TRƯỜNG ĐẠI HỌC KINH TẾ TP.HCM TRUNG TÂM DỮ LIỆU - PHÂN TÍCH KINH TẾ

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1 TRƯỜNG ĐẠI HỌC KINH TẾ TP.HCM TRUNG TÂM DỮ LIỆU - PHÂN TÍCH KINH TẾ BÁO CÁO DỮ LIỆU PHỤC VỤ NGHIÊN CỨU CHỦ ĐỀ: DỮ LIỆU VÀ NGHIÊN CỨU VỀ NGÂN HÀNG TỪ BANKSCOPE TP.HCM, 11/2016

2 MỤC LỤC 1. DỮ LIỆU NGÂN HÀNG TỪ BANKSCOPE Giới thiệu Download dữ liệu từ Bankscope Download dữ liệu theo tên ngân hàng Download dữ liệu theo nước/khu vực địa lý NGHIÊN CỨU SỬ DỤNG DỮ LIỆU BANKSCOPE Tài liệu tham khảo

3 1. DỮ LIỆU NGÂN HÀNG TỪ BANKSCOPE 1.1 Giới thiệu Bankscope cung cấp các báo cáo tài chính của khoảng 32,000 ngân hàng trên phạm vi toàn cầu: Báo cáo tài chính chi tiết Xếp hạng tín nhiệm ngân hàng (FitchRatings, Moody's, Standard & Poor's) Thông tin cơ cấu sở hữu ngân hàng (Ownership data) Thông tin về cổ phiếu (stock) của các ngân hàng niêm yết Bankscope là nguồn dữ liệu quan trọng cho các nghiên cứu trong lĩnh vực ngân hàng và được sử dụng bởi hơn 90% top 1000 ngân hàng lớn nhất thế giới. Bankscope có giao diện và khả năng trích xuất dữ liệu khá đơn giản, thân thiện với người dùng. Giao diện trang chủ của Bankscope Tổng hợp các chỉ tiêu/biến (variables) cung cấp bởi Bankscope a. Income Statement 2

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5 b. Balance Sheet 4

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9 c. Ratios 8

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12 1.2 Download dữ liệu từ Bankscope Truy cập dữ liệu từ trang chủ của Bankscope (Cần có kết nối riêng ở máy tính Trung tâm để truy cập) Download dữ liệu theo tên ngân hàng Click chọn bank name để search 11

13 Nhập tên ngân hàng 12

14 Xuất sang file excel Chọn format export là dạng Excel - Data export để các cells không dính nhau (merged) 13

15 File download được Download dữ liệu theo nước/khu vực địa lý Bankscope cho phép download dữ liệu theo nước/khu vực địa lý. Ví dụ: Download báo cáo tài chính các ngân hàng ở Việt Nam. Click chọn Location 14

16 Chọn Việt Nam click Export 15

17 Mỗi ngân hàng sẽ trên một sheet Chọn the bank s report = Current report Mỗi file chứa tối đa 50 sheets Chọn format export là dạng Excel - Data export để các cells không dính nhau (merged) Rename tên file excel để dễ sắp xếp. Vd: Viet nam 1-40 Máy chủ sẽ tạo ( generate ) file 16

18 Save file File download được 17

19 Bankscope có thể cung cấp nhiều báo cáo về một ngân hàng. Sự khác biệt giữa các báo cáo này là ở consolidation code (loại báo cáo hợp nhất). Giải thích chi tiết về các consolidation code như sau: Each bank on the database is associated with one or more statement. Such statements are all assigned with a so called consolidation code (mã báo cáo hợp nhất) in order to indicate what type of statement is available. - C1: statement of a mother bank integrating the statements of its controlled subsidiaries or branches with no unconsolidated companion, - C2: statement of a mother bank integrating the statements of its controlled subsidiaries or branches with an unconsolidated companion, - C* Additional Consolidated statement - U1: statement not integrating the statements of the possible controlled subsidiaries or branches of the concerned bank with no consolidated companion. - U2: statement not integrating the statements of the possible controlled subsidiaries or branches of the concerned bank with an consolidated companion. - U* Additional Unconsolidated statement - A1 Aggregated statement with no companion Consolidated Statement A consolidated statement is the statement of a bank integrating the statements of its subsidiaries; the method of integration varies according to the importance of the interest owned by the parent company in its subsidiaries. Such a statement has consolidation code C1 (no unconsolidated companion on Bankscope) or C2 (there is an unconsolidated companion on Bankscope). Unconsolidated Statement 18

