Table 2 The ARDL bound test
From: Interest rate liberalization and pass-through of monetary policy rate to bank lending rates in China
Panel A: The ARDL results | |||||
∆yt = β0 + β1∆yt − 1 + β2∆yt − 2 + … + βp∆yt − p + α0∆xt + α1∆xt − 1 + … + αq∆xt − q + θ0yt − 1 + θ1xt − 1 + εt | |||||
Variable | Coefficient | S.E. | t-statistics | Prob. | |
Constant | β 0 | 0.243 | 0.0824 | 2.95 | 0.004 |
y t − 1 | θ 0 | −0.0707 | 0.0221 | −3.19 | 0.001 |
x t − 1 | θ 1 | 0.0623 | 0.0182 | 3.42 | 0.000 |
∆y t − 1 | β 1 | −0.193 | 0.0612 | −3.16 | 0.002 |
∆y t − 2 | β 2 | 0.107 | 0.0620 | 1.72 | 0.086 |
∆y t − 3 | β 2 | 0.0824 | 0.0393 | 2.10 | 0.037 |
∆x t | α 0 | 0.192 | 0.0318 | 6.04 | 0.000 |
∆x t − 1 | α 1 | 0.565 | 0.0355 | 15.90 | 0.000 |
∆x t − 2 | α 2 | 0.116 | 0.0497 | 2.33 | 0.021 |
∆x t − 3 | α 3 | −0.0975 | 0.0492 | −1.98 | 0.048 |
Panel B: Bound test (Null hypothesis: No long-term relationship) | |||||
B | Value | Significance | I(0) | I(1) | |
F-statistics | 4.21 | 10% | 3.02 | 3.51 | |
k | 1 | 5% | 3.62 | 4.16 | |
2.5% | 4.18 | 4.79 | |||
1% | 4.94 | 5.58 | |||