Author | Empirical approach | Sample period | Estimated long-run coefficient | Explanatory variables |
---|---|---|---|---|
Gonzalez Pantaleon (2010) | ECM | Quarterly data (1996Q1–2010Q1) and monthly data (1996M1–2010M4), excluding 2003 and 2004 | Loans: 0.96–1.44, Deposits: 0.91–1.23, Commercial loans: 1.04–1.25, Personal cons, loans: 0.96–1.13, Mortgage loans: 1.15–1.45 | Interbank rate, external interest rate, EMBI spread, reserve requirement coefficient, Lombard window rate |
Rivas (2011) | Asymmetric ECM | Monthly data (1996M1–2011M8) | Loans: 0.90–1.42 Deposits: 1.00 | Interbank rate |
Medina, Carrion, and Frantischek (2011) | Panel S-GMM | Annual data (2004–10) for 40 countries | Loans (DR): 0.65 | Monetary policy rate, financial dollarization, exchange rate flexibility, size of the banking sector, banking concentration, and interactions |
Andujar (2012) | ECM | Monthly data (1996M1–2007M12) | Loans: 0.94, Deposits: 0.73–0.77 | Interbank rate |
Aristy Escuder (2014) | ADL model | Monthly data (2008M1–2014M8) | Loans: 2.66, Deposits: 1.65 | Monetary policy rate (overnight) |
BCRD (2015) | N/A | N/A | Loans: 1.06–1.63, Deposits: 0.85–0.92 |  |