| Deposit rates | Lending rates | Loan category rates | ||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
3Â months | 6Â months | 1Â year | Weighted average | 3Â months | 1Â 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 |