Thứ nhất, thị trƣờng tiền tệ cần đƣợc hoạt động ổn định, lạm phát cần đƣợc kiểm
soát theo kế hoạch nhà nƣớc để ra, không đƣợc để tăng trƣởng tín dụng quá nóng để gia tăng nợ xấu, cần luật hóa những quy định cần thiết để minh bạch giữa các ngân hàng với nhau và giữa ngân hàng đối với nhà nƣớc.
Thứ hai, ngân hàng Nhà nƣớc cần yêu cầu các NHTM cần tuân thủ các quy định
cho vay nhằm hạn chế rủi ro, góp phần ổn định kinh tế vĩ mô cũng nhƣ giúp nâng cao hiệu quả hoạt động của các ngân hàng
x
TÀI LIỆU THAM KHẢO Danh mục tài liệu tham khảo Tiếng Việt
1. Luật các tổ chức tín dụng số 47/2010/QH10 ngày 16/06/2010
2. Nguyễn Thị Thanh Tuyền, (2018). ―Các yếu tố ảnh hƣởng đến lợi nhuận của
các ngân hàng thƣơng mại cổ phần tại Việt Nam‖, luận án thạc sĩ Trƣờng
Đại học Ngân hàng Tp.HCM
3. Phạm Thu Trang, (2016). ―Nghiên cứu xác định các yếu tố ảnh hƣởng đến
chỉ số lợi nhuận của các Ngân hàng thƣơng mại Việt Nam‖, Đề tài nghiên
cứu khoa học 2016, Trƣờng Đại học Hàng Hải Việt Nam
4. Võ Minh Long, (2019). “ Nhân tố ảnh hƣởng đến hiệu quả hoạt động của
các ngân hàng thƣơng mại cổ phần‖, Tạp chí Tài chính, kỳ 2 tháng 5/2019
Danh mục tài liệu thao khảo Tiếng Anh
1. Admati, A. R., DeMarzo, P. M., Hellwig, M., & Pfleiderer, P. (2010).
Fallacies, irrelevant facts, and myths in the discussion of capital regulation: Why bank equity is not expensive (Vol. 86). Max Planck Inst. for Research on Collective Goods.
2. Akhavein, J. D., Berger, A. N., & Humphrey, D. B. (1997). “The effects of
megamergers on efficiency and prices: Evidence from a bank profit function.” Review of industrial Organization, 12(1), 95-139.
3. Amador, J. S., Gómez-González, J. E., & Pabón, A. M. (2013). “Loan growth and bank risk: new evidence”. Financial Markets and Portfolio Management, 27(4), 365-379.
4. Anbar, A., & Alper, D. (2011). “Bank specific and macroeconomic determinants of commercial bank profitability: Empirical evidence from Turkey”. Business and economics research journal, 2(2), 139-152.
5. Bashir, A. H. M. (2003). “Determinants of profitability in Islamic banks:
Some evidence from the Middle East.” Islamic economic studies, 11(1).
6. Berger, A. N. & Humphrey, D. B. (1997), “Efficiency of Financial Institutions International Survey and Directions for Future Research”.
European Journal of Operational Research, 98(2), 175-212.
7. Berger, A. N., & Di Patti, E. B. (2006). ―Capital structure and firm
performance: A new approach to testing agency theory and an application to the banking industry.‖ Journal of Banking & Finance, 30(4), 1065-1102.
8. Bolt, W., De Haan, L., Hoeberichts, M., Van Oordt, M. R., & Swank, J. (2012). “Bank profitability during recessions”. Journal of Banking & Finance, 36(9), 2552-2564.
9. Brunnermeier, M. K., Dong, G., & Palia, D. (2012). “Banks’ non-interest
income and systemic risk”. AFA 2012 Chicago meetings paper. Social
Science Research Network.
10.Burger, A., & Moormann, J. (2008). “Productivity in banks: myths & truths
of the cost income ratio”. Banks & bank systems, (3, Iss. 4), 85-94.
11.Demirgüç-Kunt, A., & Huizinga, H. (1999). “Determinants of commercial
bank interest margins and profitability: some international evidence”. The
World Bank Economic Review, 13(2), 379-408.
12.DeYoung, R., & Roland, K. P. (2001). “Product mix and earnings volatility
at commercial banks: Evidence from a degree of total leverage model”.
