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Table 3 ADL model estimation for government bonds

From: Interest rate pass-through in the Dominican Republic

  Domestic External
Five years 7 years 10 years 10 years
Diff. monetary policy rate 0.567*** 0.48*** 0.447*** −0.009
(0.168) (0.109) (0.138) (0.073)
Lag diff. monetary policy rate 0.554*** 0.759*** 0.463** −0.104*
(0.184) (0.181) (0.195) (0.06)
Lag diff. dependent variable −0.493*** −0.325** −0.210 −0.104*
(0.136) (0.137) (0.158) (0.06)
Diff. reserve requirement coefficient 0.040 0.073 −0.125** −0.010
(0.719) (0.047) (0.057) (0.023)
Diff. EMBI 0.945** 0.680 0.473 1.018***
(0.44) (0.459) (0.347) (0.08)
Diff. VIX −0.074* −0.019 −0.043** −0.026***
(0.04) (0.034) (0.02) (0.007)
Dummy inflation targeting −0.356 0.064 −0.086 0.035
(0.289) (0.273) (0.163) (0.076)
Dummy monetary policy rate introduction 0.298 0.018 0.167 0.031
(0.232) (0.183) (0.181) (0.058)
Constant −0.120 −0.197 −0.180 −0.075
(0.198) (0.212) (0.118) (0.062)
Observations 54 41 57 61
R squared 0.398 0.341 0.255 0.682
Adjusted R squared 0.291 0.176 0.131 0.633
SE of regression 0.867 0.593 0.565 0.186
  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