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Latin American Economic Review

Table 7 Cointegration, TAR and M-TAR tests with threshold set to zero

From: Interest rate pass-through in the Dominican Republic

 

TAR

M-TAR

Φ (ρ 1 = ρ 2 = 0)

F (ρ 1 = ρ 2)

Φ (M) (ρ 1 =ρ 2 = 0)

F (M) (ρ 1 = ρ 2)

3-month deposit rate

14.588***

0.032

14.648***

0.124

6-month deposit rate

15.649***

0.062

16.393***

1.202

1-year deposit rate

3.406

0.111

3.606

0.480

Weighted average deposit rate

18.225***

0.617

18.723***

1.355

3-month lending rate

5.116*

0.481

6.975**

3.823

6-month lending rate

8.884**

0.996

16.393***

1.202

1-year lending rate

20.237***

0.141

3.605

0.480

Weighted average lending rate

17.890***

0.015

18.055***

0.260

Commercial lending rate

19.294***

0.048

19.418***

0.228

Personal consumption lending rate

2.211

0.018

2.276

0.143

Mortgage lending rate

17.346***

1.393*

18.007***

2.392

  1. The null hypothesis of the test statistic Φ is that the series do not have a cointegration relationship, and the null hypothesis of the test statistic F is that the series have symmetric cointegration relationships. The critical values are generated via Monte Carlo simulations. Source: Authors’ calculations
  2. ***, **, * Next to a number indicate statistical significance at 1, 5
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