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Table 4 Asymmetric M-TAR ECM estimation for retail rates

From: Interest rate pass-through in the Dominican Republic

  Deposit rates Lending rates Loan category rates
3 months 6 months 1 year Weighted average 3 months 1 year Weighted average Commercial Personal consumption Mortgage
Short-run equation
 Speed of adjustment above τ −0.482** (0.19) −0.287** (0.12) −0.268** (0.129) −0.356* (0.183) −0.375*** (0.109) −0.518*** (0.104) −0.321** (0.127) −0.065 (0.158) −0.153 (0.136) −0.311* (0.174)
 Speed of adjustment below τ −0.32*** (0.089) −1.109 (0.087) −0.35** (0.162) −0.249*** (0.08) −0.798*** (0.155) −0.475*** (0.124) −0.232*** (0.084) −0.38*** (0.068) −0.365*** (0.105) −0.215*** (0.073)
 Diff. monetary policy rate 0.675*** (0.102) 0.654*** (0.094) 0.472** (0.167) 0.594*** (0.096) 0.573** (0.249) 0.837*** (0.171) 0.818*** (0.13) 0.765*** (0.156) 0.821*** (0.178) 0.577*** (0.126)
 Diff. reserve requirement coefficient −0.002 (0.093) 0.214*** (0.067) 0.0230 (0.067) 0.192*** (0.034) −0.012 (0.243) 0.014 (0.189) 0.259** (0.121) 0.22* (0.126) 0.193 (0.151) 0.098 (0.187)
 Diff. NPLs −0.29** (0.142) −0.265** (0.113) −0.2470 (0.208) −0.304*** (0.1) 0.776** (0.299) 0.267 (0.302) 0.487*** (0.157) 0.305* (0.169) 0.815*** (0.282) 0.133 (0.138)
 Diff. exchange rate 0.127 (0.283) 0.224 (0.275) 0.272 (0.301) 0.186 (0.226) 0.030 (0.604) 1.018* (0.525) 0.520 (0.409) −0.001 (0.003) 0.971** (0.404) 0.201 (0.398)
 Diff. EMBI 0.273*** (0.081) 0.234** (0.094) 0.192** (0.088) 0.206** (0.08) 0.656*** (0.216) 0.113 (0.107) 0.246** (0.105) 0.333*** (0.109) −0.036 (0.082) 0.19* (0.099)
 Diff. VIX −0.010 (0.014) 0.001 (0.011) 0.0230 (0.016) 0.007 (0.01) −0.044 (0.031) 0.012 (0.03) −0.003 (0.017) −0.007 (0.022) 0.045*** (0.016) 0.015 (0.015)
 Dummy inflation targeting −0.086 (0.295) −0.174 (0.22) −0.1880 (0.203) −0.117 (0.206) −0.237 (0.208) −0.270 (0.302) −0.211 (0.15) −0.116 (0.146) −0.258* (0.141) −0.131 (0.11)
 Dummy monetary policy rate introduction 0.040 (0.303) 0.144 (0.229) 0.1280 (0.204) 0.080 (0.215) 0.230 (0.218) 0.128 (0.357) 0.179 (0.169) 0.188 (0.158) 0.097 (0.175) 0.076 (0.129)
 Observations 108 108 108 108 108 108 108 108 108 108
 R squared 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000 0.000
 Adjusted R squared 0.388 0.402 0.293 0.422 0.384 0.393 0.424 0.415 0.383 0.310
 SE of regression 0.331 0.347 0.228 0.369 0.327 0.336 0.371 0.361 0.326 0.246
 Wald test (HO: speed of adj. above τ = speed of adj. below τ) 2.723** −1.234 0.424 −0.530 2.660** −0.273 −0.613 1.743* 1.252 −0.538
  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