Các yếu tố tác động đến nợ xấu của các ngân hàng thương mại cổ phần tại Việt Nam

BỘ GIÁO DỤC VÀ ĐÀO TẠO NGÂN HÀNG NHÀ NƢỚC VIỆT NAM TRƢỜNG ĐẠI HỌC NGÂN HÀNG TP HỒ CHÍ MINH NGUYỄN THỊ THU HOÀI CÁC YẾU TỐ TÁC ĐỘNG ĐẾN NỢ XẤU CỦA CÁC NGÂN HÀNG THƢƠNG MẠI CỔ PHẦN TẠI VIỆT NAM KHÓA LUẬN TỐT NGHIỆP CHUYÊN NGÀNH: TÀI CHÍNH - NGÂN HÀNG MÃ SỐ: 7340201 NGƢỜI HƢỚNG DẪN KHOA HỌC TS NGUYỄN HOÀNG VĨNH LỘC TP HỒ CHÍ MINH, NĂM 2022 BỘ GIÁO DỤC VÀ ĐÀO TẠO NGÂN HÀNG NHÀ NƢỚC VIỆT NAM TRƢỜNG ĐẠI HỌC NGÂN HÀNG TP HỒ CHÍ MINH NGUYỄN THỊ THU HỒI CÁC YẾU TỐ TÁC ĐỘNG ĐẾN NỢ XẤU CỦA CÁC NGÂN HÀNG THƢƠNG MẠI CỔ PHẦN TẠI VIỆT NAM KHÓA LUẬN TỐT NGHIỆP CHUYÊN NGÀNH: TÀI CHÍNH - NGÂN HÀNG MÃ SỐ: 7340201 NGƢỜI HƢỚNG DẪN KHOA HỌC TS NGUYỄN HOÀNG VĨNH LỘC TP HỒ CHÍ MINH, NĂM 2022 LỜI CAM ĐOAN Khóa luận cơng trình nghiên cứu riêng tác giả, kết nghiên cứu trung thực Khóa luận khơng có nội dung ngƣời khác thực ngoại trừ tham khảo đƣợc trích dẫn nguồn đầy đủ Tác giả xin hoàn toàn chịu trách nhiệm lời cam đoan danh dự TP Hồ Chí Minh, ngày 02 tháng 02 năm 2022 Nguyễn Thị Thu Hồi i TĨM TẮT Khóa luận thực nhằm nghiên cứu “Các yếu tố tác động đến nợ xấu NHTMCP Việt Nam” giai đoạn năm 2010 - 2020 Bài nghiên cứu sử dụng liệu thu thập từ báo cáo tài 25 Ngân hàng Thƣơng mại Cổ phần Việt Nam giai đoạn 2010 - 2020 Phƣơng pháp khóa luận sử dụng ƣớc lƣợng liệu bảng, ƣớc lƣợng hồi quy bình phƣơng nhỏ (GLS) ƣớc lƣợng Momen tổng quát (GMM) Kết cho thấy, biến tác động đến nợ xấu NHTMCP mơ hình nghiên cứu có có ý nghĩa thống kê: Biến khả sinh lời, tỷ lệ dự phịng rủi ro tốc độ tăng trƣởng GDP có tƣơng quan âm với nợ xấu, biến lại bao gồm quy mô ngân hàng, nợ xấu khứ, tỷ lệ vốn chủ sở hữu tổng tài sản, tốc độ tăng trƣởng tín dụng tỷ lệ lạm phát có tƣơng quan dƣơng với nợ xấu Dựa vào kết nghiên cứu, đề tài đƣa gợi ý, khuyến nghị cho NHTM nhằm hạn chế tỷ lệ nợ xấu gia tăng Từ khóa: Nợ xấu, Ngân hàng thƣơng mại, GMM ii ABSTRACT Commercial bank is an enterprise specializing in capital trading and monetary services of entities in the economy Over the years of establishment and development, joint stock commercial banks in Vietnam have increasingly innovated in quality, contributing to the economic development of Vietnam In banking business, credit activities are the core, main and main source of income of the bank As the lifeblood of the economy, if a bank fails, it will greatly affect capital mobility in the economy, leading to a crisis in the entire banking system Therefore, the control of credit risk at banks is extremely important in parallel with the profitable business of banks Non-performing loan is an issue that needs attention in credit risk management According to Klein (2013), Louzis (2012), Nkusu, M (2011) and Rogoff (2010), non-performing loan is considered a warning sign of a future financial crisis if not monitored and handled promptly time time Many recent studies around the world have shown the cause of bad debt According to the work of Sinkey, J.F and Greenwalt, MB (1991) studied commercial banks in the US and determined that the causes of credit failure stem from internal and external factors, internal factors such as high interest rates have a relationship with the bank in the same direction as the nonperforming loan ratio To reduce bad debts, Tobin (1880) said that banks need to care about liquidity so that depositors can withdraw money at any time In addition, they must be prepared to meet the customer's minimum cash requirements at any time Therefore, institutions need to prepare a large amount of highly liquid assets In Vietnam, there have been many studies to find out the factors affecting the nonperforming loan of joint stock commercial banks in Vietnam Vinh (2015), Le Kieu Oanh Dao (2020) and Hang Hoang Thi Thanh (2020) have shown that the cause of bank nonperforming loan is related to scale and macro factors such as economic growth, increase credit growth, inflation Understanding the causes as well as analyzing the impact of nonperforming loan on the business activities of commercial banks in Vietnam is extremely important and urgent to have