,000000  = ½ RSS = ½ 154.000.000,00>2(0,05,m-1) = 2(0,05,9)= 16,919 , với df = m-1 = 9 . Ta bác bỏ giả thiết H0, nghĩa là có hiện tượng phương sai thay đổi giữa GLOAN với các biến khác. 15.1.2. Kiểm định biến Log(SIZE) Dependent Variable: PSIZE Method: Panel Least Squares Date: 01/31/18 Time: 21:02 Sample: 2004 2015 Periods included: 12 Cross-sections included: 31 Total panel (unbalanced) observations: 366 Variable Coefficient Std. Error t-Statistic Prob. C 96,68589 165,8342 0,583027 0,5602 GLOAN -52,61529 66,96462 -0,785718 0,4326 ETA -1275,560 636,1252 -2,005203 0,0457 IIR 641,5317 1891,893 0,339095 0,7347 NIM 743,0685 3454,336 0,215112 0,8298 LDR -102,7271 78,72163 -1,304941 0,1928 OEXPR 33283,89 2208,782 15,06889 0,0000 TTML -54,09670 106,1221 -0,509759 0,6105 GPROV -21039,38 13822,24 -1,522140 0,1289 R-squared 0,406453 Mean dependent var 395,4336 Adjusted R-squared 0,393153 S.D. dependent var 1280,385 S.E. of regression 997,4249 Akaike info criterion 16,67251 Sum squared resid 3,55E+08 Schwarz criterion 16,76848 Log likelihood -3042,070 Hannan-Quinn criter. 16,71065 F-statistic 30,55866 Durbin-Watson stat 2,156463 Prob(F-statistic) 0,000000  = ½ RSS = ½ 355.000.000,00 >2(0,05,m-1) = 2(0,05,9)= 16,919 , với df = m-1 = 9. Ta bác bỏ giả thiết H0, nghĩa là có hiện tượng phương sai thay đổi giữa Log(SIZE) với các biến khác. 187 15.1.3. Kiểm định biến ETA Dependent Variable: PETA Method: Panel Least Squares Date: 01/31/18 Time: 21:04 Sample: 2004 2015 Periods included: 12 Cross-sections included: 31 Total panel (unbalanced) observations: 366 Variable Coefficient Std. Error t-Statistic Prob. C 46,77383 70,91484 0,659577 0,5100 GLOAN 2,443706 10,45820 0,233664 0,8154 LOG(SIZE) -5,776273 5,548044 -1,041137 0,2985 IIR -495,0826 305,1971 -1,622173 0,1056 NIM -3060,278 505,6194 -6,052533 0,0000 LDR -2,368166 12,27412 -0,192940 0,8471 OEXPR 7687,554 351,3195 21,88194 0,0000 TTML 4,281207 16,52468 0,259080 0,7957 GPROV -847,0532 2287,733 -0,370259 0,7114 R-squared 0,599851 Mean dependent var 12,42407 Adjusted R-squared 0,590884 S.D. dependent var 241,0328 S.E. of regression 154,1698 Akaike info criterion 12,93827 Sum squared resid 8485290. Schwarz criterion 13,03424 Log likelihood -2358,703 Hannan-Quinn criter. 12,97640 F-statistic 66,89602 Durbin-Watson stat 2,534550 Prob(F-statistic) 0,000000  = ½ RSS = ½ 8.485.290.>2(0,05,m-1) = 2(0,05,9)= 16,919, với df = m-1 = 9. Ta bác bỏ giả thiết H0, nghĩa là có hiện tượng phương sai thay đổi giữa ETA với các biến khác. 15.1.4. Kiểm định biến IIR Dependent Variable: PIIR Method: Panel Least Squares Date: 01/31/18 Time: 21:07 Sample: 2004 2015 Periods included: 12 Cross-sections included: 31 Total panel (unbalanced) observations: 366 Variable Coefficient Std. Error t-Statistic Prob. C 12,54488 30,26135 0,414551 0,6787 GLOAN -0,550423 4,291581 -0,128256 0,8980 LOG(SIZE) -2,102628 2,469421 -0,851466 0,3951 ETA -84,03193 45,67534 -1,839766 0,0666 NIM 312,2937 216,7743 1,440640 0,1506 LDR -4,535519 5,026083 -0,902396 0,3675 OEXPR 952,6688 143,7755 6,626085 0,0000 TTML 0,532263 6,769842 0,078623 0,9374 GPROV 526,3659 877,3804 0,599929 0,5489 R-squared 0,138057 Mean dependent var 7,138627 Adjusted R-squared 0,118742 S.D. dependent var 67,30342 S.E. of regression 63,18132 Akaike info criterion 11,15418 Sum squared resid 1425101. Schwarz criterion 11,25014 Log likelihood -2032,214 Hannan-Quinn criter. 11,19231 F-statistic 7,147559 Durbin-Watson stat 2,056058 Prob(F-statistic) 0,000000  = ½ RSS = ½ 1.425.101.>2(0,05, m-1) = 2(0,05,9)= 16,919, với df = m-1 = 9. Ta bác bỏ giả thiết H0, nghĩa là có hiện tượng phương sai thay đổi giữa IIR với các biến khác. 189 15.1.5. Kiểm định biến NIM Dependent Variable: PNIM Method: Panel Least Squares Date: 01/31/18 Time: 21:09 Sample: 2004 2015 Periods included: 12 Cross-sections included: 31 Total panel (unbalanced) observations: 366 Variable Coefficient Std. Error t-Statistic Prob. C -41,85524 46,68709 -0,896506 0,3706 GLOAN 2,839733 5,963513 0,476185 0,6342 LOG(SIZE) 0,486136 3,634722 0,133748 0,8937 ETA -64,41822 61,00046 -1,056029 0,2917 IIR 167,8532 174,7494 0,960536 0,3374 LDR -4,457376 7,010464 -0,635818 0,5253 OEXPR 2506,914 198,7044 12,61630 0,0000 TTML 0,426931 9,407252 0,045383 0,9638 GPROV -429,5597 1317,410 -0,326064 0,7446 R-squared 0,323041 Mean dependent var 8,289341 Adjusted R-squared 0,307871 S.D. dependent var 105,5625 S.E. of regression 87,82198 Akaike info criterion 11,81278 Sum squared resid 2753434. Schwarz criterion 11,90875 Log likelihood -2152,739 Hannan-Quinn criter. 11,85092 F-statistic 21,29478 Durbin-Watson stat 2,193108 Prob(F-statistic) 0,000000  = ½ RSS = ½ 2.753.434>2(0,05, m-1) = 2(0,05,9)= 16,919, với df = m-1 = 9. Ta bác bỏ giả thiết H0, nghĩa là có hiện tượng phương sai thay đổi giữa NIM với các biến khác. 15.1.6. Kiểm định biến LDR Dependent Variable: PLDR Method: Panel Least Squares Date: 01/31/18 Time: 21:11 Sample: 2004 2015 Periods included: 12 Cross-sections included: 31 Total panel (unbalanced) observations: 366 Variable Coefficient Std. Error t-Statistic Prob. C 40,46146 428,5717 0,094410 0,9248 GLOAN 25,79298 56,37561 0,457520 0,6476 LOG(SIZE) -26,09654 33,90528 -0,769689 0,4420 ETA -271,3241 606,1308 -0,447633 0,6547 IIR -1860,959 1658,457 -1,122102 0,2626 NIM -11846,51 2869,547 -4,128356 0,0000 OEXPR 38606,83 1899,653 20,32310 0,0000 TTML -2,483479 88,87642 -0,027943 0,9777 GPROV 2456,533 12373,64 0,198530 0,8427 R-squared 0,560578 Mean dependent var 54,04793 Adjusted R-squared 0,550731 S.D. dependent var 1238,750 S.E. of regression 830,3035 Akaike info criterion 16,30574 Sum squared resid 2,46E+08 Schwarz criterion 16,40171 Log likelihood -2974,951 Hannan-Quinn criter. 