20 A statement not integrating the possible subsidiaries of the concerned bank. Such a statement has a consolidation code U1 (no consolidation companion on Bankscope) or U2 (there is a consolidated companion on Bankscope). Additional companion statements (C* or U*) The additional statements might differ from the main statements according to one or more of the following criteria: The source used to spread the data is different (FDIC, SEC ) The accounting standard (generally historical accounts in Local GAAP, more recent ones in IFRS are in the main statements) Inflation adjusted vs nominal values Proforma accounts vs original accounts 19

21 2. NGHIÊN CỨU SỬ DỤNG DỮ LIỆU BANKSCOPE Các hướng nghiên cứu Bank s performance (efficiency/productivity/profitability, ) Bank s diversification/risk/ownership ==> Bank s performance/competition Institutions (Bank regulation, supervision and monitoring,.) ==> Bank s performance Macroeconomic policy (Inflation targeting, financial liberalization ) ==> Bank s performance No Study Research objectives and scope 1 Chen, P. F., & Zeng, J. H. (2014). Asymmetric effects of households financial participation on banking diversification. Journal of Financial Stability, 13, Examine banks diversification - performance nexus from the perspective of demand, the magnitude of households financial participation, with bank data from 22 European countries over the period Data (key variables) Methods Results Dependent variable: Banks performance - Banks insolvency risk: - Risk-adjusted returns on assets (net income/assets) per standard deviation) - Risk-adjusted returns on equities (net income/equity) per standard deviation - Z-score: Insolvency risk Independent variables: - Deposit interest rate - Financial investment rate (net acquisition of financial assets for households/net disposable income for households) (Eurostat) - Diversification between interest and non-interest incomes - Diversification within several noninterest incomes - Panel regression - The empirical investigation provides evidence for the asymmetric influence of households financial participation on the performance - diversification nexus: both high Financial investment rate and low Deposit interest rate raise trading frequency and thereby enhance the positive effect of income diversification on bank performance. Conversely, low Financial investment rate and high Deposit interest rate weaken the effect of income diversification on bank performance. 20

22 - Total assets - Equity to total assets - GDP growth - Inflation rate 2 Bhagat, S., Bolton, B., & Lu, J. (2015). Size, leverage, and risktaking of financial institutions. Journal of Banking & Finance, 59, Investigate the link between firm size and risktaking among financial institutions during the period of 2002 to Dependent variable: - Z-score Independent variables: - Return on assets - Capital asset ratio - Standard deviation of ROA - Standard deviation of daily stock returns - Total Assets - Total Revenue - Leverage - Crisis Period dummy - Fixedeffects regression - Instrumental variables - 2SLS (three different instrumental variables: whether or not the firm is incorporate in Delaware, the natural logarithm of the number of employees at the firm, and the natural logarithm of the net plant, property and equipment) - The study shows that size is positively correlated with risktaking measures. - A decomposition of the primary risk measure, the Z-score, reveals that financial firms engage in excessive risk-taking mainly through increased leverage. - Banks that enjoy better corporate governance engage in less risk-taking. - The positive relation between bank size and risk is present in the precrisis period ( ) and the crisis period ( ), but not in the post-crisis period ( ). 21