a plan to prevent bank failures In the past time, the nonperforming loan ratio has been constantly fluctuating, with the efforts of commercial iii banks as well as the timely direction from the State Bank (SBV) and ministries, the nonperforming loan ratio has tended to decreasing direction According to SBV Deputy Governor Nguyen Kim Anh on the evolution of bad debts over the years, in 2016, the onbalance sheet non-performing loan ratio of the whole banking system was 2.46%, in 2017 it decreased to 1.99% 1.91% in 2018, 1.63% in 2019, 1.76% in 2020, 1.9% in 2020 and 1.9% in 2021, excluding bad debts Currently, there are many non-performing loan assessment tools deployed by policy makers and state agencies to deal with bad debts in the short term But understanding the causes of non-performing loan is still limited, finding out the important factors causing non-performing loan has not been fully studied The key issue is how to quickly handle bad debts, find out the main causes, and then come up with appropriate solutions to minimize bad debts, help the banking industry develop healthy, and contribute to growth so economic From the above reasons, the author decided to choose the topic "Factors affecting nonperforming loan of joint stock commercial banks in Vietnam" The content of the study consists of chapters: CHAPTER 1: INTRODUCTION TO THE RESEARCH TOPIC This chapter will state the reason for choosing the topic, the research objective, the research question, the research object and scope, the contributions of the topic and the structure of the thesis CHAPTER 2: THEORETICAL BASIS AND SUMMARY OF EXPERIMENTAL STUDIES ON FACTORS AFFECTING NPLS OF JOINT STOCK COMMERCIAL BANKS IN VIETNAM This chapter presents the theoretical basis for the impact of factors on non-performing loan of joint stock commercial banks in Vietnam This chapter also reviews previous iv research models on the factors affecting non-performing loan of JSCBs to serve as a basis for building a research model in the following chapter CHAPTER 3: RESEARCH METHODS Based on the theoretical basis of Chapter 2, Chapter refers to the research model, research variables, research data, research methods, research processes used in the thesis to obtain appropriate results well suited consistent with the stated goal with the general equation: NPL i,t = β + β NPL i,t 1 + β SIZE i,t + β ROA i,t + β LLR i,t + β LGR i,t +β6 ETA i,t + β GDP t + β INF t + ε i,t In there: Dependent variable: non-performing loan ratio (NPL i, t) Independent variables: previous period non-performing loan ratio (NPL i, t-1), bank size (SIZE i, t), profitability (ROA i, t), credit risk provision ratio (LLR i, t), credit growth rate (LGR i, t) equity-to-total assets ratio (ETA i, t), economic growth rate (GDP t) and inflation rate (INF t) With i, t corresponding to the bank and the survey year, β is the intercept, β - β is the slope of the independent variables and ε i, t is the statistical surplus CHAPTER 4: DISCUSSION OF RESEARCH RESULTS This chapter performs descriptive statistics of the variables in the model, analyzes the correlation between the variables in the model, tests the research model and estimates it by GLS and GMM methods From there, analyze the factors affecting the non-performing loan of joint stock commercial banks From there, a suitable regression model is proposed to show the relationship between bank internal factors and macroeconomic factors affecting non-performing loan of joint stock commercial banks v Based on the results of previous studies, two groups of intrinsic and macro factors cause non-performing loan over time The above studies show that the main factors affecting the non-performing loan ratio include the non-performing loan ratio in the past (NPLt-1), profitability (ROA), bank size (SIZE), ratio capital adequacy ratio (ETA), risk provision ratio (LLR), credit growth rate (LGR), inflation rate (INF), gross domestic product (GDP) growth rate and GDP growth rate GDP growth unemployment rate (UNR) The difference compared with the above references is the broader