Interest rate pass-through in the Dominican Republic

Latin American Economic Review

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

	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

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
***, **, * Next next to a number indicate statistical significance at 1, 5 and 10 percent, respectively