23 3 Djalilov, K., & Piesse, J. (2016). Determinants of bank profitability in transition countries: What matters most?. Research in International Business and Finance, 38, Barth, J. R., Lin, C., Ma, Y., Seade, J., & Song, F. M. (2013). Do bank regulation, supervision and monitoring enhance or impede bank efficiency?. Journal of Banking & Finance, 37(8), Investigate the determinants of bank profitability of 275 banks from 16 transition economies (early transition Countries of Central and Eastern Europe (CEE), and in the late transition Countries of the former USSR) in Examine whether bank regulation, supervision and monitoring enhance or impede bank operating efficiency based on 4050 banks observations in 72 countries over the period Dependent variable: - ROA Independent variables: - Capital - Credit risk (Loan loss provisions/loans) - Cost - Size - Government spending - GDP growth - Inflation - Fiscal freedom (Heritage Foundation) - Monetary freedom (Heritage Foundation) Dependent variable: - Dependent variable: DEA bank efficiency score. Independent variables: - Banks financial data from Bankscope (Total loans, Other earning assets, Other operating income, Total deposits, Labor input, Capital input, Loan loss provisions, Bank size, Bank equity, ) - The Barth et al. (2004, 2006, 2008) datasets on bank regulation, supervision and monitoring (Activities restrictions, Overall capital stringency, Average tenure of supervisors, Strength - GMM - The determinants of bank profitability vary across transition countries. Particularly, the banking sector of early transition countries is more competitive. However, the impact of credit risk on bank profitability is positive in early transition countries, but negative in late transition countries. - Government spending and monetary freedom negatively influence bank profitability only in late transition countries. - Better capitalized banks are more profitable in early transition countries. - Data envelopmen t analysis (DEA) to obtain bank efficiency scores - Truncated regression - Instrumental variables (legal origin, latitude, ethnic fractionaliza tion) - Tighter restrictions on bank activities are negatively associated with bank efficiency, while greater capital regulation stringency is marginally and positively associated with bank efficiency. - A strengthening of official supervisory power is positively associated with bank efficiency only in countries with independent supervisory authorities. - Independence coupled with a more experienced supervisory authority tends to enhance bank efficiency. - Market-based monitoring of banks in terms of more financial transparency is positively associated with bank efficiency. 22

24 5 Ho, P. H., Lin, C. Y., & Tsai, W. C. (2016). Effect of country governance on bank privatization performance. International Review of Economics & Finance, 43, Investigate the role of country governance in the privatization of 113 governmentowned banks from 1996 to 2007 across 39 countries. of external audit, Certified Audit Required, Bank accounting informative, Official Supervisory Power, Supervisory independence, ) - Dependent variable: Performance variables from Bankscope (Net income to total assets, Net income to total equity, Net interest income to total assets, Impaired loans to gross loans) Independent variables: - Dummy variable is equal to one after the government-owned bank is privatized and zero otherwise. - Aggregate Governance Index aggregates six broad dimensions from Worldwide Governance Indicators (Kaufmann et al., 2008) - Characteristic variables of the propensity score matching (Total assets, Total equity, Total loans, Total deposits, Net income in previous period to total assets in previous period) - Propensity score matching - Panel regression - Privatized banks tend to outperform nonprivatized banks after the privatization, which is called the privatization effect. - The privatization effect is much larger in developing countries compared to those in developed countries, suggesting that the privatization effect is systematically related to a country's level of economic development. - Country governance enhances the privatization effect in developing countries, which is consistent with the hypothesis that countries with good governance can minimize the likelihood of political intervention via residual ownership. Conversely, country governance reduces the privatization effect in developed countries due to smaller spaces for improvement. - Bank characteristic control variables (Log of total assets, 23

