1 BỘ GIÁO DỤC VÀ ĐÀO TẠO NGÂN HÀNG NHÀ NƯỚC VIỆT NAM TRƯỜNG ĐẠI HỌC NGÂN HÀNG TP HỒ CHÍ MINH LÊ TRUNG THÀNH CÁC YẾU TỐ TÁC ĐỘNG ĐẾN NỢ XẤU CỦA NGÂN HÀNG THƯƠNG MẠI CỔ PHẦN TẠI VIỆT NAM KHÓA LUẬN T[.]
BỘ GIÁO DỤC VÀ ĐÀO TẠO NGÂN HÀNG NHÀ NƯỚC VIỆT NAM TRƯỜNG ĐẠI HỌC NGÂN HÀNG TP HỒ CHÍ MINH LÊ TRUNG THÀNH CÁC YẾU TỐ TÁC ĐỘNG ĐẾN NỢ XẤU CỦA NGÂN HÀNG THƯƠNG MẠI CỔ PHẦN TẠI VIỆT NAM KHÓA LUẬN TỐT NGHIỆP CHUYÊN NGÀNH: TÀI CHÍNH - NGÂN HÀNG MÃ NGÀNH: 7340201 TP Hồ Chí Minh, tháng … năm 2021 Tai ngay!!! Ban co the xoa dong chu nay!!! BỘ GIÁO DỤC VÀ ĐÀO TẠO NGÂN HÀNG NHÀ NƯỚC VIỆT NAM TRƯỜNG ĐẠI HỌC NGÂN HÀNG TP HỒ CHÍ MINH LÊ TRUNG THÀNH CÁC YẾU TỐ TÁC ĐỘNG ĐẾN NỢ XẤU CỦA NGÂN HÀNG THƯƠNG MẠI CỔ PHẦN TẠI VIỆT NAM KHÓA LUẬN TỐT NGHIỆP CHUYÊN NGÀNH: TÀI CHÍNH - NGÂN HÀNG MÃ NGÀNH: 7340201 NGƯỜI HƯỚNG DẪN KHOA HỌC THs TRẦN THỊ BÌNH AN TP Hồ Chí Minh, tháng … năm 2021 TĨM TẮT KHĨA LUẬN Khóa luận thực nhằm nghiên cứu yếu tố tác động đến nợ xấu Ngân hàng thương mại cổ phần Việt Nam giai đoạn 2011-2019 Bài nghiên cứu sử dụng liệu thu thập từ báo cáo tài 28 Ngân hàng thương mại cổ phần Việt Nam giai đoạn 2011-2019 Phương pháp khóa luận sử dụng ước lượng liệu bảng , ước lượng hồi quy bình phương nhỏ (GLS) ước lượng Momen tổng quát (GMM) Kết cho thấy nợ xấu chịu tác động hai yếu tố nhân tố nội ngân hàng nhân tố vĩ mô kinh tế Kết cho thấy tỷ lệ an tồn vốn có quan hệ ngược chiều với nợ xấu tỷ lệ nợ xấu năm trước, tỷ lệ dự phịng rủi ro, tốc độ tăng trưởng tín dụng, tỷ lệ lạm phát tỷ lệ thất nghiệp có quan hệ chiều với nợ xấu Từ kết ước lượng GMM trên, khóa luận đưa số khuyến nghị thơng qua hàm ý sách, hạn chế đề tài định hướng mở rộng đề tài nghiên cứu Từ khóa: Nợ xấu Ngân hàng thương mại, Yếu tố tác động, GLS, GMM ABSTRACT Bad debt is not only a painful problem of Vietnamese banks but also a very worrying problem of the entire global banking and financial market Bad debt causes extremely unpredictable consequences for banks and financial institutions, leading to the world economic crisis In recent years, commercial banks have made many efforts to handle bad debts, thanks to Resolution No 42/2017/QH14, legal problems of the banking industry related to bad debt handling have been resolved The National Assembly passed and created a synchronous and unified mechanism to ensure the rights of creditors in handling bad debts However, at some commercial banks, bad debt is still high, affecting the business results of the bank Credit growth in recent years has also caused the bad debt ratio of banks to increase rapidly and fluctuate continuously When bad debt increases, it will restrain and limit the flow of credit in the economy, first of all, banks and borrowers will affect the whole economy Bad debt is a criterion reflecting a bank's competitiveness With the efforts of the commercial banks as well as the direction from the State Bank of Vietnam (SBV) and related ministries, the bad debt ratio is tending to decrease Banks should be prepared to respond to deposit withdrawals at any time In addition, they must be prepared to meet the minimum cash requirements of the customers at any time