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Table 8 Cointegration, TAR and M-TAR tests with endogenously determined threshold

From: Interest rate pass-through in the Dominican Republic

  TAR M-TAR
Φ (ρ 1 = ρ 2 = 0) F (ρ 1 = ρ 2) τ Φ (ρ 1 = ρ 2 = 0) F (ρ 1 = ρ 2) τ
Three-month deposit rate 15.165*** 0.929 −0.613 16.390*** 2.835*** 0.732
Six-month deposit rate 15.848*** 0.367 −0.342 17.084*** 2.260*** −0.316
One-year deposit rate 3.649 0.543 −0.727 5.338* 3.694*** 0.089
Weighted average deposit rate 19.058*** 1.851*** −0.525 19.848*** 3.022*** 0.341
Three-month lending rate 6.488** 2.948*** −1.292 7.932** 5.543*** −0.402
Six-month lending rate 9.334*** 1.752*** 0.505 8.806** 0.865 1.417
One-year lending rate 21.470*** 1.908*** 1.188 23.321*** 4.562*** 0.827
Weighted average lending rate 18.243*** 0.538 0.853 19.547*** 2.469*** −0.577
Commercial lending rate 19.916*** 0.951 −0.889 20.300*** 1.508** −0.73
Personal consumption lending rate 2.295 0.178 −1.039 4.136 3.682*** 0.082
Mortgage lending rate 18.416*** 3.012*** −0.583 19.092*** 4.033*** −0.024
  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. τ is the estimated threshold. The critical values are generated via Monte Carlo simulations. Source: Authors’ calculations
  2. ***, **, * Next next to a number indicate statistical significance at 1, 5 and 10 percent, respectively