25 6 Fazio, D. M., Tabak, B. M., & Cajueiro, D. O. (2015). Inflation targeting: Is IT to blame for banking system instability?. Journal of Banking & Finance, 59, Lee, C., Hsieh, M., & Yang, S. (2016). The effects of foreign ownership on competition in the banking industry: The key role of - Examine the relationship between inflation targeting and banking system stability of nearly 5500 commercial banks from 70 countries (among which, 22 are inflation targeting) for the period Analyze the impacts of foreign ownership on competition - Investigate the relationship between foreign ownership and Total debts to total equities, Average balance of loans to average balance of deposits, Inverse Mills ratio) - Macroeconomic control variables (GDP to population, GDP growth rate, Government budget surplus as a percentage of GDP, Inflation, ) Dependent variables: - Financial Stability - Risk-Adj. Profits - Equity Ratio - ROA Volatility Independent variables: - Inflation targeting: a dummy equal to one if country where bank operates is an inflation targeter. (Source: IMF website, Roger (2010)) - Banks financial variables (Liquidity Ratio, Cost to Assets, Total assets, ) - Macroeconomic control variables (Economic Openess, Financial Freedom Index, Property Rights Index, ) Dependent variables: - The share of the loan market controlled by the four largest banks. - A country-level indicator of bank concentration, measured by the Herfindahl- - Fixedeffects regression - Dynamic panel GMM - Inflation targeting national banking systems (i) are more stable; (ii) possess sounder systemically important banks; and (iii) are less distressed than (or at least as distressed as) other banks during periods of global liquidity shortages. - Results are robust to a series of tests, such as when comparing countries with the same legal origins or controlling for the delegation of bank supervision responsibility to bodies other than the central bank. - A higher ratio of foreign ownership in a bank can enhance competition, whereas a liberalization policy on banking supervision instead mitigates this positive relation between foreign ownership and competition. Conversely, the liberalization on bank 24

26 financial reforms. Japan And The World Economy, 37-38, competition changes under financial reforms implemented in the host country with the sample of 50 countries in 4 regions (emerging Asia, Latin America, Middle East and North Africa (MENA), and Sub-Saharan Africa (SSA) from 1995 to 2005 Hirschman Deposits Index - A country-level indicator of bank concentration, measured by the Herfindahl- Hirschman Total Assets Index - A country-level indicator of bank concentration, measured by the Herfindahl- Hirschman Gross Loans Index Independent variables: - Bank-level foreign bank ownership - Logarithm of total bank assets - Ratio of liquidity assets to total assets - Ratio of noninterest expenses to total assets Conditional factors Financial reforms (financial liberalizations) CCON: Credit controls; 0 to 3 means the higher the value, the higher the liberalization. ICON: Interest controls; 0 to 3 means the higher the value, the higher the liberalization EBAR: Entry barriers; 0 to 3 means the higher the value, the higher the liberalization privatization in Latin America and Sub-Saharan Africa (SSA) countries significantly increases competition. Thus, financial reforms do matter to the foreign ownership-bank competition nexus. 25

27 Tài liệu tham khảo Barth, J. R., Lin, C., Ma, Y., Seade, J., & Song, F. M. (2013). Do bank regulation, supervision and monitoring enhance or impede bank efficiency?. Journal of Banking & Finance, 37(8), Bhagat, S., Bolton, B., & Lu, J. (2015). Size, leverage, and risk-taking of financial institutions. Journal of Banking & Finance, 59, Chen, P. F., & Zeng, J. H. (2014). Asymmetric effects of households financial participation on banking diversification. Journal of Financial Stability, 13, Djalilov, K., & Piesse, J. (2016). Determinants of bank profitability in transition countries: What matters most?. Research in International Business and Finance, 38, Fazio, D. M., Tabak, B. M., & Cajueiro, D. O. (2015). Inflation targeting: Is IT to blame for banking system instability?. Journal of Banking & Finance, 59, Ho, P. H., Lin, C. Y., & Tsai, W. C. (2016). Effect of country governance on bank privatization performance. International Review of Economics & Finance, 43, Lee, C., Hsieh, M., & Yang, S. (2016). The effects of foreign ownership on competition in the banking industry: The key role of financial reforms. Japan And The World Economy, 37-38,