Journal of Financial Intermediation, 10(1), 54-84.
13.Fiorentino, E., Karmann, A., & Koetter, M. (2006). “The cost efficiency of
German banks: a comparison of SFA and DEA”. Available at SSRN 947340.
14.Fisher, I. (1930). ―Theory of interest: as determined by impatience to spend
income and opportunity to invest it.” Augustusm Kelly Publishers, Clifton.
15.Foos, D., Norden, L., & Weber, M. (2010). ―Loan growth and riskiness of
banks”. Journal of Banking & Finance, 34(12), 2929-2940.
16.Gray,R.P. andClarke,F.L. 2004, “A Methodology for Calculating theAllowance for Loan Losses inCommercial Banks”,Abacus, vol. 40, no. 3,
pp. 321-341.
17.Greenawalt, M. B., & Sinkey, J. F. (1988). ―Bank loan-loss provisions and
the income-smoothing hypothesis: An empirical analysis, 1976-1984‖.
Journal of Financial Services Research, I(4), 301-318.
18.Jensen, M. C., & Meckling, W. H. (1976). “Theory of the firm: Managerial
behavior, agency costs and ownership structure”. Journal of financial economics, 3(4), 305-360.
19.Joseph P. Hughes & Loretta J. Mester (2008). "Efficiency in banking: theory,
practice, and evidence,". Federal Reserve Bank of Philadelphia. Working
Papers 08-1,
20.Kosmidou, K., Tanna, S., & Pasiouras, F. (2005). “Determinants of profitability of domestic UK commercial banks: panel evidence from the period 1995-2002”. In Money Macro and Finance (MMF) Research Group
Conference (Vol. 45, pp. 1-27).
21.Kristin Regehr & Rajdeep Sengupta (2016). "Has the Relationship between
Bank Size and Profitability Changed?," Economic Review, Federal Reserve
Bank of Kansas City, issue Q II, pages 49-72.
22.Leland, H. E., & Pyle, D. H. (1977). ―Informational asymmetries, financial
structure, and financial intermediation‖. The journal of Finance, 32(2), 371-
23.Lin, J. Y. (2012). “New structural economics: A framework for rethinking
development and policy”. The World Bank.
24.Miller, M. H. (1995). ―Do the M & M propositions apply to banks?‖. Journal of Banking & Finance, 19(3-4), 483-489.
25.Mishkin, F. S., & Simon, J. (1995). “An empirical examination of the Fisher
effect in Australia.” Economic Record, 71(3), 217-229.
26.Montgomery, C. A. (1994). “Corporate Diversification”. Journal of Economic Perspectives, Volume 8(3), Pp. 163-178.
27.Mulwa, J. M., Tarus, D., & Kosgei, D. (2015). “Commercial bank diversification: a theoretical survey”. International Journal of Research in
Management & Business Studies, 2(1), 45-49.
28.Myers, S. C. (2003). ―Financing of corporations‖. In Handbook of the Economics of Finance (Vol. 1, pp. 215-253). Elsevier.
29.Myers, S. C., & Majluf, N. S. (1984). ―Corporate financing and investment
decisions when firms have informationthat investors do not have‖ (No.
w1396). National Bureau of Economic Research.
30.Ozili, P. K., & Outa, E. (2017). “Bank loan loss provisions research: A
review.” Borsa Istanbul Review, 17(3), 144-163.
31.Schildbach, J., Schneider, S., & AG, D. B. (2017). Large or small? How to measure bank size. Deutsche Bank Research.
32.Skała, D. (2015). ―Saving on a rainy day? Income smoothing and
procyclicality of loan-loss provisions in Central European banks‖.
International Finance, 18(1), 25e46.
33.Sufian, F., & Habibullah, M. S. (2010). ―Assessing the impact of
financial crisis on bank performance: Empirical evidence from Indonesia”.
ASEAN Economic Bulletin, 245-262.
34.Thakor, A. V. (2014). ―Bank capital and financial stability: An
economic trade-off or a Faustian bargain?”. Annu. Rev. Financ. Econ., 6(1),
185-223.
35.Turgutlu, E. (2014). “Dynamics of Profitability in the Turkish Banking Industry”. Ege Akademik Bakis, 14(1), 43.