Therefore, institutions need to prepare a large number of highly liquid assets In Vietnam, there have been many studies on the factors affecting the bad debt of commercial banks such as credit growth, scale, and macro factors such as economic growth, inflation From the above reasons, the author decided to choose the topic "Factors affecting bad debt of joint stock commercial banks in Vietnam" The results of this study are of reference value in understanding the credit quality of the banking system, and at the same time assessing the factors affecting the bad debt situation of the current joint stock commercial banks ii This study was conducted in an effort to find out the factors affecting the bad debt of commercial banks in Vietnam including 28 Vietnamese joint stock commercial banks with information collected in the period 2011-2019 The thesis uses descriptive statistics and quantitative methods to describe the basic characteristics of the collected data in order to have an overview of the research sample Statistics of explanatory and dependent variables of Vietnamese joint stock commercial banks in the period 2011 to 2019; Thereby seeing the mean, standard deviation, maximum and minimum value of each variable in the model as well as sample size The study used Stata 15.1 software for data analysis The author uses the GMM estimation method to estimate the factors affecting bad debt and the level of impact of those factors The study relies on the results of the regression to provide discussion and recommendations The thesis studies the impact factors of bad debt on joint stock commercial banks in Vietnam The structure consists of chapters: Chapter 1: INTRODUCTION OF RESEARCH This chapter will talk about the research work, including the reason for choosing the topic, the research objective, the research question, the object and scope of the research, the contributions of the topic and the structure of the topic Chapter 2: THEORETICAL BASIS This chapter presents the theoretical basis of the impact of bad debt on joint stock commercial banks in Vietnam, summarizes previous research models on the influence of bad debt on the business performance of banks to serve as a basis for further research the construction of the research model in the next chapter iii Chapter 3: RESEARCH METHODS Based on the theoretical basis of Chapter 2, Chapter mentions the research model, research variables, research data, research methods, research processes used in the thesis to obtain appropriate results consistent with the intended purpose The general equation: 𝑁𝑃𝐿𝑖,𝑡 = 𝛼𝑁𝑃𝐿𝑖,𝑡−1 + 𝛽𝑋𝑖,𝑡 + 𝛾𝑀𝑡 + 𝜀𝑖,𝑡 - In which: + t and i = [1, 2, , N] are year t, respectively and bank i, 𝑁𝑃𝐿𝑖,𝑡 is the bad debt of bank i year t + The dependent variable 𝑁𝑃𝐿𝑖,𝑡 is explained by its lag as 𝑁𝑃𝐿𝑖,𝑡−1 is bad debt in the past, 𝑋𝑖,𝑡 is the special factors of bank i in year t, 𝑀𝑡 is the influence of macro factors in year t The variables used in the study with NPL as the dependent variable and the variables belonging to two types of factors are internal to the bank (NPLt-1: NPL ratio of the previous year, SIZE: bank