16,34388 F-statistic 56,92884 Durbin-Watson stat 2,427575 Prob(F-statistic) 0,000000  = ½ RSS = ½ 246.000.000,00>2(0,05, m-1) = 2(0,05,9)= 16,919, với df = m-1 = 9. Ta bác bỏ giả thiết H0, nghĩa là có hiện tượng phương sai thay đổi giữa LDR với các biến khác. 191 15.1.7. Kiểm định biến OEXPR Dependent Variable: POEXPR Method: Panel Least Squares Date: 01/31/18 Time: 21:14 Sample: 2004 2015 Periods included: 12 Cross-sections included: 31 Total panel (unbalanced) observations: 366 Variable Coefficient Std. Error t-Statistic Prob. C -2482,658 578,0268 -4,295057 0,0000 GLOAN 76,65086 76,76997 0,998449 0,3187 LOG(SIZE) 194,1368 45,44736 4,271684 0,0000 ETA 2010,151 828,8212 2,425313 0,0158 IIR 4580,411 2266,429 2,020981 0,0440 NIM -3711,765 3885,588 -0,955265 0,3401 LDR 93,20710 90,75214 1,027051 0,3051 TTML 46,36122 121,5387 0,381452 0,7031 GPROV -19807,04 16996,09 -1,165388 0,2446 R-squared 0,054472 Mean dependent var -60,70243 Adjusted R-squared 0,033284 S.D. dependent var 1154,035 S.E. of regression 1134,667 Akaike info criterion 16,93035 Sum squared resid 4,60E+08 Schwarz criterion 17,02632 Log likelihood -3089,254 Hannan-Quinn criter. 16,96848 F-statistic 2,570849 Durbin-Watson stat 2,089273 Prob(F-statistic) 0,009737  = ½ RSS = ½ 460.000.000,00 >2(0,05, m-1) = 2(0,05,9)= 16,919, với df = m-1 = 9. Ta bác bỏ giả thiết H0, nghĩa là có hiện tượng phương sai thay đổi giữa OEXPR với các biến khác. 15.1.8. Kiểm định biến TTML Dependent Variable: PTTML Method: Panel Least Squares Date: 01/31/18 Time: 21:16 Sample: 2004 2015 Periods included: 12 Cross-sections included: 31 Total panel (unbalanced) observations: 366 Variable Coefficient Std. Error t-Statistic Prob. C 222,7140 429,9331 0,518020 0,6048 GLOAN -0,919441 50,62379 -0,018162 0,9855 LOG(SIZE) -14,82480 33,58246 -0,441445 0,6592 ETA 196,0508 599,5733 0,326984 0,7439 IIR 290,8529 1641,294 0,177209 0,8594 NIM 1605,252 2829,194 0,567389 0,5708 LDR 4,899833 65,30100 0,075035 0,9402 OEXPR -10817,34 1869,241 -5,787023 0,0000 GPROV 3370,844 12167,43 0,277038 0,7819 R-squared 0,090371 Mean dependent var -31,15300 Adjusted R-squared 0,069987 S.D. dependent var 847,3246 S.E. of regression 817,1359 Akaike info criterion 16,27377 Sum squared resid 2,38E+08 Schwarz criterion 16,36974 Log likelihood -2969,100 Hannan-Quinn criter. 16,31190 F-statistic 4,433467 Durbin-Watson stat 2,059043 Prob(F-statistic) 0,000039  = ½ RSS = ½ 238.000.000,00>2(0,05, m-1) = 2(0,05,9)= 16,919, với df = m-1 = 9. Ta bác bỏ giả thiết H0, nghĩa là có hiện tượng phương sai thay đổi giữa TTML với các biến khác. 193 15.1.9. Kiểm định biến GPROV Dependent Variable: PGPROV Method: Panel Least Squares Date: 01/31/18 Time: 21:18 Sample: 2004 2015 Periods included: 12 Cross-sections included: 31 Total panel (unbalanced) observations: 366 Variable Coefficient Std. Error t-Statistic Prob. C -1,956581 3,161808 -0,618817 0,5364 GLOAN 0,556391 0,413614 1,345194 0,1794 LOG(SIZE) 0,072485 0,235565 0,307705 0,7585 ETA -0,815115 4,470348 -0,182338 0,8554 IIR 2,699925 11,45572 0,235683 0,8138 NIM -10,47728 21,33770 -0,491022 0,6237 LDR 0,229935 0,489618 0,469622 0,6389 OEXPR 29,94180 14,07753 2,126922 0,0341 TTML 0,100605 0,655278 0,153531 0,8781 R-squared 0,018724 Mean dependent var -0,376965 Adjusted R-squared -0,003265 S.D. dependent var 6,159376 S.E. of regression 6,169424 Akaike info criterion 6,501371 Sum squared resid 13588,06 Schwarz criterion 6,597337 Log likelihood -1180,751 Hannan-Quinn criter. 6,539505 F-statistic 0,851507 Durbin-Watson stat 1,987531 Prob(F-statistic) 0,557880  = ½ RSS = ½ 13.588,06>2(0,05, m-1) = 2(0,05,9)= 16,919, với df = m-1 = 9. Ta bác bỏ giả thiết H0, nghĩa là có hiện tượng phương sai thay đổi giữa GPROV với các biến khác 15.2. Mô hình SigNIM2 15.2.1. Kiểm định biến GLOAN Dependent Variable: PLOAN Method: Panel Least Squares Date: 01/31/18 Time: 21:29 Sample: 2008 2015 Periods included: 8 Cross-sections included: 31 Total panel (unbalanced) observations: 242 Variable Coefficient Std. Error t-Statistic Prob. C 1583,777 885,4689 1,788631 0,0750 LOG(SIZE) -129,0705 70,19940 -1,838627 0,0672 ETA -1891,394 1207,276 -1,566662 0,1186 IIR -361,1332 2661,323 -0,135697 0,8922 NIM 764,6426 4082,248 0,187309 0,8516 LDR -19,29257 81,46668 -0,236815 0,8130 OEXPR 1814,673 9911,488 0,183088 0,8549 TTML 120,2504 136,4284 0,881418 0,3790 GPROV 17553,36 37251,89 0,471207 0,6379 R-squared 0,022982 Mean dependent var 89,42904 Adjusted R-squared -0,010563 S.D. dependent var 939,2830 S.E. of regression 944,2310 Akaike info criterion 16,57510 Sum squared resid 2,08E+08 Schwarz criterion 16,70485 Log likelihood -1996,587 Hannan-Quinn criter. 16,62737 F-statistic 0,685105 Durbin-Watson stat 2,083856 Prob(F-statistic) 0,704508  = ½ RSS = ½ 208.000.000,00>2(0,05,m-1) = 2(0,05,9)= 16,919 , với df = m-1 = 9 . Ta bác bỏ giả thiết H0, nghĩa là có hiện tượng phương sai thay đổi giữa GLOAN với các biến khác. 195 15.2.2. Kiểm định biến Log(SIZE) Dependent Variable: PSIZE Method: Panel Least Squares Date: 01/31/18 Time: 21:33 Sample: 2008 2015 Periods included: 8 Cross-sections included: 31 Total panel (unbalanced) observations: 242 Variable Coefficient Std. Error t-Statistic Prob. C 231,7738 574,0657 0,403741 0,6868 GLOAN -402,8544 237,4279 -1,696744 0,0911 ETA 20,40916 1658,552 0,012305 0,9902 IIR -1636,209 4677,752 -0,349785 0,7268 NIM 3233,484 7293,457 0,443340 0,6579 LDR -40,44691 143,5825 -0,281698 0,7784 OEXPR 961,2471 17216,50 0,055833 0,9555 TTML -168,7191 239,2533 -0,705191 0,4814 GPROV 2182,800 65530,42 0,033310 0,9735 R-squared 0,019220 Mean dependent var 88,97113 Adjusted R-squared -0,014455 S.D. dependent var 1657,349 S.E. of regression 1669,285 Akaike info criterion 17,71466 Sum squared resid 6,49E+08 Schwarz criterion 17,84441 Log likelihood -2134,474 Hannan-Quinn criter. 