36.Wahlen, J. M. (1994). “The nature of information in commercial bank loan
PHỤ LỤC
Phụ lục 1: Hồi quy mô hình ban đầu với biến phụ thuộc ROE, ROA theo POLS FEM, REM
POLS-ROE
Dependent Variable: ROE Method: Panel Least Squares Date: 01/13/21 Time: 16:10 Sample: 2007 2019 Periods included: 13 Cross-sections included: 24
Total panel (balanced) observations: 312
Variable Coefficient Std. Error t-Statistic Prob. C 3.903080 8.812360 0.442910 0.6581 SIZE 1.107890 0.349869 3.166582 0.0017 EQ -0.231984 0.080996 -2.864135 0.0045 DPRR -1.129643 0.391092 -2.888431 0.0042 CIR -0.337204 0.026634 -12.66085 0.0000 HHIDR 0.005464 0.015648 0.349166 0.7272 TTTD -0.002565 0.003793 -0.676447 0.4993 GDP 0.835890 0.402628 2.076087 0.0387 CPI 0.155956 0.053324 2.924714 0.0037 CRISIS 2.002339 0.938386 2.133811 0.0337
Root MSE 4.966414 R-squared 0.568810
Mean dependent var 10.67667 Adjusted R-squared 0.555960 S.D. dependent var 7.575400 S.E. of regression 5.047970 Akaike info criterion 6.107376 Sum squared resid 7695.564 Schwarz criterion 6.227344 Log likelihood -942.7506 Hannan-Quinn criter. 6.155323 F-statistic 44.26521 Durbin-Watson stat 0.696354 Prob(F-statistic) 0.000000
FEM-ROE
Dependent Variable: ROE Method: Panel Least Squares Date: 01/13/21 Time: 16:12 Sample: 2007 2019 Periods included: 13 Cross-sections included: 24
Total panel (balanced) observations: 312
Variable Coefficient Std. Error t-Statistic Prob. C -20.76337 11.54340 -1.798722 0.0731 SIZE 2.473318 0.541441 4.568030 0.0000 EQ -0.190749 0.076239 -2.502002 0.0129 DPRR -1.673513 0.384559 -4.351773 0.0000 CIR -0.341574 0.026074 -13.10024 0.0000 HHIDR -0.006727 0.013321 -0.504952 0.6140 TTTD -0.000267 0.003336 -0.079974 0.9363 GDP 0.876843 0.334874 2.618424 0.0093 CPI 0.231258 0.052848 4.375880 0.0000
CRISIS 2.372650 0.813808 2.915491 0.0038 Effects Specification
Cross-section fixed (dummy variables)
Root MSE 3.846668 R-squared 0.741326
Mean dependent var 10.67667 Adjusted R-squared 0.711657 S.D. dependent var 7.575400 S.E. of regression 4.067803 Akaike info criterion 5.743830 Sum squared resid 4616.620 Schwarz criterion 6.139725 Log likelihood -863.0375 Hannan-Quinn criter. 5.902057 F-statistic 24.98682 Durbin-Watson stat 1.174017 Prob(F-statistic) 0.000000
REM-ROE
Dependent Variable: ROE
Method: Panel EGLS (Cross-section random effects) Date: 01/13/21 Time: 16:14
Sample: 2007 2019 Periods included: 13 Cross-sections included: 24
Total panel (balanced) observations: 312
Swamy and Arora estimator of component variances
Variable Coefficient Std. Error t-Statistic Prob. C -10.16519 10.06402 -1.010053 0.3133 SIZE 1.907399 0.452858 4.211915 0.0000 EQ -0.203744 0.074679 -2.728272 0.0067 DPRR -1.591874 0.374956 -4.245495 0.0000 CIR -0.338484 0.025370 -13.34180 0.0000 HHIDR -0.004359 0.013223 -0.329680 0.7419 TTTD -0.001315 0.003267 -0.402445 0.6876 GDP 0.844519 0.333074 2.535525 0.0117 CPI 0.196741 0.049187 3.999823 0.0001 CRISIS 2.143978 0.798232 2.685909 0.0076 Effects Specification S.D. Rho Cross-section random 3.316308 0.3993 Idiosyncratic random 4.067803 0.6007 Weighted Statistics
Root MSE 3.997514 R-squared 0.574597
Mean dependent var 3.438656 Adjusted R-squared 0.561919 S.D. dependent var 6.138846 S.E. of regression 4.063159 Sum squared resid 4985.797 F-statistic 45.32385 Durbin-Watson stat 1.068413 Prob(F-statistic) 0.000000
Unweighted Statistics
R-squared 0.552724 Mean dependent var 10.67667 Sum squared resid 7982.647 Durbin-Watson stat 0.667309
POLS-ROA