size, ROA: return on total assets, LLR: provision ratio for credit losses, ETA: equity to total assets and LGR: credit growth rate) and macro (GDP: gross product growth rate domestic product, INF: inflation rate and UNR: unemployment rate) 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, performs research model tests, and estimates by GLS and GMM methods From there, analyze the factors affecting the bad debt of joint stock commercial banks From that result, a suitable regression model is proposed showing the relationship between bank internal factors, macroeconomic factors affecting bad debt of joint stock commercial banks iv Chapter 5: SOME RECOMMENDATIONS ON BAD DEBT MANAGEMENT AT JOINT STOCK COMMERCIAL BANKS IN VIETNAM Chapter evaluates the research results of the topic, limitations and future development directions From there, make recommendations for Vietnamese commercial banks to minimize bad debts and increase business efficiency Based on the results of previous studies, two groups of internal and macro factors cause bad debt over time The above studies show that the main factors affecting the bad debt ratio include the bad debt 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 unemployment rate (UNR) The difference with the above references is that the research scope is broader with 28 joint stock commercial banks listed on stock exchanges in Vietnam with a period of years from 2011 to 2019 The thesis examined model phenomena such as multicollinearity, variable variance, and autocorrelation Through the GLS and GMM estimation methods, the internal factors in the bank and the macro factors in the current bad debt have been tested After the estimation results by the GMM generalized moment method, there are variables that are statistically significant and in line with the initial expectation In which variables such as the previous year's bad debt ratio (NPLt-1), credit risk provision ratio (LLR), credit growth (LGR), inflation rate (INF) and unemployment rate (UNR) is in the same direction as bad debt And the bank's capital adequacy ratio (ETA) is negatively correlated with bad debt From there, it is possible to point out solutions and suggest policies to better manage bad debts for joint stock commercial banks in Vietnam At the same time, the thesis also presents the limitations and shortcomings of the topic in order to propose extensive directions for future research development v NHẬN XÉT CỦA GIẢNG VIÊN HƯỚNG DẪN Xuất sắc Tốt Khá Đáp ứng yêu cầu Không đáp ứng yêu cầu XÁC NHẬN CỦA GIẢNG VIÊN HƯỚNG DẪN (Ký, ghi rõ Họ tên) vi LỜI CAM ĐOAN Em xin cam đoan cơng trình nghiên cứu riêng em hướng dẫn THs Trần Thị Bình An Các số liệu, kết luận văn trung thực trích dẫn đầy đủ nguồn tham khảo từ tài liệu trích dẫn nguồn, tài liệu tham khảo cách rõ ràng, minh bạch chưa công bố nội dung công trình khác TP.HCM, ngày tháng năm 2021 Lê Trung Thành vii LỜI CẢM ƠN Để hồn thành khóa luận tốt nghiệp này, em xin cảm ơn quý thầy cô trường Đại học Ngân hàng TP.HCM truyền đạt cho em kiến thức quý báu suốt năm học vừa qua Em xin chân thành cảm ơn Trần Thị Bình An tận tình