Interest rate pass-through in the Dominican Republic

Grigoli, Francesco; Mota, José M.

doi:10.1007/s40503-017-0041-x

Latin American Economic Review

Table 5 Unit root, ADF test

From: Interest rate pass-through in the Dominican Republic

	Levels			First differences
	No intercept, no trend	Intercept, no trend	Intercept, trend	No intercept, no trend	Intercept, no trend	Intercept, trend
Monetary policy rate	−1.490	−2.266	−2.399	−8.510***	−8.534***	−8.543***
Three-month deposit rate	−1.285	−2.910*	−2.999	−7.112***	−7.104***	−7.074***
Six-month deposit rate	−1.203	−3.212**	−3.328*	−5.567***	−5.558***	−5.541***
One-year deposit rate	−1.331	−3.114**	−3.275*	−6.546***	−6.540***	−6.526***
Weighted average deposit rate	−1.355	−3.537**	−3.696**	−5.214***	−5.207***	−5.192***
Three-month lending rate	−1.056	−2.516	−2.712	−11.970***	−11.938***	−11.907***
Six-month lending rate	−1.079	−2.242	−2.466	−15.009***	−14.971***	−14.907***
One-year lending rate	−1.119	−2.442	−2.579	−12.273***	−12.238***	−12.170***
Weighted average lending rate	−0.990	−2.314	−2.494	−7.407***	−7.398***	−7.360***
Commercial lending rate	−0.968	−2.231	−2.369	−7.576***	−7.561***	−7.531***
Personal consumption lending rate	−0.833	−2.468	−2.560	−7.804***	−7.792***	−7.746***
Mortgage lending rate	−1.175	−2.286	−2.790	−6.050***	−6.063***	−6.014***
Five-year government domestic bond	−1.962**	−3.113**	−3.414*	−12.655***	−13.009***	−12.787***
Seven-year government domestic bond	−2.002**	−2.182	−2.577	−6.808***	−7.053***	−6.966***
Ten-year government domestic bond	−1.458	−0.806	−2.000	−7.556***	−7.696***	−7.643***
Ten-year government external bond	−1.416	−1.559	−2.024	−6.451***	−6.534***	−6.497***

The null hypothesis is that the series has a unit root. The lagged differences are included in the specifications to obtain white noise residuals The Schwarz information criterion is used to select the optimal lag length
***, **, * Next to a number indicate statistical significance at 1, 5 and 10 percent, respectively Source: Authors’ calculations

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