research scope with 25 joint stock commercial banks listed on stock exchanges in Vietnam with a period of 11 years from 2010 to 2020 The thesis has considered model phenomena such as multicollinearity, variable variance and autocorrelation Through the GLS and GMM estimation methods, the internal factors of the bank and the macro factors in the current non-performing loan have been tested After having estimated results by GMM generalized time method, all research variables are statistically significant In which, profitability variables (ROA), risk provision ratio (LLR) and gross domestic product (GDP) are negatively correlated with bad debt, the remaining variables include bank size (SIZE), past bad debt (NPLt-1), equity to total assets (ETA), credit growth rate (LGR) and inflation rate (INF) are positively correlated with debt bad CHAPTER 5: CONCLUSIONS AND RECOMMENDATIONS Based on the conclusions in chapter 4, chapter offers some suggestions for commercial bank managers to effectively reduce the non-performing loan ratio of commercial banks in Vietnam This chapter has pointed out the limitations of the topic, thereby giving suggestions for future research directions related to research time and space as well as research content Keywords: Non-performing loan, Commercial bank, GMM vi LỜI CẢM ƠN Sau khoảng thời gian học tập thực nghiên cứu, em hoàn thành xong đề tài “Các yếu tố tác động đến nợ xấu ngân hàng Thƣơng mại Cổ phần Việt Nam” Em xin gửi lời cảm ơn đến ngƣời hỗ trợ em thời gian nghiên cứu vừa qua Em xin bày tỏ lịng kính trọng biết ơn sâu sắc đến TS Nguyễn Hoàng Vĩnh Lộc, thầy giáo hƣớng dẫn em tận tình, truyền đạt kiến thức kinh nghiệm nhƣ cung cấp thơng tin cần thiết để em hồn thành nghiên cứu Em xin trân trọng cảm ơn Ban Giám hiệu trƣờng Đại học Ngân hàng TP HCM, phịng Đào tạo, khoa Tài trƣờng tổ chức tạo điều kiện thuận lợi trình em hồn thành khóa luận Em xin chân thành cảm ơn gia đình, bạn bè tạo điều kiện thuận lợi hỗ trợ, động viên suốt trình làm nghiên cứu Tuy nhiên kiến thức hạn chế thân chƣa thực nghiên cứu rộng nên nội dung luận văn không tránh khỏi thiếu sót, em mong nhận đƣợc góp ý, bảo thêm q thầy, bạn đọc để nghiên cứu đƣợc hoàn thiện Em xin chân thành cảm ơn TP Hồ Chí Minh, ngày 29 tháng 03 năm 2022 Nguyễn Thị Thu Hồi vii MỤC LỤC TĨM TẮT i LỜI CAM ĐOAN i LỜI CẢM ƠN vii MỤC LỤC viii DANH MỤC VIẾT TẮT xii DANH MỤC KÝ HIỆU CÁC BIẾN xiv DANH MỤC BẢNG xv DANH MỤC HÌNH ẢNH xvi DANH MỤC PHỤ LỤC xvii CHƢƠNG GIỚI THIỆU NGHIÊN CỨU 1.1 Tính cấp thiết đề tài 1.2 Mục tiêu nghiên cứu 1.2.1 Mục tiêu tổng quát 1.2.2 Mục tiêu cụ thể 1.3 Đối tƣợng phạm vi nghiên cứu 1.3.1 Đối tƣợng nghiên cứu 1.3.2 Phạm vi nghiên cứu 1.4 Phƣơng pháp nghiên cứu 1.5 Ý nghĩa khoa học thực tiễn đề tài nghiên cứu 1.6 Kết cấu khóa luận Kết luận chƣơng CHƢƠNG NỢ XẤU VÀ CÁC YẾU TÁC ĐỘNG ĐẾN NỢ XẤU 2.1 Nợ xấu ngân hàng thƣơng mại 2.1.1 Khái niệm rủi ro tín dụng viii Salas, V and Saurina, J (2002) Credit Risk in Two Institutional Regimes: Spanish Commercial and Savings Banks, Journal of Financial Services Research, Vol.22, No.3, 203-224 Samuelson, P A and Nordhaus, W D (1948) Economics, McGraw-Hill Higher Education Stefanelli, M C (2011) Bank size, functional distance, and loss gave default rates of bank loans Williams, J (2004) Determining management behaviour in European banking, Journal of Banking and Finance, Vol.28, 2427-2460 Podpiera, J and Weill, L (2008) Bad Luck or Bad Management? Emerging Banking Market Experience, Journal of Financial Stability, Vol.4, No.2, 135-148 72 | P a g e PHỤ LỤC CÁC NGÂN HÀNG TRONG MẪU NGHIÊN CỨU ST Ký hiệu T Tên đầy đủ Giai đoạn ABB Ngân hàng TMCP An Bình 2010 - 2020 ACB Ngân hàng TMCP Á Châu 2010 - 2020 BID Ngân hàng TMCP Đầu tƣ Phát triển Việt Nam 2010 - 2020 BVB Ngân hàng TMCP Bản Việt 2010 - 2020 CTG Ngân hàng TMCP Công Thƣơng Việt Nam 2010 - 2020 EIB Ngân hàng TMCP Xuất nhập Việt Nam 2010 - 2020 HDB Ngân hàng TMCP Phát triển TP HCM 2010 - 2020 KLB Ngân hàng TMCP Kiên Long 2010 - 2020 LPB Ngân hàng TMCP Bƣu điện Liên Việt 2010 - 2020 10 MBB Ngân hàng TMCP Quân Đội 2010 - 2020 11 MSB Ngân