hướng dẫn em hồn thành khóa luận tốt nghiệp Em xin chân thành cảm ơn gia đình, bạn bè tạo điều kiện thuận lợi hỗ trợ, động viên suốt trình nghiên cứu Em xin trân trọng cảm ơn! Sinh viên thực Lê Trung Thành viii BaoVietBank BaoVietBank BaoVietBank BaoVietBank BaoVietBank BaoVietBank BaoVietBank BaoVietBank BaoVietBank BVB (Bản Việt) BVB (Bản Việt) BVB (Bản Việt) BVB (Bản Việt) BVB (Bản Việt) BVB (Bản Việt) BVB (Bản Việt) BVB (Bản Việt) BVB (Bản Việt) CTG CTG CTG CTG CTG CTG CTG CTG CTG EIB EIB EIB EIB EIB EIB EIB EIB 2011 2012 2013 2014 2015 2016 2017 2018 2019 0.0457 0.0300 0.0391 0.0150 0.0139 0.0130 0.0378 0.0398 0.0522 0.0001 0.0457 0.0300 0.0391 0.0150 0.0139 0.0130 0.0378 0.0398 7.1294 7.1223 7.1771 7.3113 7.4383 7.5118 7.6188 7.7191 7.7623 0.0086 0.0069 0.0071 0.0051 0.0032 0.0029 0.0035 0.0015 0.0015 0.5057 0.6276 0.6522 0.7937 0.5636 0.2872 0.3326 0.3817 0.6434 0.1264 0.2374 0.1897 0.1383 0.1095 0.0958 0.0716 0.0622 0.0596 0.1635 0.0053 0.1519 0.1874 0.2405 0.1521 0.3004 0.1559 -0.0399 2011 0.0270 0.0407 7.1003 0.0214 1.1323 0.1945 0.1638 2012 0.0190 0.0270 7.2746 0.0108 0.6244 0.1580 0.4371 2013 0.0411 0.0190 7.3397 0.0047 0.5139 0.1396 0.2244 2014 0.0220 0.0411 7.3878 0.0066 0.2706 0.1285 0.2276 2015 0.0120 0.0220 7.4378 0.0019 0.2456 0.1142 0.1811 2016 0.0130 0.0120 7.4872 0.0001 0.1102 0.1022 0.2444 2017 0.0180 0.0130 7.5580 0.0009 0.2341 0.0838 0.1613 2018 0.0210 0.0180 7.6357 0.0022 0.2438 0.0739 0.1569 2019 2011 2012 2013 2014 2015 2016 2017 2018 2019 2011 2012 2013 2014 2015 2016 2017 2018 0.0251 0.0075 0.0147 0.0100 0.0112 0.0092 0.0105 0.0114 0.0159 0.0116 0.0161 0.0132 0.0198 0.0246 0.0186 0.0295 0.0227 0.0185 0.0210 0.0066 0.0075 0.0147 0.0100 0.0112 0.0092 0.0105 0.0114 0.0159 0.0143 0.0161 0.0132 0.0198 0.0246 0.0186 0.0295 0.0227 7.6918 8.6172 8.6831 8.7324 8.7916 8.8576 8.9365 9.0094 9.0530 9.0801 8.1968 8.2476 8.2304 8.2187 8.1553 8.1032 8.1433 8.1790 0.0026 0.0151 0.0128 0.0108 0.0093 0.0079 0.0078 0.0073 0.0048 0.0079 0.0193 0.0121 0.0039 0.0003 0.0003 0.0024 0.0059 0.0044 0.2616 0.2651 0.1086 0.1927 0.1857 0.1512 0.1657 0.1627 0.1809 0.1671 0.9910 0.6917 0.4086 0.4372 0.1485 0.1621 0.2053 0.2645 0.0721 0.0623 0.0672 0.0942 0.0836 0.0720 0.0636 0.0582 0.0579 0.0623 0.0888 0.0929 0.0864 0.0873 0.1053 0.1044 0.0954 0.0975 0.1266 0.2018 0.1198 0.1141 0.1445 0.1825 0.1872 0.1628 0.0858 0.0752 0.1679 0.0035 0.1012 0.0435 -0.0282 0.0245 0.1424 0.0261 62 EIB HDB HDB HDB HDB HDB HDB HDB HDB HDB KLB KLB KLB KLB KLB KLB KLB KLB KLB LPB LPB LPB LPB LPB LPB LPB LPB LPB MBB MBB MBB MBB MBB MBB MBB MBB MBB MSB MSB MSB MSB MSB 2019 2011 2012 2013 2014 2015 2016 2017 2018 2019 2011 2012 2013 2014 2015 2016 2017 2018 2019 2011 2012 2013 2014 2015 2016 2017 2018 2019 2011 2012 2013 2014 2015 2016 2017 2018 2019 2011 2012 2013 2014 2015 0.0171 0.0211 0.0235 0.0353 0.0204 0.0159 0.0146 0.0152 0.0153 0.0136 0.0277 0.0293 0.0247 0.0195 0.0113 0.0106 0.0084 0.0094 0.0102 0.0214 0.0271 0.0248 0.0123 0.0088 0.0111 0.0107 0.0141 0.0144 0.0161 0.0186 0.0246 0.0276 0.0163 0.0134 0.0122 0.0135 0.0117 0.0227 0.0265 0.0271 0.0516 0.0341 0.0185 0.0083 0.0211 0.0235 