17,76693 F-statistic 0,570738 Durbin-Watson stat 2,031950 Prob(F-statistic) 0,801411  = ½ RSS = ½ 649.000.000,00 >2(0,05,m-1) = 2(0,05,9)= 16,919 , với df = m-1 = 9. Ta bác bỏ giả thiết H0, nghĩa là có hiện tượng phương sai thay đổi giữa Log(SIZE) với các biến khác. 15.2.3. Kiểm định biến ETA Dependent Variable: PETA Method: Panel Least Squares Date: 01/31/18 Time: 21:35 Sample: 2008 2015 Periods included: 8 Cross-sections included: 31 Total panel (unbalanced) observations: 242 Variable Coefficient Std. Error t-Statistic Prob. C 41,01632 105,1807 0,389960 0,6969 GLOAN -22,65398 19,92689 -1,136855 0,2568 LOG(SIZE) -4,816474 8,094005 -0,595067 0,5524 IIR 362,5859 393,4656 0,921519 0,3577 NIM 289,4483 586,9266 0,493159 0,6224 LDR -0,220592 11,97273 -0,018425 0,9853 OEXPR -969,3396 1381,151 -0,701835 0,4835 TTML -2,431740 20,21086 -0,120319 0,9043 GPROV 779,1768 5510,024 0,141411 0,8877 R-squared 0,012333 Mean dependent var -4,491383 Adjusted R-squared -0,021579 S.D. dependent var 137,9150 S.E. of regression 139,3950 Akaike info criterion 12,74898 Sum squared resid 4527417. Schwarz criterion 12,87874 Log likelihood -1533,627 Hannan-Quinn criter. 12,80125 F-statistic 0,363670 Durbin-Watson stat 2,009152 Prob(F-statistic) 0,938770  = ½ RSS = ½ 4.527.417.>2(0,05,m-1) = 2(0,05,9)= 16,919, với df = m-1 = 9. Ta bác bỏ giả thiết H0, nghĩa là có hiện tượng phương sai thay đổi giữa ETA với các biến khác. 197 15.2.4. Kiểm định biến IIR Dependent Variable: PIIR Method: Panel Least Squares Date: 01/31/18 Time: 21:36 Sample: 2008 2015 Periods included: 8 Cross-sections included: 31 Total panel (unbalanced) observations: 242 Variable Coefficient Std. Error t-Statistic Prob. C 19,90805 120,0970 0,165766 0,8685 GLOAN -0,999552 18,72683 -0,053375 0,9575 LOG(SIZE) -1,749202 9,732075 -0,179736 0,8575 ETA 75,96949 167,7415 0,452896 0,6510 NIM -22,71554 558,1252 -0,040700 0,9676 LDR 1,467328 11,09698 0,132228 0,8949 OEXPR -174,7001 1360,897 -0,128371 0,8980 TTML -2,004265 18,61629 -0,107662 0,9144 GPROV -2739,852 5102,972 -0,536913 0,5918 R-squared 0,004899 Mean dependent var -11,94026 Adjusted R-squared -0,029268 S.D. dependent var 127,3932 S.E. of regression 129,2441 Akaike info criterion 12,59776 Sum squared resid 3892039. Schwarz criterion 12,72752 Log likelihood -1515,329 Hannan-Quinn criter. 12,65003 F-statistic 0,143377 Durbin-Watson stat 2,026200 Prob(F-statistic) 0,997032  = ½ RSS = ½ 3.892.039.>2(0,05, m-1) = 2(0,05,9)= 16,919, với df = m-1 = 9. Ta bác bỏ giả thiết H0, nghĩa là có hiện tượng phương sai thay đổi giữa IIR với các biến khác. 15.2.5. Kiểm định biến NIM Dependent Variable: PNIM Method: Panel Least Squares Date: 01/31/18 Time: 21:37 Sample: 2008 2015 Periods included: 8 Cross-sections included: 31 Total panel (unbalanced) observations: 242 Variable Coefficient Std. Error t-Statistic Prob. C 3,798758 23,77019 0,159812 0,8732 GLOAN -1,533143 3,564765 -0,430082 0,6675 LOG(SIZE) 0,654732 1,883070 0,347694 0,7284 ETA -7,081050 31,05149 -0,228042 0,8198 IIR -56,23289 69,26223 -0,811884 0,4177 LDR -0,152543 2,144467 -0,071133 0,9434 OEXPR -36,54817 250,7527 -0,145754 0,8842 TTML -1,075426 3,603926 -0,298404 0,7657 GPROV -729,1532 971,3494 -0,750660 0,4536 R-squared 0,011291 Mean dependent var 1,055859 Adjusted R-squared -0,022656 S.D. dependent var 24,58700 S.E. of regression 24,86396 Akaike info criterion 9,301197 Sum squared resid 144044,5 Schwarz criterion 9,430951 Log likelihood -1116,445 Hannan-Quinn criter. 9,353467 F-statistic 0,332599 Durbin-Watson stat 1,995078 Prob(F-statistic) 0,952828  = ½ RSS = ½ 144.044,5>2(0,05, m-1) = 2(0,05,9)= 16,919, với df = m-1 = 9. Ta bác bỏ giả thiết H0, nghĩa là có hiện tượng phương sai thay đổi giữa NIM với các biến khác. 199 15.2.6. Kiểm định biến LDR Dependent Variable: PLDR Method: Panel Least Squares Date: 01/31/18 Time: 21:38 Sample: 2008 2015 Periods included: 8 Cross-sections included: 31 Total panel (unbalanced) observations: 242 Variable Coefficient Std. Error t-Statistic Prob. C 377,2802 927,8650 0,406611 0,6847 GLOAN -52,23907 141,5288 -0,369106 0,7124 LOG(SIZE) -26,93250 73,75102 -0,365181 0,7153 ETA -326,0324 1260,158 -0,258723 0,7961 IIR 2315,865 2739,701 0,845299 0,3988 NIM -676,7825 4266,312 -0,158634 0,8741 OEXPR 596,3696 10240,92 0,058234 0,9536 TTML -99,25020 141,3124 -0,702346 0,4832 GPROV -18764,83 38517,57 -0,487176 0,6266 R-squared 0,006371 Mean dependent var 1,352995 Adjusted R-squared -0,027746 S.D. dependent var 961,3126 S.E. of regression 974,5574 Akaike info criterion 16,63832 Sum squared resid 2,21E+08 Schwarz criterion 16,76808 Log likelihood -2004,237 Hannan-Quinn criter. 16,69059 F-statistic 0,186731 Durbin-Watson stat 2,011874 Prob(F-statistic) 0,992571  = ½ RSS = ½ 221.000.000,00>2(0,05, m-1) = 2(0,05,9)= 16,919, với df = m-1 = 9. Ta bác bỏ giả thiết H0, nghĩa là có hiện tượng phương sai thay đổi giữa LDR với các biến khác. 15.2.7. Kiểm định biến OEXPR Dependent Variable: POEXPR Method: Panel Least Squares Date: 01/31/18 Time: 21:41 Sample: 2008 2015 Periods included: 8 Cross-sections included: 31 Total panel (unbalanced) observations: 242 Variable Coefficient Std. Error t-Statistic Prob. C 1,157474 18,60717 0,062206 0,9505 GLOAN 0,405948 2,803972 0,144776 0,8850 LOG(SIZE) 0,251493 1,440063 0,174640 0,8615 ETA -14,52744 23,67245 -0,613686 0,5400 IIR -12,02203 54,71339 -0,219727 0,8263 NIM 42,71646 81,23608 0,525831 0,5995 LDR 0,178506 1,667666 0,107040 0,9148 TTML 0,154332 2,813662 0,054851 0,9563 GPROV -396,6985 766,3380 -0,517655 0,6052 R-squared 0,005015 Mean dependent var 0,629903 Adjusted R-squared -0,029148 S.D. dependent var 19,12347 S.E. of regression 19,40017 Akaike info criterion 8,804922 Sum squared resid 87693,41 Schwarz criterion 8,934675 Log likelihood -1056,396 Hannan-Quinn criter. 