hàng TMCP Hàng hải Việt Nam 2010 - 2020 12 NAB Ngân hàng TMCP Nam Á 2010 - 2020 13 NVB Ngân hàng TMCP Quốc Dân 2010 - 2020 14 OCB Ngân hàng TMCP Phƣơng Đông 2010 - 2020 15 PGB Ngân hàng TMCP Xăng dầu Petrolimex 2010 - 2020 16 SEA Ngân hàng TMCP Đông Nam Á 2010 - 2020 17 SGB Ngân hàng TMCP Sài Gịn Cơng Thƣơng 2010 - 2020 18 SHB Ngân hàng TMCP Sài Gòn - Hà Nội 2010 - 2020 19 STB Ngân hàng TMCP Sài Gịn Thƣơng Tín 2010 - 2020 20 TCB Ngân hàng TMCP Kỹ thƣơng Việt Nam 2010 - 2020 21 TPB Ngân hàng TMCP Tiên Phong 2010 - 2020 22 VAB Ngân hàng TMCP Việt Á 2010 - 2020 23 VCB Ngân hàng TMCP Ngoại thƣơng Việt Nam 2010 - 2020 24 VIB Ngân hàng TMCP Quốc tế Việt Nam 2010 - 2020 25 VPB Ngân hàng TMCP Việt Nam Thịnh Vƣợng 2010 - 2020 73 | P a g e PHỤ LỤC DỮ LIỆU NGHIÊN CỨU  Tỷ lệ nợ xấu tổng dƣ nợ ngân hàng 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 ABB 0.01160 0.02790 0.02835 0.06803 0.03990 0.02128 0.02507 0.02770 0.01886 0.02310 0.02092 ACB 0.00336 0.00893 0.02481 0.03025 0.02178 0.01321 0.01121 0.00708 0.00733 0.00543 0.00596 BID 0.02710 0.02961 0.02916 0.02368 0.02032 0.01680 0.01994 0.01622 0.01902 0.01745 0.01759 BVB 0.04066 0.02702 0.01895 0.04108 0.02200 0.01200 0.01300 0.01800 0.02100 0.02508 0.02771 CTG 0.00657 0.00751 0.01467 0.01002 0.01115 0.09185 0.01055 0.01140 0.01585 0.01156 0.00938 EIB 0.01425 0.01611 0.01318 0.01982 0.02461 0.01859 0.02946 0.02268 0.01846 0.01707 0.02515 HDB 0.00825 0.02108 0.02353 0.03532 0.02042 0.01586 0.01458 0.01515 0.01531 0.01365 0.01322 KLB 0.01109 0.02773 0.02926 0.02471 0.01953 0.01126 0.01061 0.00839 0.00942 0.01021 0.05423 LPB 0.00418 0.02136 0.02711 0.02482 0.01230 0.08800 0.01114 0.01067 0.01410 0.01445 0.01431 MBB 0.01354 0.01613 0.01856 0.02459 0.02757 0.01625 0.01339 0.01221 0.01346 0.01170 0.01104 MSB 0.01870 0.02270 0.02645 0.02708 0.05159 0.03411 0.02364 0.02227 0.03006 0.02045 0.01963 NAB 0.02181 0.02837 0.02708 0.01477 0.01468 0.00913 0.02937 0.01948 0.01009 0.01975 0.00834 NVB 0.02239 0.02916 0.05640 0.06067 0.02525 0.02150 0.01485 0.01533 0.01670 0.01926 0.01510 OCB 0.02050 0.02996 0.02800 0.02900 0.03000 0.01900 0.01754 0.01794 0.02288 0.01842 0.01690 PGB 0.01418 0.02056 0.08437 0.02980 0.02485 0.02754 0.02468 0.03225 0.03061 0.03159 0.02440 SEA 0.02940 0.02750 0.02969 0.02837 0.01600 0.01433 0.01725 0.01029 0.01521 0.02312 0.01858 SGB 0.01913 0.04748 0.02930 0.02242 0.02080 0.01882 0.02631 0.02980 0.02201 0.01939 0.01444 SHB 0.01399 0.02234 0.08827 0.04131 0.02028 0.01724 0.01877 0.02332 0.02396 0.01907 0.01832 STB 0.05389 0.05752 0.02048 0.01456 0.01189 0.05797 0.06912 0.04667 0.02129 0.01937 0.01699 TCB 0.02288 0.02827 0.02696 0.03652 0.02383 0.01670 0.01575 0.01606 0.01753 0.01334 0.00467 TPB 0.00183 0.00673 0.03663 0.00352 0.01008 0.00659 0.00710 0.01086 0.01116 0.01291 0.01184 VAB 0.02518 0.02560 0.04650 0.02880 0.02326 0.02264 0.02140 0.02680 0.01370 0.01180 0.02326 VCB 0.02911 0.02033 0.02403 0.02725 0.02308 0.01844 0.01502 0.01142 0.00985 0.00770 0.00623 VIB 0.01590 0.02690 0.02617 0.02821 0.02514 0.02070 0.02575 0.02488 0.02519 0.01963 0.01740 VPB 0.01200 0.01824 0.02719 0.02810 0.02537 0.02693 0.02908 0.03394 0.03499 0.03421 0.03413 74 | P a g e  Quy mô ngân hàng 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 ABB 17.45351 17.54221 17.64445 17.86951 18.02712 17.98023 18.12189 18.25230 18.31530 18.44593 ACB 19.13902 19.45393 18.98774 18.93110 19.00630 19.12109 19.26947 19.46560 19.61258 19.76489 BID 19.71888 19.82126 19.99922 20.12249 20.29301 20.56153 20.72962 20.90749 20.99561 21.12201 BVB 15.92274 16.64685 16.84421 16.95355 17.06521 17.18347 17.29320 17.50191 17.65607 17.76307 CTG 19.72281 19.94805 20.03715 20.17226 20.30963 20.47414 20.67046 20.81408 20.87550 20.93895 EIB 18.69155 19.02809 18.95223 18.95034 18.89750 18.64262 18.67378 18.82193 18.84367 18.93672 HDB 17.35325 17.62274 17.78170 18.27249 18.41592 18.48352 18.82811 19.05902 19.19105 19.25131 KLB 16.35141 16.69747 16.73765 16.87760 16.95551 17.04719 17.23163 17.43522 17.56053 17.74934 LPB 17.37042 17.84322 18.01140 18.19245 18.42867 18.49381 18.77039 18.91192 18.98084 19.12407 