Dependent Variable: ROA Method: Panel Least Squares Date: 01/15/21 Time: 18:52 Sample: 2007 2019 Periods included: 13 Cross-sections included: 24
Total panel (balanced) observations: 312
Variable Coefficient Std. Error t-Statistic Prob. C 2.089203 0.798523 2.616334 0.0093 SIZE 0.016932 0.031703 0.534088 0.5937 EQ 0.046512 0.007339 6.337286 0.0000 DPRR -0.156444 0.035438 -4.414542 0.0000 CIR -0.036663 0.002413 -15.19152 0.0000 HHIDR -0.001796 0.001418 -1.266899 0.2062 TTTD -4.21E-05 0.000344 -0.122569 0.9025 GDP 0.042163 0.036484 1.155673 0.2487 CPI -9.48E-05 0.004832 -0.019616 0.9844 CRISIS 0.081713 0.085031 0.960983 0.3373
Root MSE 0.450027 R-squared 0.648741
Mean dependent var 0.995413 Adjusted R-squared 0.638273 S.D. dependent var 0.760539 S.E. of regression 0.457417 Akaike info criterion 1.305083 Sum squared resid 63.18749 Schwarz criterion 1.425051 Log likelihood -193.5929 Hannan-Quinn criter. 1.353030 F-statistic 61.97372 Durbin-Watson stat 0.903679 Prob(F-statistic) 0.000000
FEM-ROA
Dependent Variable: ROA Method: Panel Least Squares Date: 01/15/21 Time: 18:53 Sample: 2007 2019 Periods included: 13 Cross-sections included: 24
Total panel (balanced) observations: 312
Variable Coefficient Std. Error t-Statistic Prob. C -0.737897 1.081844 -0.682074 0.4958 SIZE 0.186385 0.050744 3.673059 0.0003 EQ 0.048495 0.007145 6.787250 0.0000 DPRR -0.207091 0.036041 -5.746034 0.0000 CIR -0.040203 0.002444 -16.45216 0.0000 HHIDR -0.003253 0.001248 -2.605822 0.0097 TTTD 9.25E-05 0.000313 0.295754 0.7676 GDP 0.037615 0.031384 1.198526 0.2317 CPI 0.009050 0.004953 1.827133 0.0687 CRISIS 0.106526 0.076270 1.396694 0.1636 Effects Specification Cross-section fixed (dummy variables)
Root MSE 0.360509 R-squared 0.774585
Mean dependent var 0.995413 Adjusted R-squared 0.748731 S.D. dependent var 0.760539 S.E. of regression 0.381233 Akaike info criterion 1.008936 Sum squared resid 40.54952 Schwarz criterion 1.404831 Log likelihood -124.3941
Hannan-Quinn criter. 1.167163 F-statistic 29.95993 Durbin-Watson stat 1.408242 Prob(F-statistic) 0.000000
REM-ROA
Dependent Variable: ROA
Method: Panel EGLS (Cross-section random effects) Date: 01/15/21 Time: 18:53
Sample: 2007 2019 Periods included: 13 Cross-sections included: 24
Total panel (balanced) observations: 312
Swamy and Arora estimator of component variances
Variable Coefficient Std. Error t-Statistic Prob. C 0.960249 0.907914 1.057643 0.2911 SIZE 0.093053 0.040379 2.304471 0.0219 EQ 0.046890 0.006947 6.750170 0.0000 DPRR -0.197333 0.034805 -5.669639 0.0000 CIR -0.039068 0.002354 -16.59314 0.0000 HHIDR -0.002853 0.001236 -2.307926 0.0217 TTTD -4.93E-05 0.000304 -0.161785 0.8716 GDP 0.034378 0.031161 1.103237 0.2708 CPI 0.003416 0.004529 0.754227 0.4513 CRISIS 0.073398 0.074428 0.986157 0.3248 Effects Specification S.D. Rho Cross-section random 0.257093 0.3126 Idiosyncratic random 0.381233 0.6874 Weighted Statistics
Root MSE 0.379493 R-squared 0.690648
Mean dependent var 0.378615 Adjusted R-squared 0.681429 S.D. dependent var 0.683400 S.E. of regression 0.385725 Sum squared resid 44.93277 F-statistic 74.91481 Durbin-Watson stat 1.249250 Prob(F-statistic) 0.000000
Unweighted Statistics
R-squared 0.627786 Mean dependent var 0.995413 Sum squared resid 66.95692 Durbin-Watson stat 0.838334
Phụ lục 2: Kiểm định pooled test, Hausman của ROE, ROA Pooled test - ROE
Redundant Fixed Effects Tests Equation: EQROE
Test cross-section fixed effects
Effects Test Statistic d.f. Prob.