0.0353 0.0204 0.0159 0.0146 0.0152 0.0153 0.0111 0.0277 0.0293 0.0247 0.0195 0.0113 0.0106 0.0084 0.0094 0.0042 0.0214 0.0271 0.0248 0.0123 0.0088 0.0111 0.0107 0.0141 0.0135 0.0161 0.0186 0.0246 0.0276 0.0163 0.0134 0.0122 0.0135 0.0187 0.0227 0.0265 0.0271 0.0516 63 8.2044 7.5989 7.6893 7.8420 7.9679 8.0129 8.1085 8.2300 8.3068 8.3479 7.1829 7.2604 7.3005 7.3471 7.3841 7.4454 7.5301 7.6001 7.6694 7.6586 7.7873 7.8633 7.9552 8.0178 8.0960 8.1837 8.2286 8.2755 8.0942 8.1965 8.2504 8.2797 8.3238 8.3778 8.4549 8.5290 8.5876 8.0602 8.0498 8.0355 8.0242 8.0185 0.0054 0.0107 0.0067 0.0031 0.0051 0.0061 0.0071 0.0115 0.0158 0.0180 0.0259 0.0193 0.0157 0.0079 0.0068 0.0043 0.0060 0.0058 0.0014 0.0214 0.0142 0.0078 0.0052 0.0034 0.0085 0.0090 0.0057 0.0085 0.0154 0.0148 0.0128 0.0131 0.0119 0.0121 0.0122 0.0183 0.0209 0.0069 0.0020 0.0030 0.0014 0.0011 0.3022 0.8533 0.2783 0.1869 0.3142 0.1944 0.2432 0.2209 0.3101 0.2075 0.6131 0.3297 0.1702 0.2547 0.1604 0.2171 0.2774 0.2637 0.4053 1.6769 0.5421 0.5868 0.1713 0.1147 0.2630 0.2261 0.1017 0.1217 0.8366 0.3443 0.1327 0.1848 0.2268 0.1644 0.2605 0.2243 0.1859 0.8122 0.8099 0.2508 0.3279 0.2571 0.0940 0.0788 0.1022 0.0997 0.0924 0.0924 0.0662 0.0780 0.0779 0.0888 0.1936 0.1854 0.1626 0.1456 0.1332 0.1105 0.0951 0.0886 0.0742 0.1175 0.1113 0.0914 0.0733 0.0706 0.0587 0.0574 0.0583 0.0623 0.0742 0.0770 0.0871 0.0855 0.1049 0.1038 0.0943 0.0943 0.0969 0.0831 0.0827 0.0879 0.0905 0.1305 0.0813 0.1465 0.3452 0.5190 -0.0503 0.2599 0.3121 0.2131 0.1513 0.1585 0.1660 0.1321 0.2016 0.1033 0.1660 0.1795 0.1993 0.1624 0.1197 0.2292 0.4451 0.2219 0.3632 0.2437 0.2300 0.2082 0.1558 0.1518 0.2207 0.2138 0.1531 0.1235 0.1699 0.1919 0.1824 0.1451 0.1424 0.1569 -0.3044 -0.0560 -0.1659 0.1631 MSB MSB MSB MSB NAB NAB NAB NAB NAB NAB NAB NAB NAB NCB NCB NCB NCB NCB NCB NCB NCB NCB OCB OCB OCB OCB OCB OCB OCB OCB OCB PGB PGB PGB PGB PGB PGB PGB PGB PGB SCB SCB 2016 2017 2018 2019 2011 2012 2013 2014 2015 2016 2017 2018 2019 2011 2012 2013 2014 2015 2016 2017 2018 2019 2011 2012 2013 2014 2015 2016 2017 2018 2019 2011 2012 2013 2014 2015 2016 2017 2018 2019 2012 2013 0.0236 0.0223 0.0301 0.0204 0.0284 0.0271 0.0148 0.0147 0.0091 0.0294 0.0195 0.0101 0.0197 0.0292 0.0564 0.0607 0.0252 0.0215 0.0148 0.0153 0.0167 0.0193 0.0300 0.0280 0.0290 0.0300 0.0190 0.0175 0.0179 0.0229 0.0184 0.0206 0.0844 0.0298 0.0248 0.0275 0.0247 0.0323 0.0306 0.0316 0.0723 0.0163 0.0341 0.0236 0.0223 0.0301 0.0218 0.0284 0.0271 0.0148 0.0147 0.0091 0.0294 0.0195 0.0101 0.0224 0.0292 0.0564 0.0607 0.0252 0.0215 0.0148 0.0153 0.0167 0.0205 0.0300 0.0280 0.0290 0.0300 0.0190 0.0175 0.0179 0.0229 0.0142 0.0206 0.0844 0.0298 0.0248 0.0275 0.0247 0.0323 0.0306 0.0000 0.0723 64 7.9933 8.0104 8.0969 8.1684 7.2227 7.2418 7.3502 7.5190 7.5609 7.5929 7.6870 7.8112 7.9288 7.3275 7.3432 7.4036 7.5179 7.6287 7.7680 7.8477 7.8581 7.8831 7.3533 7.4220 7.4787 7.5556 7.6461 7.7531 7.8696 7.9644 8.0377 7.2299 7.2652 7.3437 7.4036 7.4019 7.3936 7.4323 7.4713 7.4877 8.1673 8.2178 0.0014 0.0012 0.0069 0.0071 0.0144 0.0104 0.0060 0.0057 0.0053 0.0008 0.0049 0.0091 0.0086 0.0078 0.0001 0.0007 0.0002 