8,857191 F-statistic 0,146789 Durbin-Watson stat 2,015869 Prob(F-statistic) 0,996775  = ½ RSS = ½ 87.693,41>2(0,05, m-1) = 2(0,05,9)= 16,919, với df = m-1 = 9. Ta bác bỏ giả thiết H0, nghĩa là có hiện tượng phương sai thay đổi giữa OEXPR với các biến khác. 201 15.2.8. Kiểm định biến TTML Dependent Variable: PTTML Method: Panel Least Squares Date: 01/31/18 Time: 21:42 Sample: 2008 2015 Periods included: 8 Cross-sections included: 31 Total panel (unbalanced) observations: 242 Variable Coefficient Std. Error t-Statistic Prob. C 635,2937 394,0064 1,612394 0,1082 GLOAN 104,6896 60,63805 1,726468 0,0856 LOG(SIZE) -46,03017 31,44127 -1,464005 0,1445 ETA -165,3225 544,2424 -0,303766 0,7616 IIR -1146,218 1175,891 -0,974766 0,3307 NIM -1264,027 1834,361 -0,689083 0,4915 LDR -34,33839 36,15399 -0,949782 0,3432 OEXPR 876,4621 4420,562 0,198269 0,8430 GPROV 8506,147 16165,12 0,526204 0,5992 R-squared 0,033925 Mean dependent var 76,71209 Adjusted R-squared 0,000755 S.D. dependent var 419,2880 S.E. of regression 419,1296 Akaike info criterion 14,95072 Sum squared resid 40931014 Schwarz criterion 15,08047 Log likelihood -1800,037 Hannan-Quinn criter. 15,00299 F-statistic 1,022773 Durbin-Watson stat 2,049314 Prob(F-statistic) 0,419467  = ½ RSS = ½ 40.931.014>2(0,05, m-1) = 2(0,05,9)= 16,919, với df = m-1 = 9. Ta bác bỏ giả thiết H0, nghĩa là có hiện tượng phương sai thay đổi giữa TTML với các biến khác. 15.2.9. Kiểm định biến GPROV Dependent Variable: PGPROV Method: Panel Least Squares Date: 01/31/18 Time: 21:43 Sample: 2008 2015 Periods included: 8 Cross-sections included: 31 Total panel (unbalanced) observations: 242 Variable Coefficient Std. Error t-Statistic Prob. C 1,659513 3,618752 0,458587 0,6470 GLOAN 0,184033 0,551891 0,333459 0,7391 LOG(SIZE) -0,003557 0,287045 -0,012391 0,9901 ETA 0,813861 4,945677 0,164560 0,8694 IIR -14,74143 10,74389 -1,372076 0,1714 NIM -5,273615 16,47969 -0,320007 0,7492 LDR -0,088973 0,328473 -0,270870 0,7867 OEXPR -26,41599 40,13198 -0,658228 0,5110 TTML 0,154114 0,538820 0,286021 0,7751 R-squared 0,013122 Mean dependent var 0,280622 Adjusted R-squared -0,020762 S.D. dependent var 3,768661 S.E. of regression 3,807582 Akaike info criterion 5,548347 Sum squared resid 3377,960 Schwarz criterion 5,678101 Log likelihood -662,3500 Hannan-Quinn criter. 5,600616 F-statistic 0,387273 Durbin-Watson stat 1,979449 Prob(F-statistic) 0,926788  = ½ RSS = ½ 3.377,96>2(0,05, m-1) = 2(0,05,9)= 16,919, với df = m-1 = 9. Ta bác bỏ giả thiết H0, nghĩa là có hiện tượng phương sai thay đổi giữa GPROV với các biến khác 203 Phụ lục 16. Kiểm định biến nội sinh trong các mô hình kiểm định các nhân tố vĩ mô 16.1. Mô hình LLR1 16.1.1. Biến GGDP Dependent Variable: LLR Method: Panel Least Squares Date: 02/01/18 Time: 08:49 Sample: 2004 2015 Periods included: 12 Cross-sections included: 31 Total panel (unbalanced) observations: 366 White period standard errors & covariance (d.f. corrected) Variable Coefficient Std. Error t-Statistic Prob. C -0,013009 0,027796 -0,468009 0,6401 GGDP 0,443084 0,475368 0,932086 0,3519 UGDP -0,604330 0,268308 -2,252375 0,0249 R-squared 0,003022 Mean dependent var 0,015186 Adjusted R-squared -0,002471 S.D. dependent var 0,032267 S.E. of regression 0,032307 Akaike info criterion -4,018894 Sum squared resid 0,378882 Schwarz criterion -3,986905 Log likelihood 738,4576 Hannan-Quinn criter. -4,006182 F-statistic 0,550102 Durbin-Watson stat 1,031447 Prob(F-statistic) 0,577371 16.1.2. Biến ESI Dependent Variable: LLR Method: Panel Least Squares Date: 02/01/18 Time: 08:53 Sample: 2004 2015 Periods included: 12 Cross-sections included: 31 Total panel (unbalanced) observations: 366 White period standard errors & covariance (d.f. corrected) Variable Coefficient Std. Error t-Statistic Prob. C 0,016752 0,003259 5,139403 0,0000 ESI -0,017027 0,008184 -2,080687 0,0382 UESI 0,049338 0,014691 3,358417 0,0009 R-squared 0,001508 Mean dependent var 0,015186 Adjusted R-squared -0,003993 S.D. dependent var 0,032267 S.E. of regression 0,032332 Akaike info criterion -4,017376 Sum squared resid 0,379457 Schwarz criterion -3,985388 Log likelihood 738,1799 Hannan-Quinn criter. -4,004665 F-statistic 0,274095 Durbin-Watson stat 1,032763 Prob(F-statistic) 0,760417 205 16.1.3.Biến EXI Dependent Variable: LLR Method: Panel Least Squares Date: 02/01/18 Time: 08:54 Sample: 2004 2015 Periods included: 12 Cross-sections included: 31 Total panel (unbalanced) observations: 366 White period standard errors & covariance (d.f. corrected) Variable Coefficient Std. Error t-Statistic Prob. C 0,014877 0,006674 2,229018 0,0264 EXI 0,000103 0,001390 0,074234 0,9409 UEXI -0,000468 0,001071 -0,437322 0,6621 R-squared 0,001234 Mean dependent var 0,015186 Adjusted R-squared -0,004268 S.D. dependent var 0,032267 S.E. of regression 0,032336 Akaike info criterion -4,017103 Sum squared resid 0,379561 Schwarz criterion -3,985114 Log likelihood 738,1298 Hannan-Quinn criter. -4,004391 F-statistic 0,224337 Durbin-Watson stat 1,031565 Prob(F-statistic) 0,799156 16.1.4. Biến CPI Dependent Variable: LLR Method: Panel Least Squares Date: 02/01/18 Time: 08:55 Sample: 2004 2015 Periods included: 12 Cross-sections included: 31 Total panel (unbalanced) observations: 366 White period standard errors & covariance (d.f. corrected) Variable Coefficient Std. Error t-Statistic Prob. C 0,016106 0,003554 4,532521 0,0000 CPI -0,009901 0,011138 -0,888973 0,3746 UCPI -0,037656 0,015466 -2,434796 0,0154 R-squared 0,001251 Mean dependent var 0,015186 Adjusted R-squared -0,004252 S.D. dependent var 0,032267 S.E. of regression 0,032336 Akaike info criterion -4,017119 Sum