Cross-section F 8.090105 (23,279) 0.0000 Cross-section Chi-square 159.426173 23 0.0000 Cross-section fixed effects test equation:
Dependent Variable: ROE Method: Panel Least Squares Date: 01/14/21 Time: 16:47 Sample: 2007 2019 Periods included: 13 Cross-sections included: 24
Total panel (balanced) observations: 312
Variable Coefficient Std. Error t-Statistic Prob. C 3.903080 8.812360 0.442910 0.6581 SIZE 1.107890 0.349869 3.166582 0.0017 EQ -0.231984 0.080996 -2.864135 0.0045 DPRR -1.129643 0.391092 -2.888431 0.0042 CIR -0.337204 0.026634 -12.66085 0.0000 HHIDR 0.005464 0.015648 0.349166 0.7272 TTTD -0.002565 0.003793 -0.676447 0.4993 GDP 0.835890 0.402628 2.076087 0.0387 CPI 0.155956 0.053324 2.924714 0.0037 CRISIS 2.002339 0.938386 2.133811 0.0337
Root MSE 4.966414 R-squared 0.568810
Mean dependent var 10.67667 Adjusted R-squared 0.555960 S.D. dependent var 7.575400 S.E. of regression 5.047970 Akaike info criterion 6.107376 Sum squared resid 7695.564 Schwarz criterion 6.227344 Log likelihood -942.7506 Hannan-Quinn criter. 6.155323 F-statistic 44.26521 Durbin-Watson stat 0.696354 Prob(F-statistic) 0.000000
Hausman test - ROE
Correlated Random Effects - Hausman Test Equation: EQROE
Test cross-section random effects
Test Summary StatisticChi-Sq. Chi-Sq. d.f. Prob.
Cross-section random 0.000000 9 1.0000
* Cross-section test variance is invalid. Hausman statistic set to zero. Cross-section random effects test comparisons:
Variable Fixed Random Var(Diff.) Prob. SIZE 2.473318 1.907399 0.088078 0.0565 EQ -0.190749 -0.203744 0.000235 0.3970 DPRR -1.673513 -1.591874 0.007293 0.3391 CIR -0.341574 -0.338484 0.000036 0.6075 HHIDR -0.006727 -0.004359 0.000003 0.1432 TTTD -0.000267 -0.001315 0.000000 0.1183 GDP 0.876843 0.844519 0.001202 0.3512 CPI 0.231258 0.196741 0.000374 0.0741 CRISIS 2.372650 2.143978 0.025110 0.1490
Cross-section random effects test equation: Dependent Variable: ROE
Method: Panel Least Squares Date: 01/14/21 Time: 16:50 Sample: 2007 2019 Periods included: 13 Cross-sections included: 24
Total panel (balanced) observations: 312
Variable Coefficient Std. Error t-Statistic Prob. C -20.76337 11.54340 -1.798722 0.0731 SIZE 2.473318 0.541441 4.568030 0.0000 EQ -0.190749 0.076239 -2.502002 0.0129 DPRR -1.673513 0.384559 -4.351773 0.0000 CIR -0.341574 0.026074 -13.10024 0.0000 HHIDR -0.006727 0.013321 -0.504952 0.6140 TTTD -0.000267 0.003336 -0.079974 0.9363 GDP 0.876843 0.334874 2.618424 0.0093 CPI 0.231258 0.052848 4.375880 0.0000 CRISIS 2.372650 0.813808 2.915491 0.0038 Effects Specification Cross-section fixed (dummy variables)
Root MSE 3.846668 R-squared 0.741326
Mean dependent var 10.67667 Adjusted R-squared 0.711657 S.D. dependent var 7.575400 S.E. of regression 4.067803 Akaike info criterion 5.743830 Sum squared resid 4616.620 Schwarz criterion 6.139725 Log likelihood -863.0375 Hannan-Quinn criter. 5.902057 F-statistic 24.98682 Durbin-Watson stat 1.174017 Prob(F-statistic) 0.000000
Redundant Fixed Effects Tests Equation: EQROA
Test cross-section fixed effects
Effects Test Statistic d.f. Prob.