0.0002 0.0002 0.0003 0.0005 0.0006 0.0134 0.0087 0.0080 0.0061 0.0047 0.0068 0.0110 0.0191 0.0237 0.0263 0.0130 0.0017 0.0052 0.0016 0.0050 0.0024 0.0043 0.0024 0.0004 0.0003 0.2127 0.3611 0.4550 0.3950 0.6663 0.4048 0.5265 0.6676 0.3040 0.1812 0.1709 0.2593 0.2308 0.3394 0.1192 0.4151 0.3138 0.3982 0.4369 0.3533 0.2391 0.3987 0.3504 0.1295 0.2087 0.1636 0.2542 0.1528 0.2744 0.2609 0.2411 0.1966 0.1007 0.5202 0.4654 0.2281 0.1122 0.1226 0.1101 0.1383 0.0917 0.1380 0.1469 0.1223 0.1003 0.0947 0.1669 0.2047 0.1132 0.0893 0.0963 0.0801 0.0674 0.0564 0.0524 0.1430 0.1476 0.1102 0.0872 0.0667 0.0468 0.0448 0.0446 0.0536 0.1475 0.1393 0.1209 0.1028 0.0855 0.0739 0.0728 0.0880 0.0974 0.1474 0.1659 0.1290 0.1295 0.1366 0.1408 0.1215 0.1233 0.1191 0.0762 0.0724 0.2001 0.0302 0.2574 0.2332 0.1510 0.0028 0.4587 0.2706 0.2399 0.1320 0.3386 0.2847 0.2477 0.1663 -0.0023 0.0438 0.1902 0.1855 0.1941 0.2105 0.0999 0.0590 0.1026 0.2576 0.1578 0.1426 0.1797 0.2377 0.2008 0.1444 0.2078 0.1012 0.1215 0.0057 0.0441 0.0866 0.0942 0.1815 0.0286 0.0694 1.0000 0.0095 SCB SCB SCB SCB SCB SCB SEA SEA SEA SEA SEA SEA SEA SEA SEA SGB SGB SGB SGB SGB SGB SGB SGB SGB SHB SHB SHB SHB SHB SHB SHB SHB SHB STB STB STB STB STB STB STB STB STB 2014 2015 2016 2017 2018 2019 2011 2012 2013 2014 2015 2016 2017 2018 2019 2011 2012 2013 2014 2015 2016 2017 2018 2019 2011 2012 2013 2014 2015 2016 2017 2018 2019 2011 2012 2013 2014 2015 2016 2017 2018 2019 0.0049 0.0034 0.0068 0.0045 0.0042 0.0049 0.0275 0.0297 0.0284 0.0160 0.0143 0.0172 0.0103 0.0152 0.0231 0.0475 0.0293 0.0224 0.0208 0.0188 0.0263 0.0298 0.0220 0.0194 0.0223 0.0883 0.0413 0.0203 0.0172 0.0188 0.0233 0.0240 0.0191 0.0058 0.0205 0.0146 0.0119 0.0580 0.0691 0.0467 0.0213 0.0194 0.0163 0.0049 0.0034 0.0068 0.0045 0.0042 0.2140 0.0275 0.0297 0.0284 0.0160 0.0143 0.0172 0.0103 0.0152 0.0191 0.0475 0.0293 0.0224 0.0208 0.0188 0.0263 0.0298 0.0220 0.0140 0.0223 0.0883 0.0413 0.0203 0.0172 0.0188 0.0233 0.0240 0.0054 0.0058 0.0205 0.0146 0.0119 0.0580 0.0691 0.0467 0.0213 65 8.3256 8.4423 8.5271 8.6052 8.6781 8.7311 7.8930 7.9449 7.8891 7.9032 7.9163 7.9734 8.0576 8.1230 8.1730 7.2065 7.1792 7.1693 7.1834 7.2249 7.2648 7.3050 7.3190 7.3343 7.7854 7.9720 8.1142 8.1940 8.2715 8.3411 8.4149 8.4838 8.5369 8.1671 8.1667 8.1952 8.2445 8.3819 8.4942 8.5444 8.5880 8.6333 0.0004 0.0003 0.0002 0.0003 0.0004 0.0003 0.0016 0.0006 0.0020 0.0011 0.0011 0.0012 0.0027 0.0037 0.0074 0.0189 0.0197 0.0117 0.0119 0.0026 0.0076 0.0027 0.0020 0.0067 0.0123 0.0180 0.0065 0.0051 0.0043 0.0042 0.0059 0.0055 0.0070 0.0136 0.0068 0.0142 0.0126 0.0027 0.0003 0.0034 0.0046 0.0057 0.1281 0.1375 0.0829 0.1347 0.1183 0.1336 3.1213 2.1274 0.7184 0.4314 0.3720 0.2374 0.2767 0.2296 0.2906 0.1431 0.1283 0.1016 0.0786 0.1756 0.2040 0.2890 0.2397 0.3730 0.6620 0.4315 0.2682 0.2756 0.2455 0.1679 0.1667 0.1637 0.1717 0.2894 0.1792 0.1131 0.0937 0.0876 0.0865 0.0724 0.0796 0.1118 0.0544 0.0496 0.0427 0.0350 0.0326 0.0293 0.0548 0.0744 0.0717 0.0709 0.0681 0.0569 0.0494 0.0591 0.0694 0.2151 0.2383 0.2384 0.2203 0.1911 0.1845 0.1603 0.1686 0.1561 0.0821 0.0816 0.0721 0.0620 0.0550 0.0566 