Table 2 ECM Estimation for Retail Rates

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