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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