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 |