Interest rate pass-through in the Dominican Republic

Latin American Economic Review

Table 6 Cointegration, Engle–Granger test

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

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)
***, **, * Next to a number indicate statistical significance at 1, 5 and 10 percent, respectively. Source: Authors’ calculations