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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