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Table 6 Cointegration, Engle–Granger test

From: Interest rate pass-through in the Dominican Republic

3-month deposit rate −5.489***
6-month deposit rate −5.531***
1-year deposit rate −4.928**
Weighted average deposit rate −6.185**
3-month lending rate −6.187***
6-month lending rate −8.774***
1-year lending rate −6.806***
Weighted average lending rate −6.741***
Commercial lending rate −6.373***
Personal consumption lending rate −6.158***
Mortgage lending rate −7.324***
5-year government domestic bond −3.640
7-year government domestic bond −3.224
10-year government domestic bond −3.094
10-year government external bond −3.040
  1. The null hypothesis is that the series do not have a cointegration relationship. The Schwarz information criterion is used to select the optimal lag length. The critical values are from MacKinnon (1991)
  2. ***, **, * Next to a number indicate statistical significance at 1, 5 and 10 percent, respectively. Source: Authors’ calculations