Table 6 The short-run relationship: The effect of interest rate liberalization on the asymmetric adjustment speed
From: Interest rate liberalization and pass-through of monetary policy rate to bank lending rates in China
Panel A: \( \Delta {y}_t={\beta}_1\Delta {y}_{t-1}+{\beta}_2\Delta {y}_{t-2}+{\alpha}_0\Delta {x}_t+{\alpha}_1\Delta {x}_{t-1}+{\alpha}_2\Delta {x}_{t-2}+{\omega}_0D\ast \Delta {x}_t+{\omega}_1D\times \Delta {x}_{t-1}+{\omega}_2D\times \Delta {x}_{t-2}+{\pi}_1{z}_{t-1}^{+}+{\pi}_2{z}_{t-1}^{-}+{\pi}_3D\times {z}_{t-1}^{+}+{\pi}_4D\times {z}_{t-1}^{-}+{\varepsilon}_t \) | |||||
Variable | Coefficient | S. E. | t-statistics | Prob. | |
∆y t − 1 | β 1 | −0.245 | 0.0592 | −4.13 | 0.000 |
∆y t − 2 | β 2 | −0.0411 | 0.0391 | −1.05 | 0.295 |
∆x t | α 0 | 0.108 | 0.0330 | 3.26 | 0.001 |
∆x t − 1 | α 1 | 0.412 | 0.0479 | 8.61 | 0.000 |
∆x t − 2 | α 2 | 0.0940 | 0.0470 | 2.00 | 0.047 |
D × ∆xt | ω 0 | 0.154 | 0.0749 | 2.06 | 0.040 |
D × ∆xt − 1 | ω 1 | 0.391 | 0.0876 | 4.47 | 0.000 |
D × ∆xt − 2 | ω 2 | 0.148 | 0.0767 | 1.93 | 0.054 |
\( {z}_{t-1}^{+} \) | π 1 | −0.206 | 0.0488 | −4.23 | 0.000 |
\( {z}_{t-1}^{-} \) | π 2 | −0.0674 | 0.0520 | −1.29 | 0.197 |
\( D\times {z}_{t-1}^{+} \) | π 3 | 0.194 | 0.0716 | 2.71 | 0.007 |
\( D\times {z}_{t-1}^{-} \) | π 4 | 0.0499 | 0.0924 | 0.54 | 0.590 |
Panel B: Wald test (Null hypothesis: π1 = π2) | |||||
Test-Statistics | Value | df | Prob. | ||
t-statistics | −1.85 | 261 | 0.066 | ||
F-statistics | 3.40 | (1, 261) | 0.066 | ||
Chi-square | 3.40 | 1 | 0.065 | ||
Panel C: Wald test (Null hypothesis: π1 + π3 = π2 + π4) | |||||
Test-Statistics | Value | df | Prob. | ||
t-statistics | 0.06 | 261 | 0.950 | ||
F-statistics | 0.00 | (1,261) | 0.950 | ||
Chi-square | 0.00 | 1 | 0.950 | ||