RDP 2007-07: More Potent Monetary Policy? Insights from a Threshold Model Appendix D: Estimated Models

Table D1: Total Credit – Low Credit-growth Regime
Δy π i Δcredit
Δy(−1) 0.300 0.160 −0.096 0.134
(0.15) (0.06) (0.09) (0.11)
Δy(−2) −0.126 −0.138 0.122 0.283
(0.17) (0.05) (0.11) (0.14)
π(−1) −0.832 0.649 0.553 0.504
(0.44) (0.07) (0.20) (0.25)
π(−2) 0.702 0.026 −0.237 −0.269
(0.44) (0.11) (0.21) (0.29)
i(−1) −0.993 0.251 0.721 −0.173
(0.37) (0.07) (0.16) (0.24)
i(−2) 0.232 −0.125 −0.107 −0.021
(0.09) (0.11) (0.09) (0.13)
Δcredit(−1) 0.232 −0.038 0.126 0.952
(0.09) (0.05) (0.09) (0.13)
Δcredit(−2) −0.184 0.098 −0.149 −0.265
(0.07) (0.04) (0.09) (0.10)
Constant 4.175 −0.029 0.687 0.557
(1.76) (0.56) (0.98) (0.354)
Note: Newey-West heteroskedasticity and autocorrelation consistent standard errors in parentheses.
Table D2: Total Credit – High Credit-growth Regime
Δy π i Δcredit
Δy(−1) −0.047 −0.030 −0.063 0.106
(0.11) (0.04) (0.05) (0.12)
Δy(−2) 0.076 0.027 0.093 −0.012
(0.11) (0.04) (0.04) (0.08)
π(−1) 0.005 0.424 0.310 −0.301
(0.66) (0.08) (0.20) (0.48)
π(−2) 0.149 0.559 −0.117 0.451
(0.67) (0.10) (0.21) (0.20)
i(−1) −0.181 0.140 0.665 −0.636
(0.44) (0.09) (0.17) (0.35)
i(−2) −0.202 −0.181 0.142 0.338
(0.09) (0.11) (0.09) (0.13)
Δcredit(−1) −0.043 0.058 0.076 0.493
(0.02) (0.04) (0.07) (0.13)
Δcredit(−2) −0.100 0.035 0.041 0.061
(0.21) (0.04) (0.02) (0.04)
Constant 5.610 −0.613 −1.131 4.307
(1.72) (0.52) (0.76) (1.42)
Note: Newey-West heteroskedasticity and autocorrelation consistent standard errors in parentheses.
Table D3: Business Credit Model – Low Credit-growth Regime
Δinv π i Δcredit
Δinv(−1) −0.264 0.007 0.007 −0.005
(0.15) (0.01) (0.01) (0.04)
Δinv(−2) −0.025 0.018 0.003 0.026
(0.16) (0.01) (0.01) (0.02)
π(−1) 0.741 0.310 0.112 0.989
(1.17) (0.15) (0.10) (0.69)
i(−2) 2.636 0.370 0.423 0.300
(1.13) (0.17) (0.21) (0.57)
i(−1) −3.807 0.264 0.631 0.970
(1.17) (0.14) (0.15) (0.94)
i(−2) −0.516 −0.184 0.114 −1.389
(1.39) (0.15) (0.14) (0.72)
Δcredit(−1) 1.110 −0.03 0.065 0.940
(0.38) (0.03) (0.04) (0.11)
Δcredit(−2) −0.898 0.017 −0.059 −0.362
(0.24) (0.04) (0.03) (0.19)
Constant 30.310 0.102 0.045 0.143
(8.02) (0.42) (0.44) (2.71)
Note: Newey-West heteroskedasticity and autocorrelation consistent standard errors in parentheses.
Table D4: Business Credit Model – High Credit-growth Regime
Δinv π i Δcredit
Δinv(−1) −0.105 0.001 0.032 0.073
(0.11) (0.01) (0.01) (0.03)
Δinv(−2) −0.031 0.014 0.001 0.064
(0.15) (0.01) (0.01) (0.04)
π(−1) 1.275 0.447 −0.018 0.393
(1.21) (0.12) (0.16) (0.49)
π(−2) −0.895 0.486 0.256 0.110
(1.75) (0.10) (0.17) (0.50)
i(−1) −0.107 0.158 1.050 −0.708
(1.72) (0.14) (0.14) (0.42)
i(−2) −1.179 −0.174 −0.215 0.639
(1.62) (0.13) (0.13) (0.72)
Δcredit(−1) 0.989 0.055 0.077 0.466
(0.54) (0.02) (0.03) (0.09)
Δcredit(−2) −0.185 −0.004 −0.029 −0.001
(0.45) (0.03) (0.04) (0.12)
Constant 9.513 0.102 −0.200 2.288
(4.79) (0.42) (0.33) (1.68)
Note: Newey-West heteroskedasticity and autocorrelation consistent standard errors in parentheses.
Table D5: Household Credit Model – Low Credit-growth Regime
Δc π i Δcredit
Δc(−1) −0.079 0.126 0.130 −0.153
(0.09) (0.06) (0.07) (0.12)
Δc(−2) −0.044 −0.139 −0.105 −0.216
(0.18) (0.07) (0.08) (0.12)
π(−1) 0.108 0.555 0.192 0.335
(0.36) (0.11) (0.14) (0.29)
π(−2) 0.506 0.371 0.373 0.121
(0.49) (0.09) (0.21) (0.29)
i(−1) −0.579 0.262 0.795 −0.675
(0.35) (0.12) (0.13) (0.35)
i(−2) 0.400 −0.214 −0.083 0.164
(0.46) (0.15) (0.11) (0.36)
Δcredit(−1) 0.336 0.041 0.127 0.650
(0.19) (0.07) (0.09) (0.19)
Δcredit(−2) 0.109 0.041 0.103 0.136
(0.14) (0.05) (0.11) (0.026)
Constant −1.243 −0.734 −1.601 5.678
(2.15) (1.05) (0.87) (2.11)
Note: Newey-West heteroskedasticity and autocorrelation consistent standard errors in parentheses.
Table D6: Household Credit Model – High Credit-growth Regime
Δc π i Δcredit
Δc(−1) −0.226 0.164 0.290 −0.305
(0.14) (0.06) (0.12) (0.16)
Δc(−2) −0.68e–5 0.040 0.114 −0.151
(0.01) (0.05) (0.13) (0.19)
π(−1) 0.005 0.534 0.719 0.187
(0.25) (0.15) (0.39) (0.53)
π(−2) −0.349 0.668 0.040 −0.670
(0.27) (0.12) (0.19) (0.32)
i(−1) 0.300 −0.023 0.602 −0.147
(0.17) (0.09) (0.22) (0.32)
i(−2) −0.155 −0.161 0.013 0.170
(0.15) (0.05) (0.09) (0.14)
Δcredit(−1) 0.442 −0.063 0.07 0.908
(0.15) (0.05) (0.09) (0.15)
Δcredit(−2) −0.288 0.039 −0.066 −0.265
(0.13) (0.06) (0.10) (0.19)
Constant 2.808 0.014 −1.467 6.676
(2.36) (0.68) (1.02) (2.14)
Note: Newey-West heteroskedasticity and autocorrelation consistent standard errors in parentheses.