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Table 4 The short-run relationship: Symmetric model

From: Interest rate liberalization and pass-through of monetary policy rate to bank lending rates in China

∆yt = β1∆yt − 1 + β2∆yt − 2 + α0∆xt + α1∆xt − 1 + α2∆xt − 2 + ω0D × ∆xt + ω1D × ∆xt − 1 + ω2D × ∆xt − 2 + πzt − 1 + εt
Variable   Coefficient S. E. t-statistics Prob.
∆y t − 1 β 1 −0.256 0.0597 −4.29 0.000
∆y t − 2 β 2 −0.0207 0.0386 −0.54 0.592
∆x t α 0 0.128 0.0319 4.00 0.000
∆x t − 1 α 1 0.491 0.0384 12.80 0.000
∆x t − 2 α 2 0.122 0.0463 2.64 0.009
D × ∆xt ω 0 0.157 0.0745 2.11 0.036
D × ∆xt − 1 ω 1 0.261 0.0761 3.43 0.001
D × ∆xt − 2 ω 2 0.130 0.0765 1.70 0.090
z t − 1 π −0.0949 0.0272 −3.49 0.001