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

Frontiers of Business Research in China

Table 5 The short-run relationship: Asymmetric adjustment

Panel A: \( \Delta {y}_t={\beta}_1\Delta {y}_{t-1}+{\beta}_2\Delta {y}_{t-2}+{\alpha}_0\Delta {x}_t+{\alpha}_1\Delta {x}_{t-1}+{\alpha}_2\Delta {x}_{t-2}+{\omega}_0D\times \Delta {x}_t+{\omega}_1D\times \Delta {x}_{t-1}+{\omega}_2D\times \Delta {x}_{t-2}+{\pi}_1{z}_{t-1}^{+}+{\pi}_2{z}_{t-1}^{-}+{\varepsilon}_t \)
Variable		Coefficient	S. E.	t-statistics	Prob.
∆y _t − 1	β ₁	−0.257	0.0598	−4.29	0.000
∆y _t − 2	β ₂	−0.0260	0.0390	−0.67	0.505
∆x _t	α ₀	0.121	0.0327	3.69	0.000
∆x _t − 1	α ₁	0.475	0.0420	11.33	0.000
∆x _t − 2	α ₂	0.116	0.0467	2.49	0.013
D × ∆x_t	ω ₀	0.165	0.0750	2.20	0.029
D × ∆x_t − 1	ω ₁	0.271	0.0769	3.52	0.001
D × ∆x_t − 2	ω ₂	0.137	0.0769	1.79	0.075
\( {z}_{t-1}^{+} \)	π ₁	−0.117	0.0359	−3.27	0.001
\( {z}_{t-1}^{-} \)	π ₂	−0.0625	0.0435	−1.44	0.152
Panel B: Wald test (Null hypothesis: π₁ = π₂)
Test-Statistics	Value		df		Prob.
t-statistics	−0.955		263		0.340
F-statistics	0.912		(1, 263)		0.340
Chi-square	0.912		1		0.340