MBB 18.51256 18.74877 18.98378 19.01058 19.11627 19.21386 19.36170 19.56451 19.70805 19.83529 MSB 18.56336 18.55499 18.51529 18.48941 18.46344 18.46289 18.34386 18.53614 18.74109 18.87162 NAB 16.49026 16.75416 16.58861 17.17525 17.43432 17.38420 17.57325 17.81261 18.13379 18.36609 NVB 16.81206 16.92885 16.88752 17.18537 17.42202 17.69149 18.04978 18.08997 18.09802 18.20245 OCB 16.79560 17.05142 17.12693 17.30579 17.48150 17.71642 17.97150 18.24989 18.42032 18.58755 PGB 16.61147 16.68239 16.77307 17.02940 17.06508 17.02156 17.02734 17.19303 17.21336 17.26785 SEA 17.82723 18.43155 18.13389 18.19584 18.19983 18.25530 18.45378 18.64390 18.76063 18.87429 SGB 16.63760 16.54761 16.51368 16.50232 16.57700 16.69183 16.76247 16.87513 16.82975 16.94283 SHB 17.74798 18.07804 18.57372 18.78272 18.94562 19.13708 19.27061 19.47154 19.59402 19.71610 STB 18.84193 18.76759 18.84017 18.89926 19.06150 19.49238 19.62071 19.72487 19.82196 19.93268 TCB 18.82809 19.01141 19.00810 18.88376 18.98544 19.07297 19.27664 19.41168 19.58692 19.76537 TPB 16.85475 17.02979 16.53155 17.28399 17.75666 18.14915 18.47689 18.63675 18.72948 18.91805 VAB 16.99701 16.92961 17.01861 17.11256 17.38759 17.55028 17.93398 17.98115 18.08229 18.15211 VCB 19.54397 19.72012 19.84256 19.96610 20.17335 20.32933 20.48489 20.75795 20.79468 20.92434 VIB 18.35696 18.38970 17.99026 18.15769 18.20577 18.25000 18.46486 18.62899 18.75118 19.03333 VPB 17.90663 18.23216 18.44612 18.61348 18.91074 19.08273 19.24823 19.44224 19.59406 19.74830 75 | P a g e  Tỷ lệ lợi nhuận tổng tài sản ngân hàng 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 ABB 0.01538 0.00772 0.00912 0.00271 0.00187 0.00138 0.00352 0.00616 0.00819 0.01039 0.01021 ACB 0.01252 0.01320 0.00343 0.00482 0.00550 0.00540 0.00609 0.00818 0.01674 0.01686 0.01856 BID 0.01135 0.00829 0.00578 0.00784 0.00832 0.00850 0.00667 0.00629 0.00600 0.00610 0.00481 BVB 0.00979 0.02143 0.01085 0.00472 0.00664 0.00194 0.00009 0.00093 0.00218 0.00257 0.00285 CTG 0.01117 0.01511 0.01280 0.01076 0.00926 0.00794 0.00783 0.00730 0.00479 0.00788 0.01066 EIB 0.01846 0.01931 0.01209 0.00387 0.00034 0.00028 0.00244 0.00592 0.00437 0.00541 0.00653 HDB 0.01007 0.01074 0.00667 0.00313 0.00513 0.00612 0.00712 0.01151 0.01579 0.01805 0.01694 KLB 0.01943 0.02590 0.01927 0.01569 0.00791 0.00682 0.00434 0.00595 0.00582 0.00145 0.00233 LPB 0.02609 0.02145 0.01417 0.00776 0.00517 0.00336 0.00852 0.00896 0.00567 0.00849 0.00838 MBB 0.01954 0.01542 0.01476 0.01284 0.01314 0.01192 0.01208 0.01224 0.01831 0.02085 0.01899 MSB 0.01291 0.00694 0.00202 0.00304 0.00135 0.00111 0.00142 0.00119 0.00695 0.00708 0.01205 NAB 0.01089 0.01440 0.01035 0.00602 0.00567 0.00534 0.00084 0.00492 0.00913 0.00862 0.00698 NVB 0.00811 0.00782 0.00010 0.00073 0.00025 0.00015 0.00018 0.00031 0.00050 0.00056 0.00001 OCB 0.01881 0.01342 0.00870 0.00802 0.00614 0.00473 0.00683 0.01103 0.01911 0.02368 0.02612 PGB 0.01633 0.02628 0.01303 0.00173 0.00517 0.00162 0.00495 0.00238 0.00429 0.00243 0.00501 SEA 0.01466 0.00161 0.00060 0.00196 0.00109 0.00111 0.00124 0.00267 0.00372 0.00737 0.00806 SGB 0.05543 0.01889 0.01967 0.01170 0.01186 0.00257 0.00758 0.00270 0.00200 0.00670 0.00415 SHB 0.01259 0.01234 0.01799 0.00653 0.00506 0.00426 0.00416 0.00592 0.00549 0.00702 0.00670 STB 0.01490 0.01358 0.00683 0.01422 0.01257 0.00269 0.00028 0.00337 0.00462 0.00571 0.00567 TCB 0.01707 0.01907 0.00425 0.00389 0.00646 0.00831 0.01474 0.02554 0.02871 0.02902 0.03057 TPB 0.01023 (0.05993) 0.00582 0.01616 0.01283 0.00880 0.00621 0.00838 0.01387 0.02058 0.01894 VAB 0.01336 0.01065 0.00696 0.00233 0.00152 0.00212 0.00192 0.00157 0.00174 0.00281 0.00407 VCB 0.01505 0.01251 0.01132 0.00991 0.00877 0.00852 0.00937 0.00999 0.01386 0.01613 0.01449 VIB 0.01051 0.00670 0.00643 0.00071 0.00664 0.00632 0.00595 0.00988 0.01673 0.02018 0.02163 VPB 0.01152 0.01121 0.00694 0.00909 0.00881 0.01342 0.01862 0.02543 0.02448 0.02358 0.02616 76 | P a g e 2020  Tỷ lệ dự phòng rủi ro tổng dƣ nợ ngân hàng 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 ABB 0.01075 0.02860 0.00900 0.01440 0.01650 0.02140 