squared resid 0,379555 Schwarz criterion -3,985130 Log likelihood 738,1327 Hannan-Quinn criter. -4,004407 F-statistic 0,227263 Durbin-Watson stat 1,032375 Prob(F-statistic) 0,796824 207 16.2. Mô hình SigNIM1 16.2.1. Biến GGDP Dependent Variable: SigNIM Method: Panel Least Squares Date: 02/01/18 Time: 09:03 Sample: 2008 2015 Periods included: 8 Cross-sections included: 31 Total panel (unbalanced) observations: 242 Variable Coefficient Std. Error t-Statistic Prob. C -0,015949 0,008211 -1,942445 0,0533 GGDP 0,432244 0,139893 3,089817 0,0022 UGDP -0,516932 0,162075 -3,189459 0,0016 R-squared 0,042536 Mean dependent var 0,009399 Adjusted R-squared 0,034524 S.D. dependent var 0,005449 S.E. of regression 0,005354 Akaike info criterion -7,609596 Sum squared resid 0,006851 Schwarz criterion -7,566344 Log likelihood 923,7611 Hannan-Quinn criter. -7,592173 F-statistic 5,308853 Durbin-Watson stat 0,953159 Prob(F-statistic) 0,005548 16.2.2. Biến ESI Dependent Variable: SigNIM Method: Panel Least Squares Date: 02/01/18 Time: 09:05 Sample: 2008 2015 Periods included: 8 Cross-sections included: 31 Total panel (unbalanced) observations: 242 Variable Coefficient Std. Error t-Statistic Prob. C 0,008488 0,000582 14,57768 0,0000 ESI 0,009369 0,004825 1,941544 0,0534 UESI 0,025106 0,014526 1,728298 0,0852 R-squared 0,040548 Mean dependent var 0,009399 Adjusted R-squared 0,032519 S.D. dependent var 0,005449 S.E. of regression 0,005360 Akaike info criterion -7,607521 Sum squared resid 0,006865 Schwarz criterion -7,564270 Log likelihood 923,5101 Hannan-Quinn criter. -7,590098 F-statistic 5,050227 Durbin-Watson stat 0,991943 Prob(F-statistic) 0,007109 209 16.2.3. EXI Dependent Variable: SigNIM Method: Panel Least Squares Date: 02/01/18 Time: 09:06 Sample: 2008 2015 Periods included: 8 Cross-sections included: 31 Total panel (unbalanced) observations: 242 Variable Coefficient Std. Error t-Statistic Prob. C 0,007573 0,001001 7,568460 0,0000 EXI 0,000450 0,000232 1,943089 0,0532 UEXI -0,000174 0,000255 -0,683434 0,4950 R-squared 0,042622 Mean dependent var 0,009399 Adjusted R-squared 0,034610 S.D. dependent var 0,005449 S.E. of regression 0,005354 Akaike info criterion -7,609685 Sum squared resid 0,006851 Schwarz criterion -7,566434 Log likelihood 923,7719 Hannan-Quinn criter. -7,592262 F-statistic 5,320029 Durbin-Watson stat 0,913565 Prob(F-statistic) 0,005489 16.3.4. Biến CPI Dependent Variable: SigNIM Method: Panel Least Squares Date: 02/01/18 Time: 09:07 Sample: 2008 2015 Periods included: 8 Cross-sections included: 31 Total panel (unbalanced) observations: 242 Variable Coefficient Std. Error t-Statistic Prob. C 0,008041 0,000630 12,77068 0,0000 CPI 0,013609 0,005282 2,576484 0,0106 UCPI -0,043659 0,016037 -2,722435 0,0070 R-squared 0,042379 Mean dependent var 0,009399 Adjusted R-squared 0,034365 S.D. dependent var 0,005449 S.E. of regression 0,005355 Akaike info criterion -7,609432 Sum squared resid 0,006852 Schwarz criterion -7,566181 Log likelihood 923,7413 Hannan-Quinn criter. -7,592009 F-statistic 5,288401 Durbin-Watson stat 0,991368 Prob(F-statistic) 0,005658 211 Phụ lục 17. Kiểm định biến nội sinh trong các mô hình kiểm định các nhân tố đặc trưng hoạt động ngân hàng 17.1. Mô hình LLR2 17.1.1. Biến GLOAN Dependent Variable: LLR Method: Panel Least Squares Date: 02/01/18 Time: 09:13 Sample: 2004 2015 Periods included: 12 Cross-sections included: 31 Total panel (unbalanced) observations: 366 Variable Coefficient Std. Error t-Statistic Prob. C 0,012772 0,002526 5,056534 0,0000 GLOAN 0,005201 0,004059 1,281126 0,2010 ULOAN -0,008532 0,004611 -1,850455 0,0651 R-squared 0,010800 Mean dependent var 0,015186 Adjusted R-squared 0,005350 S.D. dependent var 0,032267 S.E. of regression 0,032181 Akaike info criterion -4,026726 Sum squared resid 0,375926 Schwarz criterion -3,994738 Log likelihood 739,8909 Hannan-Quinn criter. -4,014015 F-statistic 1,981627 Durbin-Watson stat 1,011124 Prob(F-statistic) 0,139333 17.1.2. Biến Log(SIZE) Dependent Variable: LLR Method: Panel Least Squares Date: 02/01/18 Time: 09:14 Sample: 2004 2015 Periods included: 12 Cross-sections included: 31 Total panel (unbalanced) observations: 366 Variable Coefficient Std. Error t-Statistic Prob. C -0,007931 0,013957 -0,568201 0,5702 LOG(SIZE) 0,002226 0,001335 1,668334 0,0961 USIZE -0,004977 0,001882 -2,644854 0,0085 R-squared 0,019135 Mean dependent var 0,015186 Adjusted R-squared 0,013731 S.D. dependent var 0,032267 S.E. of regression 0,032045 Akaike info criterion -4,035188 Sum squared resid 0,372758 Schwarz criterion -4,003200 Log likelihood 741,4395 Hannan-Quinn criter. -4,022477 F-statistic 3,540845 Durbin-Watson stat 1,014874 Prob(F-statistic) 0,029994 213 17.1.3. Biến ETA Dependent Variable: LLR Method: Panel Least Squares Date: 02/01/18 Time: 09:14 Sample: 2004 2015 Periods included: 12 Cross-sections included: 31 Total panel (unbalanced) observations: 366 Variable Coefficient Std. Error t-Statistic Prob. C 0,011782 0,003817 3,086694 0,0022 ETA 0,028845 0,029040 0,993316 0,3212 UETA -0,071799 0,037422 -1,918655 0,0558 R-squared 0,011703 Mean dependent var 0,015186 Adjusted R-squared 0,006258 S.D. dependent var 0,032267 S.E. of regression 0,032166 Akaike info criterion -4,027640 Sum squared resid 0,375583 Schwarz criterion -3,995651 Log likelihood 740,0581 Hannan-Quinn criter. -4,014928 F-statistic 2,149305 Durbin-Watson stat 1,036070 Prob(F-statistic) 0,118046 17.1.4. Biến IIR Dependent Variable: LLR Method: Panel Least Squares Date: 02/01/18 Time: 09:15 Sample: 2004 2015 Periods included: 12 Cross-sections included: 31 Total panel (unbalanced) observations: 366 Variable Coefficient Std. Error t-Statistic Prob. C -0,035941 0,006581 -5,461080 0,0000 IIR 0,932488 