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Table 2 ECM Estimation for Retail Rates

From: Interest rate pass-through in the Dominican Republic

  Deposit rates Lending rates Loan category rates
Three months Six months One year Weighted average Three months Six months One year Weighted average Commercial Personal consumption Mortgage
Long-run equation
 Monetary policy rate 1.101*** (0.083) 1.116*** (0.11) 1.019*** (0.095) 1.044*** (0.082) 1.041*** (0.15) 1.272*** (0.113) 1.184*** (0.136) 1.185*** (0.122) 1.199*** (0.13) 1.061*** (0.138) 0.969*** (0.103)
 Reserve requirement coefficient −0.068 (0.108) −0.063 (0.14) −0.0880 (0.091) 0.010 (0.11) 0.359** (0.176) 0.160 (0.118) 0.49** (0.202) 0.277** (0.113) 0.263** (0.12) 0.177 (0.155) 0.223 (0.138)
 NPLs −0.353 (0.228) −0.385 (0.248) −0.229 (0.256) −0.226 (0.237) 0.397 (0.344) 0.262 (0.345) 0.361 (0.277) 0.421 (0.293) 0.348 (0.293) 0.433 (0.389) 0.145 (0.268)
 Exchange rate 0.048 (0.116) 0.008 (0.119) 0.0120 (0.119) 0.101 (0.118) −0.024 (0.189) −0.049 (0.175) 0.202 (0.172) 0.289** (0.135) 0.175 (0.131) 0.636*** (0.182) 0.042 (0.144)
 EMBI 0.402*** (0.067) 0.328*** (0.082) 0.219*** (0.078) 0.335*** (0.069) 0.976*** (0.183) 0.692*** (0.114) 0.736*** (0.124) 0.671*** (0.134) 0.712*** (0.141) 0.496*** (0.136) 0.513*** (0.097)
 VIX −0.025* (0.014) 0.007 (0.018) 0.0190 (0.022) −0.007 (0.015) −0.12*** (0.044) −0.043 (0.035) −0.067*** (0.025) −0.046* (0.027) −0.051* (0.029) 0.009 (0.031) −0.003 (0.022)
 Dummy inflation targeting −0.260 (0.569) −0.069 (0.6) −0.4810 (0.511) −0.413 (0.484) −0.038 (0.584) 0.749 (0.545) 0.165 (0.57) −0.549 (0.431) −0.429 (0.44) −1.055* (0.54) 0.300 (0.298)
 Dummy monetary policy rate introduction −1.344** (0.556) −1.218 (0.773) −1.219** (0.596) −1.033** (0.496) 0.743 (0.555) −0.396 (0.519) −0.010 (0.723) −0.399 (0.497) −0.037 (0.519) −2.065*** (0.622) −0.714* (0.367)
 Constant 0.029 (5.531) 1.383 (5.679) 1.9260 (4.986) −3.734 (5.445) −1.596 (9.119) 1.661 (7.73) −11.463 (9.327) −10.67* (6.173) −7.030 (6.003) −16.173 * (8.251) −0.268 (7.141)
 Observations 109 109 109 109 109 109 109 109 109 109 109
 R squared 0.862 0.859 0.847 0.872 0.851 0.847 0.857 0.888 0.894 0.803 0.898
 Adjusted R squared 0.851 0.847 0.835 0.862 0.837 0.835 0.845 0.879 0.885 0.788 0.890
 SE of regression 0.858 0.904 0.867 0.803 1.369 1.394 1.353 1.067 1.081 1.261 0.943
 Wald test (H0: pass-through = 1) 1.220 1.051 0.198 0.533 0.276 2.217* 1.351 1.520 1.531 0.439 −0.297
Short-run equation
 Speed of adjustment −0.413*** (0.089) −0.229*** (0.077) −0.328*** (0.116) −0.311*** (0.084) −0.507*** (0.108) −0.843*** (0.112) −0.528*** (0.086) −0.294*** (0.086) −0.289*** (0.08) −0.256** (0.109) −0.271*** (0.101)
 Diff. monetary policy rate 0.675*** (0.108) 0.646*** (0.102) 0.479*** (0.164) 0.593*** (0.105) 0.584** (0.269) 1.168*** (0.283) 0.834*** (0.169) 0.812*** (0.138) 0.8*** (0.143) 0.827*** (0.165) 0.572*** (0.136)
 Diff. reserve requirement coefficient −0.007 (0.098) 0.235*** (0.057) 0.029 (0.061) 0.179*** (0.035) 0.013 (0.23) 0.341*** (0.109) 0.010 (0.191) 0.262** (0.121) 0.233* (0.135) 0.212 (0.148) 0.104 (0.191)
 Diff. NPLs −0.292** (0.139) −0.262** (0.113) −0.260 (0.215) −0.305*** (0.101) 0.722** (0.294) −0.483 (0.397) 0.294 (0.301) 0.498*** (0.16) 0.297* (0.16) 0.814*** (0.273) 0.130 (0.142)
 Diff. exchange rate 0.096 (0.294) 0.195 (0.272) 0.2870 (0.325) 0.144 (0.256) 0.222 (0.598) 0.380 (0.801) 0.972* (0.528) 0.499 (0.411) 0.440 (0.42) 1.116** (0.485) 0.212 (0.386)
 Diff. EMBI 0.275*** (0.079) 0.229** (0.093) 0.191** (0.086) 0.215** (0.082) 0.605** (0.265) 0.301 (0.247) 0.120 (0.101) 0.264** (0.109) 0.297*** (0.111) −0.035 (0.096) (0.093)
 Diff. VIX −0.008 (0.015) 0.002 (0.011) 0.026* (0.015) 0.008 (0.01) −0.042 (0.039) 0.027 (0.042) 0.011 (0.029) −0.002 (0.018) −0.005 (0.02) 0.036** (0.016) 0.015 (0.015)
 Dummy inflation targeting −0.088 (0.299) −0.177 (0.231) −0.1840 (0.21) −0.110 (0.21) −0.194 (0.171) −0.045 (0.222) −0.261 (0.307) −0.203 (0.15) −0.200 (0.144) −0.262* (0.147) −0.136 (0.106)
 Dummy monetary policy rate introduction 0.034 (0.308) 0.128 (0.237) 0.1280 (0.21) 0.071 (0.219) 0.228 (0.191) −0.069 (0.262) 0.120 (0.362) 0.169 (0.167) 0.167 (0.158) 0.110 (0.171) 0.071 (0.131)
 Observations 108 108 108 108 108 108 108 108 108 108 108
 R squared 0.392 0.394 0.302 0.426 0.317 0.538 0.400 0.422 0.403 0.370 0.302
 Adjusted R squared 0.343 0.345 0.245 0.379 0.261 0.501 0.351 0.375 0.354 0.319 0.245
 SE of regression 0.652 0.582 0.612 0.534 1.228 1.330 1.087 0.709 0.720 0.825 0.638
  1. Standard errors in parentheses are corrected for heteroskedasticity and autocorrelation with the Newey–West estimator
  2. ***, **, * Next to a number indicate statistical significance at 1, 5 and 10 percent, respectively. Source: Authors’ calculations