Cross-section F 6.772174 (23,279) 0.0000 Cross-section Chi-square 138.397705 23 0.0000 Cross-section fixed effects test equation:
Dependent Variable: ROA Method: Panel Least Squares Date: 01/15/21 Time: 18:55 Sample: 2007 2019 Periods included: 13 Cross-sections included: 24
Total panel (balanced) observations: 312
Variable Coefficient Std. Error t-Statistic Prob. C 2.089203 0.798523 2.616334 0.0093 SIZE 0.016932 0.031703 0.534088 0.5937 EQ 0.046512 0.007339 6.337286 0.0000 DPRR -0.156444 0.035438 -4.414542 0.0000 CIR -0.036663 0.002413 -15.19152 0.0000 HHIDR -0.001796 0.001418 -1.266899 0.2062 TTTD -4.21E-05 0.000344 -0.122569 0.9025 GDP 0.042163 0.036484 1.155673 0.2487 CPI -9.48E-05 0.004832 -0.019616 0.9844 CRISIS 0.081713 0.085031 0.960983 0.3373
Root MSE 0.450027 R-squared 0.648741
Mean dependent var 0.995413 Adjusted R-squared 0.638273 S.D. dependent var 0.760539 S.E. of regression 0.457417 Akaike info criterion 1.305083 Sum squared resid 63.18749 Schwarz criterion 1.425051 Log likelihood -193.5929 Hannan-Quinn criter. 1.353030 F-statistic 61.97372 Durbin-Watson stat 0.903679 Prob(F-statistic) 0.000000
Hausman test – ROA
Correlated Random Effects - Hausman Test Equation: EQROA
Test cross-section random effects Test Summary
Chi-Sq.
Statistic Chi-Sq. d.f. Prob.
Cross-section random 0.000000 9 1.0000
* Cross-section test variance is invalid. Hausman statistic set to zero. Cross-section random effects test comparisons:
Variable Fixed Random Var(Diff.) Prob. SIZE 0.186385 0.093053 0.000944 0.0024 EQ 0.048495 0.046890 0.000003 0.3372 DPRR -0.207091 -0.197333 0.000088 0.2969 CIR -0.040203 -0.039068 0.000000 0.0827 HHIDR -0.003253 -0.002853 0.000000 0.0227 TTTD 0.000092 -0.000049 0.000000 0.0455 GDP 0.037615 0.034378 0.000014 0.3867 CPI 0.009050 0.003416 0.000004 0.0049 CRISIS 0.106526 0.073398 0.000278 0.0468
Cross-section random effects test equation: Dependent Variable: ROA
Method: Panel Least Squares Date: 01/15/21 Time: 18:56 Sample: 2007 2019 Periods included: 13 Cross-sections included: 24
Total panel (balanced) observations: 312
Variable Coefficient Std. Error t-Statistic Prob. C -0.737897 1.081844 -0.682074 0.4958 SIZE 0.186385 0.050744 3.673059 0.0003 EQ 0.048495 0.007145 6.787250 0.0000 DPRR -0.207091 0.036041 -5.746034 0.0000 CIR -0.040203 0.002444 -16.45216 0.0000 HHIDR -0.003253 0.001248 -2.605822 0.0097 TTTD 9.25E-05 0.000313 0.295754 0.7676 GDP 0.037615 0.031384 1.198526 0.2317 CPI 0.009050 0.004953 1.827133 0.0687 CRISIS 0.106526 0.076270 1.396694 0.1636 Effects Specification Cross-section fixed (dummy variables)
Root MSE 0.360509 R-squared 0.774585
Mean dependent var 0.995413 Adjusted R-squared 0.748731