0,116616 7,996206 0,0000 UIIR -0,905358 0,131116 -6,905012 0,0000 R-squared 0,150170 Mean dependent var 0,015186 Adjusted R-squared 0,145488 S.D. dependent var 0,032267 S.E. of regression 0,029828 Akaike info criterion -4,178586 Sum squared resid 0,322961 Schwarz criterion -4,146598 Log likelihood 767,6813 Hannan-Quinn criter. -4,165875 F-statistic 32,07211 Durbin-Watson stat 1,234782 Prob(F-statistic) 0,000000 215 17.1.5. Biến NIM Dependent Variable: LLR Method: Panel Least Squares Date: 02/01/18 Time: 09:16 Sample: 2004 2015 Periods included: 12 Cross-sections included: 31 Total panel (unbalanced) observations: 366 Variable Coefficient Std. Error t-Statistic Prob. C 0,002121 0,007090 0,299163 0,7650 NIM 0,434523 0,229072 1,896888 0,0586 UNIM -0,511905 0,254757 -2,009389 0,0452 R-squared 0,011115 Mean dependent var 0,015186 Adjusted R-squared 0,005666 S.D. dependent var 0,032267 S.E. of regression 0,032176 Akaike info criterion -4,027044 Sum squared resid 0,375806 Schwarz criterion -3,995056 Log likelihood 739,9491 Hannan-Quinn criter. -4,014333 F-statistic 2,040015 Durbin-Watson stat 1,060412 Prob(F-statistic) 0,131515 17.1.6. Biến LDR Dependent Variable: LLR Method: Panel Least Squares Date: 02/01/18 Time: 09:16 Sample: 2004 2015 Periods included: 12 Cross-sections included: 31 Total panel (unbalanced) observations: 366 Variable Coefficient Std. Error t-Statistic Prob. C 0,000605 0,007350 0,082307 0,9344 LDR 0,015180 0,007449 2,037892 0,0423 ULDR -0,013651 0,007881 -1,732164 0,0841 R-squared 0,012261 Mean dependent var 0,015186 Adjusted R-squared 0,006819 S.D. dependent var 0,032267 S.E. of regression 0,032157 Akaike info criterion -4,028204 Sum squared resid 0,375371 Schwarz criterion -3,996216 Log likelihood 740,1614 Hannan-Quinn criter. -4,015493 F-statistic 2,253025 Durbin-Watson stat 1,009999 Prob(F-statistic) 0,106548 217 17.1.7. Biến OEXPR Dependent Variable: LLR Method: Panel Least Squares Date: 02/01/18 Time: 09:17 Sample: 2004 2015 Periods included: 12 Cross-sections included: 31 Total panel (unbalanced) observations: 366 Variable Coefficient Std. Error t-Statistic Prob. C 0,004892 0,004250 1,151094 0,2505 OEXPR 0,529925 0,203731 2,601107 0,0097 UOEXPR 0,012418 0,214701 0,057838 0,9539 R-squared 0,163296 Mean dependent var 0,015186 Adjusted R-squared 0,158686 S.D. dependent var 0,032267 S.E. of regression 0,029597 Akaike info criterion -4,194153 Sum squared resid 0,317973 Schwarz criterion -4,162164 Log likelihood 770,5299 Hannan-Quinn criter. -4,181441 F-statistic 35,42264 Durbin-Watson stat 1,512132 Prob(F-statistic) 0,000000 17.1.8. Biến TTML Dependent Variable: LLR Method: Panel Least Squares Date: 02/01/18 Time: 09:18 Sample: 2004 2015 Periods included: 12 Cross-sections included: 31 Total panel (unbalanced) observations: 366 Variable Coefficient Std. Error t-Statistic Prob. C 0,022329 0,002423 9,215296 0,0000 TTML -0,024467 0,006068 -4,032238 0,0001 UTTML 0,027119 0,006951 3,901581 0,0001 R-squared 0,044412 Mean dependent var 0,015186 Adjusted R-squared 0,039147 S.D. dependent var 0,032267 S.E. of regression 0,031629 Akaike info criterion -4,061296 Sum squared resid 0,363152 Schwarz criterion -4,029307 Log likelihood 746,2171 Hannan-Quinn criter. -4,048584 F-statistic 8,435408 Durbin-Watson stat 1,012004 Prob(F-statistic) 0,000263 219 17.1.9. Biến GPROV Dependent Variable: LLR Method: Panel Least Squares Date: 02/01/18 Time: 09:18 Sample: 2004 2015 Periods included: 12 Cross-sections included: 31 Total panel (unbalanced) observations: 366 Variable Coefficient Std. Error t-Statistic Prob. C -0,001112 0,004076 -0,272797 0,7852 GPROV 2,957198 0,692364 4,271161 0,0000 UGPROV 1,647779 0,805504 2,045649 0,0415 R-squared 0,283138 Mean dependent var 0,015186 Adjusted R-squared 0,279189 S.D. dependent var 0,032267 S.E. of regression 0,027395 Akaike info criterion -4,348740 Sum squared resid 0,272429 Schwarz criterion -4,316751 Log likelihood 798,8194 Hannan-Quinn criter. -4,336028 F-statistic 71,68688 Durbin-Watson stat 1,458892 Prob(F-statistic) 0,000000 17.2. Mô hình SigNIM2 17.2.1. Biến GLOAN Dependent Variable: SigNIM Method: Panel Least Squares Date: 02/01/18 Time: 09:20 Sample: 2008 2015 Periods included: 8 Cross-sections included: 31 Total panel (unbalanced) observations: 242 Variable Coefficient Std. Error t-Statistic Prob. C 0,009764 0,000740 13,20036 0,0000 GLOAN -0,001270 0,002262 -0,561416 0,5750 ULOAN 0,001525 0,002397 0,636019 0,5254 R-squared 0,001747 Mean dependent var 0,009399 Adjusted R-squared -0,006607 S.D. dependent var 0,005449 S.E. of regression 0,005467 Akaike info criterion -7,567877 Sum squared resid 0,007143 Schwarz criterion -7,524626 Log likelihood 918,7131 Hannan-Quinn criter. -7,550454 F-statistic 0,209090 Durbin-Watson stat 0,902807 Prob(F-statistic) 0,811471 221 17.2.2. Biến Log(SIZE) Dependent Variable: SigNIM Method: Panel Least Squares Date: 02/01/18 Time: 09:21 Sample: 2008 2015 Periods included: 8 Cross-sections included: 31 Total panel (unbalanced) observations: 242 Variable Coefficient Std. Error t-Statistic Prob. C 0,035108 0,004189 8,381515 0,0000 LOG(SIZE) -0,002313 0,000376 -6,156441 0,0000 USIZE 0,002456 0,000539 4,560647 0,0000 R-squared 0,137305 Mean dependent var 0,009399 Adjusted R-squared 0,130086 S.D. dependent var 0,005449 S.E. of regression 0,005082 Akaike info criterion -7,713823 Sum squared resid 0,006173 Schwarz criterion -7,670572 Log likelihood 936,3726 Hannan-Quinn criter. -7,696400 F-statistic 19,01941 Durbin-Watson stat 1,068107 Prob(F-statistic) 0,000000 17.2.3. Biến ETA Dependent Variable: SIGNIM Method: Panel Least Squares Date: 02/01/18 Time: 09:22 Sample: 2008 2015 Periods included: 8 Cross-sections included: 31 Total panel (unbalanced) observations: 242 Variable Coefficient Std. Error t-Statistic Prob. C 0,004011 0,000626 6,405333 0,0000 ETA 0,047494 0,004886 9,721013 0,0000 UETA -0,025236 0,007654 -3,297038 0,0011 R-squared 0,312763 Mean dependent var 0,009399 Adjusted R-squared 0,307012 S.D. dependent var 0,005449 S.E. of regression 0,004536 Akaike info criterion -7,941204 Sum squared resid 0,004918 Schwarz criterion -7,897953 Log likelihood 963,8857 Hannan-Quinn criter. -7,923781 F-statistic 54,38461 Durbin-Watson stat 1,245828 Prob(F-statistic) 0,000000 223 17.2.4. Biến IIR Dependent Variable: SigNIM Method: Panel Least Squares Date: 02/01/18 Time: 09:23 Sample: 2008 2015 Periods included: 8 Cross-sections included: 31 Total panel (unbalanced) observations: 242 Variable Coefficient Std. Error t-Statistic Prob. C -0,000120 0,002486 -0,048172 0,9616 IIR 0,177220 0,045843 3,865807 0,0001 UIIR -0,158749 0,048219 -3,292239 0,0011 R-squared 0,064472 Mean dependent var 0,009399 Adjusted R-squared 0,056643 S.D. dependent var 0,005449 S.E. of regression 0,005292 Akaike info criterion -7,632773 Sum squared resid 0,006694 Schwarz criterion -7,589522 Log likelihood 926,5655 Hannan-Quinn criter. -7,615350 F-statistic 8,235367 Durbin-Watson stat 0,910990 Prob(F-statistic) 0,000348 17.2.5. Biến NIM Dependent Variable: SigNIM Method: Panel Least Squares Date: 02/01/18 Time: 09:23 Sample: 2008 2015 Periods included: 8 Cross-sections included: 31 Total panel (unbalanced) observations: 242 Variable Coefficient Std. Error t-Statistic Prob. C -0,000371 0,000809 -0,457998 0,6474 NIM 0,334768 0,026242 12,75677 0,0000 UNIM -0,234414 0,031705 -7,393641 0,0000 R-squared 0,448740 Mean dependent var 0,009399 Adjusted R-squared 0,444126 S.D. dependent var 0,005449 S.E. of regression 0,004063 Akaike info criterion -8,161677 Sum squared resid 0,003945 Schwarz criterion -8,118425 Log likelihood 990,5629 Hannan-Quinn criter. -8,144253 F-statistic 97,27592 Durbin-Watson stat 1,324057 Prob(F-statistic) 0,000000 225 17.2.6. Biến LDR Dependent Variable: SIGNIM Method: Panel Least Squares Date: 02/01/18 Time: 09:24 Sample: 2008 2015 Periods included: 8 Cross-sections included: 31 Total panel (unbalanced) observations: 242 Variable Coefficient Std. Error t-Statistic Prob. C -0,000835 0,001401 -0,595810 0,5519 LDR 0,011180 0,001491 7,499955 0,0000 ULDR -0,011233 0,001550 -7,247104 0,0000 R-squared 0,190557 Mean dependent var 0,009399 Adjusted R-squared 0,183784 S.D. dependent var 0,005449 S.E. of regression 0,004923 Akaike info criterion -7,777538 Sum squared resid 0,005792 Schwarz criterion -7,734287 Log likelihood 944,0821 Hannan-Quinn criter. -7,760115 F-statistic 28,13246 Durbin-Watson stat 1,146933 Prob(F-statistic) 0,000000 17.2.7. Biến OEXPR Dependent Variable: SigNIM Method: Panel Least Squares Date: 02/01/18 Time: 09:25 Sample: 2008 2015 Periods included: 8 Cross-sections included: 31 Total panel (unbalanced) observations: 242 Variable Coefficient Std. Error t-Statistic Prob. C -0,005132 0,001242 -4,133754 0,0000 OEXPR 0,790749 0,065910 11,99737 0,0000 UOEXPR -0,622454 0,079680 -7,811928 0,0000 R-squared 0,398084 Mean dependent var 0,009399 Adjusted R-squared 0,393047 S.D. dependent var 0,005449 S.E. of regression 0,004245 Akaike info criterion -8,073765 Sum squared resid 0,004307 Schwarz criterion -8,030514 Log likelihood 979,9256 Hannan-Quinn criter. -8,056342 F-statistic 79,03254 Durbin-Watson stat 1,364712 Prob(F-statistic) 0,000000 227 17.2.8. Biến TTML Dependent Variable: SigNIM Method: Panel Least Squares Date: 02/01/18 Time: 09:26 Sample: 2008 2015 Periods included: 8 Cross-sections included: 31 Total panel (unbalanced) observations: 242 Variable Coefficient Std. Error t-Statistic Prob. C 0,009215 0,000511 18,03653 0,0000 TTML 0,001017 0,002051 0,496063 0,6203 UTTML -0,001684 0,002199 -0,765862 0,4445 R-squared 0,003976 Mean dependent var 0,009399 Adjusted R-squared -0,004359 S.D. dependent var 0,005449 S.E. of regression 0,005461 Akaike info criterion -7,570113 Sum squared resid 0,007127 Schwarz criterion -7,526861 Log likelihood 918,9836 Hannan-Quinn criter. -7,552690 F-statistic 0,477036 Durbin-Watson stat 0,897244 Prob(F-statistic) 0,621210 17.2.9. Biến GPROV Dependent Variable: SigNIM Method: Panel Least Squares Date: 02/01/18 Time: 09:26 Sample: 2008 2015 Periods included: 8 Cross-sections included: 31 Total panel (unbalanced) observations: 242 Variable Coefficient Std. Error t-Statistic Prob. C -0,002020 0,003991 -0,506173 0,6132 GPROV 1,753235 0,610460 2,871990 0,0044 UGPROV -1,734028 0,646437 -2,682440 0,0078 R-squared 0,033392 Mean dependent var 0,009399 Adjusted R-squared 0,025304 S.D. dependent var 0,005449 S.E. of regression 0,005380 Akaike info criterion -7,600091 Sum squared resid 0,006917 Schwarz criterion -7,556840 Log likelihood 922,6111 Hannan-Quinn criter. -7,582668 F-statistic 4,128241 Durbin-Watson stat 0,896234 Prob(F-statistic) 0,017274 229 Phụ lục 18. Kết quả ước lượng các mô hình kiểm định các nhân tố vĩ mô 18.1. Kết quả ước lượng mô hình LLR1 Dependent Variable: LLR Method: Panel Generalized Method of Moments Transformation: First Differences Sample (adjusted): 2006 2015 Periods included: 10 Cross-sections included: 31 Total panel (unbalanced) observations: 304 White period instrument weighting matrix Instrument specification: @DYN(LLR,-2) GGDP ESI CPI Variable Coefficient Std. Error t-Statistic Prob. LLR(-1) 0,366160 0,000267 1372,600 0,0000 GGDP 0,190704 0,006974 27,34472 0,0000 ESI -0,033201 0,000872 -38,05361 0,0000 EXI -0,000322 7,29E-06 -44,20262 0,0000 CPI 0,033313 0,000703 47,37028 0,0000 Effects Specification Cross-section fixed (first differences) Mean dependent var 3,38E-05 S.D. dependent var 0,032094 S.E. of