0.01650 0.01040 0.00610 0.01307 0.01127 ACB 0.00812 0.00280 0.00500 0.00790 0.00840 0.00650 0.00740 0.01300 0.00410 0.01116 0.00953 BID 0.00956 0.01650 0.01120 0.01730 0.01560 0.00940 0.01270 0.00790 0.01930 0.01327 0.01271 BVB 0.14576 1.13230 0.62440 0.51390 0.27060 0.24560 0.11020 0.23410 0.24380 0.26160 0.28460 CTG 0.26510 0.01670 0.01300 0.01090 0.00880 0.00860 0.00750 0.01060 0.00910 0.10000 0.16710 EIB 0.00340 0.00360 0.00310 0.00360 0.00940 0.01690 0.01250 0.00600 0.00700 0.01187 0.01037 HDB 0.01243 0.00620 0.01410 0.00430 0.01080 0.01650 0.01200 0.00980 0.00870 0.01610 0.01165 KLB 0.01263 0.00420 0.00750 0.00670 0.00310 0.00400 0.00460 0.00280 0.00120 0.01487 0.01042 LPB 0.16578 1.67690 0.54210 0.56000 0.17130 0.11470 0.26300 0.22610 0.10170 0.12480 0.13540 MBB 0.01060 0.01080 0.02720 0.02150 0.02000 0.01730 0.01340 0.01780 0.01430 0.02450 0.01500 MSB 0.00400 0.00310 0.01750 0.04230 0.10900 0.01870 0.04960 0.02840 0.01540 0.00731 0.00977 NAB 0.00975 0.00580 0.01180 0.00660 0.00480 0.01160 0.02000 0.01460 0.00200 0.01074 0.00515 NVB 0.00104 0.00538 0.00686 0.00182 0.00062 0.00154 0.00326 0.00410 0.00530 0.00120 0.00460 OCB 0.00967 0.00550 0.01460 0.01390 0.01090 0.01310 0.00850 0.05350 0.01690 0.01113 0.01140 PGB 0.01150 0.01008 0.02051 0.01162 0.00715 0.01324 0.01160 0.01050 0.01350 0.00245 0.02140 SEA 0.00250 0.00340 0.00900 0.00350 0.00620 0.00210 0.01090 0.00780 0.00670 0.01010 0.01077 SGB 0.01030 0.01790 0.02530 0.01460 0.02170 0.02310 0.01080 0.02010 0.02530 0.00863 0.00930 SHB 0.00864 0.00590 0.00990 0.00640 0.00590 0.00640 0.00800 0.00960 0.00660 0.00834 0.00797 STB 0.00827 0.00490 0.01380 0.00390 0.00750 0.01210 0.00350 0.00370 0.00620 0.01577 0.01016 TCB 0.01093 0.00530 0.02120 0.02010 0.02810 0.03230 0.02560 0.02270 0.01170 0.01525 0.01238 TPB 0.01081 0.02552 0.01193 0.00711 0.00028 0.00028 0.00477 0.00583 0.01168 0.01421 0.01676 VAB 0.00000 0.00010 0.00053 0.00210 0.00456 0.01584 0.01192 0.01183 0.01125 0.01254 0.01485 VCB 0.01547 0.01650 0.01380 0.01280 0.01410 0.01560 0.01390 0.01150 0.01650 0.01024 0.01519 VIB 0.01664 0.02230 0.02190 0.02470 0.03110 0.01060 0.01000 0.00440 0.00680 0.01193 0.03376 VPB 0.03325 0.00500 0.01080 0.01950 0.01240 0.02800 0.03670 0.04450 0.05150 0.01438 0.02345 77 | P a g e  Tốc độ tăng trƣởng tín dụng ngân hàng 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 ABB 0.55391 0.00529 (0.06804) 0.24958 0.10221 0.19316 0.29041 0.20440 0.08938 0.08851 0.11426 ACB 0.39830 0.17907 -0.00950 0.05262 0.08521 0.15223 0.21132 0.20942 0.16408 0.16820 0.15657 BID 0.19984 0.15700 0.14530 0.18815 0.19402 0.34271 0.20932 0.19786 0.14056 0.12972 0.08710 BVB 0.58230 0.19588 0.77655 0.28935 0.29466 0.22117 0.32346 0.19234 0.18608 0.14499 0.17700 CTG 0.43534 0.25290 0.13605 0.12879 0.16897 0.22327 0.23028 0.19441 0.09389 0.08133 0.08560 EIB 0.61871 0.20175 0.00347 0.11254 0.04550 -0.0273 0.02515 0.16610 0.02683 0.08854 -0.1102 HDB 0.42490 0.18073 0.52716 1.07902 0.35116 0.45378 0.27088 0.17833 0.18836 0.21868 KLB 0.43781 0.19911 0.15227 0.25251 0.11525 0.19898 0.21880 0.24886 0.19390 0.13598 0.03693 LPB 0.81325 0.29729 0.80226 0.28516 0.57029 0.32227 0.29867 0.26288 0.18458 0.17895 0.25689 MBB 0.67311 0.28325 0.27197 0.18084 0.14093 0.20464 0.23753 0.22314 0.16971 0.16600 0.18790 MSB 0.33334 0.18610 -0.23334 -0.0530 0.19490 0.25017 0.03115 0.34655 0.30417 0.24760 NAB 0.05767 0.17787 0.00278 0.84750 0.37092 0.31553 0.15204 0.51196 0.39809 0.32925 0.32017 NVB 0.08102 0.19952 -0.00225 0.04577 0.23489 0.22780 0.24084 0.26658 0.11098 0.06269 0.06338 OCB 0.13385 0.11432 0.34706 0.18730 0.16628 0.21911 0.31176 0.25129 0.16880 0.26235 0.25527 PGB 0.73711 0.11257 0.13832 0.00575 0.04619 0.09482 0.10397 0.22168 0.02944 0.07460 0.08349 SEA -0.1456 -0.0424 -0.15002 0.20900 1.12395 0.10400 SGB 0.07546 0.06953 -0.02878 -0.0175 0.06480 0.06118 SHB 0.90008 0.19635 0.94793 0.32267 0.38353 0.26241 0.23603 0.22248 0.09430 0.22201 0.15265 STB 0.38265 -0.0235 0.19611 0.14773 0.15782 0.45230 0.06962 0.12113 0.15105 0.15356 0.14944 TCB 0.25741 0.19883 0.07581 0.02950 0.14276 0.38998 0.27763 0.12785 