0.0514 0.0505 0.0507 0.1028 0.0901 0.1057 0.0952 0.0756 0.0668 0.0631 0.0607 0.0590 0.3358 0.2139 0.2328 0.1663 0.1172 0.0958 -0.0443 -0.1765 0.1729 0.5292 -0.0046 0.2674 0.1657 0.1611 0.1562 0.0650 -0.0296 -0.0179 0.0501 0.0327 0.0735 0.1114 -0.0318 0.0609 0.1641 0.4866 0.2440 0.2772 0.2079 0.1910 0.1820 0.0862 0.1817 -0.0242 0.1640 0.1287 0.1363 0.3114 0.0651 0.1080 0.1312 0.1331 TCB TCB TCB TCB TCB TCB TCB TCB TCB TPB TPB TPB TPB TPB TPB TPB TPB TPB VAB VAB VAB VAB VAB VAB VAB VAB VAB VCB VCB VCB VCB VCB VCB VCB VCB VCB VIB VIB VIB VIB VIB VIB 2011 2012 2013 2014 2015 2016 2017 2018 2019 2011 2012 2013 2014 2015 2016 2017 2018 2019 2011 2012 2013 2014 2015 2016 2017 2018 2019 2011 2012 2013 2014 2015 2016 2017 2018 2019 2011 2012 2013 2014 2015 2016 0.0283 0.0270 0.0365 0.0238 0.0167 0.0158 0.0161 0.0175 0.0133 0.0067 0.0366 0.0035 0.0101 0.0066 0.0071 0.0109 0.0112 0.0129 0.0256 0.0465 0.0288 0.0233 0.0226 0.0214 0.0268 0.0137 0.0118 0.0203 0.0240 0.0273 0.0231 0.0184 0.0150 0.0114 0.0098 0.0079 0.0269 0.0262 0.0282 0.0251 0.0207 0.0258 0.0229 0.0283 0.0270 0.0365 0.0238 0.0167 0.0158 0.0161 0.0175 0.0002 0.0067 0.0366 0.0035 0.0101 0.0066 0.0071 0.0109 0.0112 0.0252 0.0256 0.0465 0.0288 0.0233 0.0226 0.0214 0.0268 0.0137 0.0291 0.0203 0.0240 0.0273 0.0231 0.0184 0.0150 0.0114 0.0098 0.0159 0.0269 0.0262 0.0282 0.0251 0.0207 66 8.2186 8.2558 8.2290 8.2238 8.2647 8.3298 8.4021 8.4701 8.5470 7.3596 7.3011 7.3730 7.6210 7.8052 7.9590 8.0605 8.1144 8.1770 7.3673 7.3722 7.4120 7.4957 7.5881 7.7133 7.7990 7.8316 7.8685 8.5278 8.5917 8.6452 8.7185 8.7964 8.8640 8.9598 9.0231 9.0601 7.9795 7.9084 7.8509 7.8963 7.9164 7.9750 0.0191 0.0042 0.0039 0.0065 0.0083 0.0147 0.0255 0.0287 0.0290 -0.0599 0.0058 0.0162 0.0128 0.0088 0.0062 0.0084 0.0139 0.0206 0.0106 0.0070 0.0023 0.0015 0.0021 0.0019 0.0016 0.0017 0.0028 0.0125 0.0113 0.0099 0.0088 0.0085 0.0094 0.0100 0.0139 0.0161 0.0067 0.0064 0.0007 0.0066 0.0063 0.0059 0.8317 0.4580 0.2416 0.1679 0.1157 0.1020 0.1422 0.2334 0.2019 2.2809 0.3821 0.4401 0.7447 0.6971 0.4593 0.4057 0.2812 0.2998 0.2985 0.2615 0.1586 0.1975 0.2534 0.3467 0.3472 0.4223 0.3480 0.4194 0.3395 0.4182 0.3417 0.3121 0.5702 0.3883 0.3776 0.1644 0.6747 0.2678 0.2288 0.1385 0.1743 0.2219 0.0693 0.0739 0.0876 0.0852 0.0857 0.0832 0.1000 0.1613 0.1618 0.0672 0.2195 0.1153 0.0823 0.0630 0.0537 0.0538 0.0780 0.0795 0.1588 0.1436 0.1327 0.1022 0.0936 0.0654 0.0639 0.0594 0.0581 0.0785 0.1006 0.0907 0.0753 0.0670 0.0667 0.0579 0.0662 0.4814 0.0842 0.1297 0.1038 0.1054 0.1021 0.0836 0.1659 0.0705 0.0287 0.1249 0.2806 0.2173 0.1134 -0.0057 0.3070 -0.4258 0.3976 0.4881 0.3997 0.2979 0.3952 0.2648 0.1784 0.1930 -0.1479 0.1018 0.1041 0.0906 0.2194 0.3336 0.1101 0.0995 0.1095 0.1557 0.1316 0.1208 0.1516 0.1648 0.1598 0.1520 0.1400 0.1400 0.0406 -0.2836 0.0383 0.0770 0.2009 0.2061 2017 2018 2019 2011 2012 2013 2014 2015 2016 2017 2018 2019 VIB VIB VIB VPB VPB VPB VPB VPB VPB VPB VPB VPB 0.0249 0.0252 0.0196 0.0182 0.0272 0.0281 0.0254 0.0269 0.0291 0.0339 0.0350 0.0342 0.0258 0.0249 0.0252 0.0120 0.0182 0.0272 0.0281 0.0254 0.0269 0.0291 0.0339 0.0350 8.0563 8.1178 