regression 0,036160 Sum squared resid 0,390957 J-statistic 30,54291 Instrument rank 32 Prob(J-statistic) 0,290319 Arellano-Bond Serial Correlation Test Sample: 2004 2015 Included observations: 304 Test order m-Statistic rho SE(rho) Prob. AR(1) -1,016635 -0,178310 0,175393 0,309300 AR(2) 1,029355 0,013691 0,013300 0,303300 231 18.2. Kết quả ước lượng mô hình SigNIM1 Dependent Variable: SigNIM Method: Panel Generalized Method of Moments Transformation: First Differences Sample (adjusted): 2010 2015 Periods included: 6 Cross-sections included: 31 Total panel (unbalanced) observations: 180 Difference specification instrument weighting matrix White period standard errors & covariance (d.f. corrected) Instrument specification: @DYN(SIGNIM,-2) GDP ESI CPI Variable Coefficient Std. Error t-Statistic Prob. SIGNIM(-1) 0,366105 0,121125 3,022533 0,0029 GGDP 0,003922 0,080407 0,048778 0,9612 ESI -0,011402 0,016013 -0,712035 0,4774 EXI -0,000224 0,000129 -1,734018 0,0847 CPI 0,001279 0,024526 0,052160 0,9585 Effects Specification Cross-section fixed (first differences) Mean dependent var -0,000275 S.D. dependent var 0,005111 S.E. of regression 0,005852 Sum squared resid 0,005994 J-statistic 9,756071 Instrument rank 25 Prob(J-statistic) 0,972382 Arellano-Bond Serial Correlation Test Sample: 2008 2015 Included observations: 180 Test order m-Statistic rho SE(rho) Prob. AR(1) -5,598125 -0,002505 0,000447 0,000000 AR(2) -0,328035 -0,000166 0,000505 0,742900 233 Phụ lục 19. Kết quả ước lượng các mô hình kiểm định các nhân tố đặc trưng hoạt động ngân hàng 19.1. Kết quả ước lượng mô hình LLR2 Dependent Variable: LLR Method: Panel Generalized Method of Moments Transformation: First Differences Sample (adjusted): 2006 2015 Periods included: 10 Cross-sections included: 31 Total panel (unbalanced) observations: 304 White period instrument weighting matrix White period standard errors & covariance (no d.f. correction) Instrument specification: @DYN(LLR,-2) @DYN(IIR,-2) GLOAN LOG(SIZE) ETA IIR NIM LDR TTML GPROV Variable Coefficient Std. Error t-Statistic Prob. LLR(-1) -0,577836 0,163998 -3,523421 0,0005 GLOAN -0,002450 0,000789 -3,106016 0,0021 LOG(SIZE) -0,012350 0,002774 -4,452435 0,0000 ETA -0,064805 0,033708 -1,922556 0,0555 IIR 0,012581 0,049076 0,256350 0,7979 NIM -0,067638 0,293766 -0,230244 0,8181 LDR 0,000125 0,000741 0,169387 0,8656 OEXPR 0,691901 0,257333 2,688741 0,0076 TTML 0,007853 0,003859 2,034849 0,0428 GPROV -10,15695 1,370710 -7,409987 0,0000 Effects Specification Cross-section fixed (first differences) Mean dependent var 3,38E-05 S.D. dependent var 0,032094 S.E. of regression 0,033382 Sum squared resid 0,327625 J-statistic 20,35324 Instrument rank 31 Prob(J-statistic) 0,498996 Arellano-Bond Serial Correlation Test Sample: 2004 2015 Included observations: 304 Test order m-Statistic rho SE(rho) Prob. AR(1) -0,283145 -0,171993 0,607439 0,777100 AR(2) 0,194174 0,027779 0,143063 0,846000 235 19.2. Kết quả ước lượng mô hình SigNIM2 Dependent Variable: SigNIM Method: Panel Generalized Method of Moments Transformation: First Differences Sample (adjusted): 2010 2015 Periods included: 6 Cross-sections included: 31 Total panel (unbalanced) observations: 180 White period instrument weighting matrix White period standard errors & covariance (no d.f. correction) Instrument specification: @DYN(SIGNIM,-2) LOG(SIZE) ETA IIR NIM LDR OEXPR GPROV Variable Coefficient Std. Error t-Statistic Prob. SIGNIM(-1) 0,337205 0,025124 13,42174 0,0000 GLOAN -0,003470 0,000275 -12,61670 0,0000 LOG(SIZE) -0,002840 0,000503 -5,644258 0,0000 ETA -0,015956 0,004004 -3,984759 0,0001 IIR 0,034234 0,007707 4,442210 0,0000 NIM 0,097157 0,012281 7,911178 0,0000 LDR -0,000274 0,000287 -0,954434 0,3412 OEXPR 0,100037 0,031928 3,133160 0,0020 TTML 0,002978 0,000735 4,049302 0,0001 GPROV -0,354388 0,104144 -3,402874 0,0008 Effects Specification Cross-section fixed (first differences) Mean dependent var -0,000275 S.D. dependent var 0,005111 S.E. of regression 0,005541 Sum squared resid 0,005220 J-statistic 25,25390 Instrument rank 30 Prob(J-statistic) 0,191890 Arellano-Bond Serial Correlation Test Sample: 2008 2015 Included observations: 180 Test order m-Statistic rho SE(rho) Prob. AR(1) -2,182936 -0,002088 0,000956 0,029000 AR(2) -0,252121 -9,90E-05 0,000393 0,800900 237 Phụ lục 20. Cơ cấu, tăng trưởng GDP giai đoạn 2005 - 2015 20.1. Cơ cấu GDP giai đoạn 2004 - 2015 (ĐVT: %) 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 Tổng số 100 100 100 100 100 100 100 100 100 100 100 100 Trong đó - Nông, lâm nghiệp và thủy sản 21,76 19,3 18,73 18,66 20,42 19,17 18,38 19,57 19,22 17,96 17,7 17 - Công nghiệp chế biến, chế tạo 20,32 18,83 19,38 19,39 18,59 18,3 12,95 13,35 13,28 13,34 13,18 13,69 - Xây dựng và KD BĐS 10,63 12,55 12,72 13,07 12,29 12,47 12,25 11,48 10,88 10,44 10,24 10,52 Nguồn: Tổng cục thống kê 20.2. Tăng trưởng GDP theo giá so sánh 2010 (ĐVT: %) 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 GDP 7,69 7,55 6,98 7,13 5,66 5,4 6,42 6,24 5,25 5,42 5,98 6,68 Trong đó - Nông, lâm nghiệp và thủy sản 3,5 4,19 3,8 3,96 4,69 1,91 3,29 4,23 2,92 2,63 3,44 2,41 - Công nghiệp chế biến, chế tạo 10,12 12,92 13,36 12,37 9,78 2,76 8,38 14,08 9,05 7,22 7,22 10,6 - Xây dựng và KD BĐS 7,5 8,23 8,87 8,45 2,56 7,67 2,93 1,76 2,47 4 4,89 702 Nguồn: Tổng cục thống kê 20.3. Tỷ lệ lạm phát, chỉ số tăng trưởng giá nhà ở và tỷ giá USD (ĐVT: %) 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 Tỷ lệ lạm phát 7,71 8,29 7,48 8,3 22,97 6,88 9,19 18,58 9,21 6,6 4,09 0,63 Chỉ số tăng giảm giá nhà ở 6,43 7,05 8,09 11,02 20,51 3,46 14,68 19,66 10,64 4,72 3,74 -1,62 Chỉ số tăng giảm tỷ giá 1,57 0,56 0,95 0,62 2,35 9,17 7,63 8,47 0,18 0,66 0,56 3,16 Nguồn: Tổng cục thống kê