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Table 5 The short-run relationship: Asymmetric adjustment

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

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 × ∆xt ω 0 0.165 0.0750 2.20 0.029
D × ∆xt − 1 ω 1 0.271 0.0769 3.52 0.001
D × ∆xt − 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