8.2091 7.8532 7.9671 8.0489 8.1531 8.2518 8.3249 8.4036 8.4779 8.5444 Dữ liệu yếu tố vĩ mô YEAR 2011 2012 2013 2014 2015 2016 2017 2018 2019 GDP 0.0624 0.0525 0.0542 0.0598 0.0668 0.0621 0.0681 0.0708 0.0702 INF 0.1868 0.0909 0.0659 0.0408 0.0063 0.0267 0.0352 0.0354 0.0280 UNR 0.0100 0.0103 0.0132 0.0126 0.0185 0.0185 0.0187 0.0116 0.0204 Phụ lục 2: Kết hồi quy mơ hình nghiên cứu encode BANK, gen (BANK1) xtset BANK1 YEAR panel variable: BANK1 (unbalanced) time variable: YEAR, 2011 to 2019 delta: unit 67 0.0099 0.0167 0.0202 0.0112 0.0069 0.0091 0.0088 0.0134 0.0186 0.0254 0.0245 0.0236 0.1752 0.1175 0.1786 0.8259 0.5281 0.1218 0.0939 0.1081 0.0608 0.1328 0.1262 0.0832 0.0714 0.0767 0.0728 0.0724 0.0647 0.0637 0.0550 0.0691 0.0751 0.1069 0.1075 0.1205 0.2465 0.1693 0.2559 0.1323 0.2092 0.2967 0.3306 0.3289 0.1926 0.2080 0.1770 0.1370 Thống kê mô tả Ma trận tương quan Kiểm định tượng đa cộng tuyến 68 VIF 69 Kiểm định tượng phương sai sai số thay đổi 70 71 72 Kiểm định tượng tự tương quan Ước lượng theo phương pháp GLS 73 Ước lượng theo phương pháp GMM Dynamic panel-data estimation, two-step system GMM Group variable: BANK1 Time variable : YEAR Number of instruments = 88 F(9, 27) = 800.63 Prob > F = 0.000 NPL Coef NPLt1 SIZE ROA LLR ETA LGR GDP INF UNR _cons 6806486 0007794 0556718 0078728 -.0630487 -.0264866 -.1279661 0544402 4384701 005545 Number of obs Number of groups Obs per group: avg max Std Err .0826852 0016802 1324074 0030803 0280821 0040632 0772524 0162566 0555867 0140164 t 8.23 0.46 0.42 2.56 -2.25 -6.52 -1.66 3.35 7.89 0.40 P>|t| 0.000 0.646 0.677 0.017 0.033 0.000 0.109 0.002 0.000 0.696 = = = = = 195 28 6.96 [95% Conf Interval] 5109925 -.0026681 -.2160057 0015526 -.1206685 -.0348237 -.2864749 0210844 3244156 -.0232142 8503047 0042269 3273493 014193 -.0054289 -.0181495 0305427 0877961 5525245 0343042 Warning: Uncorrected two-step standard errors are unreliable Instruments for first differences equation Standard D.(L.GDP L2.GDP L2.INF L.UNR) GMM-type (missing=0, separate instruments for each period unless collapsed) L(2/3).(L2.SIZE L3.SIZE L4.SIZE L.ROA L2.LLR L2.ETA L.LGR) Instruments for levels equation Standard L.GDP L2.GDP L2.INF L.UNR _cons GMM-type (missing=0, separate instruments for each period unless collapsed) DL.(L2.SIZE L3.SIZE L4.SIZE L.ROA L2.LLR L2.ETA L.LGR) Arellano-Bond test for AR(1) in first differences: z = Arellano-Bond test for AR(2) in first differences: z = Sargan test of (Not robust, Hansen test of (Robust, but overid restrictions: chi2(78) = 71.32 but not weakened by many instruments.) overid restrictions: chi2(78) = 22.01 weakened by many instruments.) -3.61 -0.47 Pr > z = Pr > z = 0.000 0.637 Prob > chi2 = 0.691 Prob > chi2 = 1.000 Difference-in-Hansen tests of exogeneity of instrument subsets: GMM instruments for levels Hansen test excluding group: chi2(47) = 20.15 Prob > Difference (null H = exogenous): chi2(31) = 1.86 Prob > iv(L.GDP L2.GDP L2.INF L.UNR) Hansen test excluding group: chi2(74) = 19.65 Prob > Difference (null H = exogenous): chi2(4) = 2.36 Prob > 74 chi2 = chi2 = 1.000 1.000 chi2 = chi2 = 1.000 0.669 75 76