0.44306 0.20244 TPB 0.63654 -0.2986 0.66000 0.95366 0.66584 0.42437 0.65343 0.36018 0.21710 0.23915 0.25456 VAB 0.10372 -0.1288 0.11332 0.11625 0.09963 0.28099 0.50070 0.12373 0.11051 0.12301 0.12140 VCB 0.24850 0.18440 0.15161 0.13744 0.17871 0.19736 0.19025 0.17931 0.16273 0.16276 0.14302 VIB -0.2631 0.04232 -0.22093 0.03988 0.08344 0.25140 0.25959 0.32710 0.20378 0.34389 0.32775 VPB 0.60147 0.15241 0.26452 0.42194 0.49384 0.49008 0.23860 0.26261 0.21512 0.15868 0.13077 -0.0479 -0.1422 -0.0046 0.36492 0.19854 0.19198 0.18513 0.05270 0.03381 0.07937 0.12541 -0.0307 -0.0056 78 | P a g e  Tỷ lệ vốn chủ sở hữu tổng tài sản 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 ABB 0.12238 0.11369 0.10650 0.09968 0.08472 0.08995 0.07877 0.07241 0.07632 0.07647 0.07658 ACB 0.05547 0.04256 0.07160 0.07506 0.06902 0.06348 0.06018 0.05638 0.06382 0.07240 0.07974 BID 0.06653 0.06062 0.05508 0.05889 0.05167 0.04977 0.04383 0.04062 0.04155 0.05212 0.05251 BVB 0.25267 0.19452 0.15798 0.13959 0.12850 0.11417 0.10223 0.08380 0.07385 0.07210 0.06367 CTG 0.04996 0.06231 0.06721 0.09419 0.08357 0.07198 0.06358 0.05823 0.05793 0.06235 0.06367 EIB 0.10305 0.08881 0.09293 0.08644 0.08733 0.10528 0.10441 0.09541 0.09750 0.09400 0.10484 HDB 0.06856 0.07879 0.10219 0.09973 0.09243 0.09242 0.06615 0.07795 0.07789 0.08882 0.07741 KLB 0.25539 0.19363 0.18540 0.16263 0.14561 0.13322 0.11047 0.09515 0.08864 0.07420 0.06840 LPB 0.11738 0.11747 0.11129 0.09135 0.07332 0.07065 0.05873 0.05741 0.05826 0.06226 0.05873 MBB 0.08886 0.07417 0.07704 0.08708 0.08553 0.10488 0.10376 0.09431 0.09432 0.09693 0.10121 MSB 0.05486 0.08306 0.08269 0.08787 0.09050 0.13053 0.14686 0.12226 0.10031 0.09469 0.09550 NAB 0.14990 0.16691 0.20470 0.11321 0.08933 0.09627 0.08012 0.06736 0.05636 0.05239 0.04913 NVB 0.10103 0.14296 0.14755 0.11018 0.08719 0.06671 0.04678 0.04479 0.04464 0.05357 0.04758 OCB 0.15947 0.14753 0.13928 0.12090 0.10277 0.08545 0.07390 0.07283 0.08800 0.09739 0.11431 PGB 0.13270 0.14736 0.16592 0.12903 0.12954 0.13665 0.14080 0.12150 0.12330 0.11910 0.10870 SEA 0.10397 0.05477 0.07436 0.07170 0.07086 0.06806 0.05688 0.04939 0.05909 0.06942 0.07586 SGB 0.20972 0.21509 0.23831 0.23838 0.22030 0.19105 0.18453 0.16029 0.16859 0.15611 0.15125 SHB 0.08197 0.08214 0.08159 0.07212 0.06202 0.05500 0.05656 0.05137 0.05052 0.05067 0.05824 STB 0.09643 0.10283 0.09005 0.10574 0.09517 0.07561 0.06684 0.06306 0.06066 0.05896 0.05879 TCB 0.06247 0.06933 0.07386 0.08760 0.08520 0.08572 0.08322 0.09997 0.16132 0.16177 0.16973 TPB 0.15307 0.06721 0.21951 0.11533 0.08230 0.06296 0.05371 0.05379 0.07800 0.07951 0.08116 VAB 0.14099 0.15885 0.14357 0.13275 0.10216 0.09359 0.06536 0.06389 0.05940 0.05811 0.06615 VCB 0.06761 0.07848 0.10060 0.09070 0.07534 0.06698 0.06105 0.05077 0.05789 0.06615 0.07095 VIB 0.07027 0.08417 0.12973 0.10384 0.10538 0.10213 0.08365 0.07135 0.07665 0.07278 0.07346 VPB 0.08703 0.07240 0.06470 0.06372 0.05501 0.06906 0.07509 0.10691 0.10749 0.11190 0.12599  Tốc độ tăng trƣởng GDP lạm phát 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 GDP 0.06423 0.06240 0.05247 0.05422 0.05984 0.06679 0.06211 0.06812 0.07076 0.07017 0.02910 0.09207 0.18678 0.09095 0.06593 0.04085 0.00631 0.02668 0.03520 0.03540 0.02796 0.03230 INF 79 | P a g e PHỤ LỤC KẾT QUẢ HỒI QUY  Thống kê mô tả Variable Obs Mean npl size roa llr lgr 275 275 275 275 275 0223987 18.49587 0090826 0430448 2158907 eta gdp inf 275 275 275 0944647 0600191 0582209 Std Dev Min Max 0133427 1.154602 0082998 144068 2053572 00183 15.92274 -.05993 1.50e-06 -.29864 09185 21.13979 05543 1.6769 1.12395 0409811 0113194 0481724 04062 0291 00631 25539 07076 18678  Ma trận tƣơng quan npl size roa llr lgr eta gdp inf npl size roa llr lgr eta gdp 1.0000 -0.1665 -0.0902 0.0113 -0.0996 0.1899 -0.0513 0.1180 1.0000 0.1265 -0.1288 -0.0600 -0.6564 -0.0536 -0.2524 1.0000 0.0842 0.2029 0.2868 -0.0506 0.1631 1.0000 0.1266 0.1194 -0.0199 0.1724 1.0000 -0.0484 0.0603 -0.0515 1.0000 -0.0515 0.2403 1.0000 -0.0326 inf inf 1.0000 80 | P a g e  Kết hồi quy theo Pooled OLS Source SS df MS Model Residual 003501 