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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