045278762 267 000500143 000169583 Total 048779762 274 000178028 npl Coef size roa llr lgr eta gdp inf _cons 0002059 -.2629634 -.0009675 -.0029845 0725724 -.0489115 0259581 0162344 Std Err .0010687 1182886 0056246 0041323 0304795 070197 017553 0227497 t 0.19 -2.22 -0.17 -0.72 2.38 -0.70 1.48 0.71 Number of obs F(7, 267) Prob > F R-squared Adj R-squared Root MSE P>|t| 0.847 0.027 0.864 0.471 0.018 0.487 0.140 0.476 = = = = = = 275 2.95 0.0054 0.0718 0.0474 01302 [95% Conf Interval] -.0018983 -.4958604 -.0120416 -.0111205 0125616 -.1871216 -.0086018 -.0285573 00231 -.0300664 0101067 0051516 1325832 0892987 060518 0610261  Kết hồi quy theo FEM Fixed-effects (within) regression Group variable: firm Number of obs Number of groups R-sq: Obs per group: within = 0.0864 between = 0.0585 overall = 0.0580 corr(u_i, Xb) = = 275 25 = avg = max = 11 11.0 11 = = 3.28 0.0024 F(7,243) Prob > F = -0.4280 npl Coef Std Err size roa llr lgr eta gdp inf _cons -.0021731 -.219041 -.0037187 -.0032896 090979 -.0597204 0078358 0599857 0026125 1312927 007256 0046306 0373295 0680924 0216307 0522774 sigma_u sigma_e rho 00648355 01232024 21687818 (fraction of variance due to u_i) F test that all u_i=0: F(24, 243) = 2.30 t -0.83 -1.67 -0.51 -0.71 2.44 -0.88 0.36 1.15 P>|t| 0.406 0.097 0.609 0.478 0.016 0.381 0.717 0.252 [95% Conf Interval] -.0073191 -.4776581 -.0180115 -.0124109 0174484 -.1938472 -.0347718 -.042989 0029729 0395761 0105741 0058317 1645096 0744063 0504435 1629604 Prob > F = 0.0008 81 | P a g e  Kết hồi quy theo REM Random-effects GLS regression Group variable: firm Number of obs Number of groups R-sq: Obs per group: within = 0.0815 between = 0.0587 overall = 0.0704 corr(u_i, X) = = 275 25 = avg = max = 11 11.0 11 = = 21.78 0.0028 Wald chi2(7) Prob > chi2 = (assumed) npl Coef Std Err z size roa llr lgr eta gdp inf _cons 0001727 -.2668793 -.0023459 -.0020528 0879229 -.0480634 023651 0153747 0013412 118812 006215 004163 0321532 0667149 0173692 0278573 sigma_u sigma_e rho 00444937 01232024 11537628 (fraction of variance due to u_i) 0.13 -2.25 -0.38 -0.49 2.73 -0.72 1.36 0.55 P>|z| 0.898 0.025 0.706 0.622 0.006 0.471 0.173 0.581 [95% Conf Interval] -.002456 -.4997466 -.014527 -.0102122 0249038 -.1788222 -.010392 -.0392246 0028014 -.0340121 0098353 0061065 150942 0826953 0576941 0699739 82 | P a g e  Kết kiểm định Hausman Coefficients (b) (B) fe re size roa llr lgr eta gdp inf -.0021731 -.219041 -.0037187 -.0032896 090979 -.0597204 0078358 0001727 -.2668793 -.0023459 -.0020528 0879229 -.0480634 023651 (b-B) Difference -.0023458 0478383 -.0013728 -.0012368 0030561 -.011657 -.0158152 sqrt(diag(V_b-V_B)) S.E .0022419 0558703 0037449 0020279 0189647 0136274 0128918 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(7) = (b-B)'[(V_b-V_B)^(-1)](b-B) = 4.94 Prob>chi2 = 0.6669  Kết kiểm định VIF Variable VIF 1/VIF eta size roa lgr inf llr gdp 2.52 2.46 1.56 1.16 1.16 1.06 1.02 0.396688 0.406503 0.642111 0.859469 0.865634 0.942580 0.980276 Mean VIF 1.56 83 | P a g e  Kết kiểm định tƣợng phƣơng sai thay đổi Breusch and Pagan Lagrangian multiplier test for random effects npl[firm,t] = Xb + u[firm] + e[firm,t] Estimated results: Var npl e u Test: sd = sqrt(Var) 000178 0001518 0000198 0133427 0123202 0044494 Var(u) = chibar2(01) = Prob > chibar2 = 11.82 0.0003  Kết kiểm định tƣợng tự tƣơng quan Wooldridge test for autocorrelation in panel data H0: no first-order autocorrelation F( 1, 24) = 4.998 Prob > F = 0.0349 84 | P a g e  Kết hồi quy theo GMM 85 | P a g e ... ĐÀO TẠO NGÂN HÀNG NHÀ NƢỚC VIỆT NAM TRƢỜNG ĐẠI HỌC NGÂN HÀNG TP HỒ CHÍ MINH NGUYỄN THỊ THU HOÀI CÁC YẾU TỐ TÁC ĐỘNG ĐẾN NỢ XẤU CỦA CÁC NGÂN HÀNG THƢƠNG MẠI CỔ PHẦN TẠI VIỆT NAM KHÓA LUẬN TỐT NGHIỆP... yếu tố tác động đến nợ xấu NHTMCP Việt Nam Chƣơng trình bày nội dung sở lý thuyết tác động yếu tố đến nợ xấu NHTMCP Việt Nam Chƣơng lƣợc khảo mô hình nghiên cứu trƣớc yếu tố tác động đến nợ xấu. .. quan biến mơ hình phân tích tác động nhân tố tác động đến nợ xấu ngân hàng thƣơng mại cổ phần Từ kết đƣa mơ hình hồi quy phù hợp thể mối quan hệ yếu tố nội ngân hàng, yếu tố kinh tế vĩ mô NHTMCP