RDP 9206: Loan Rate Stickiness: Theory and Evidence Appendix 2: Regressions Using the Change in Interest Rates

Philip Lowe and Thomas Rohling

June 1992

REGRESSIONS USING THE CHANGE IN INTEREST RATES
1986:1 1991:8
ΔLending ratet = α + ΣβiΔCDratet+i + εt
LENDING
RATE		 No Lags Sum of Coefficients {marginal significance level for
hypothesis test that Σβ=1}
α β1 Number of Lags
0 3 6 9
Personal
(OECD)		 −0.01
(0.04)		 0.07
(0.08)		 0.12
{0.00}		 0.31
{0.00}		 0.35
{0.00}		 0.40
{0.00}
Standard −0.003
(0.07)		 0.30
(0.10)		 0.43
{0.00}		 0.81
{0.03}		 0.86
{0.16}		 0.90
{0.42}
Base (Small) −0.02
(0.05)		 0.45
(0.09)		 0.54
{0.00}		 0.88
{0.01}		 0.92
{0.09}		 0.89
{0.06}
Base (Large) −0.02
(0.04)		 0.66
(0.07)		 0.71
{0.00}		 0.93
{0.14}		 0.96
{0.46}		 0.92
{0.16}
Credit Card 0.05
(0.02)		 0.001
(0.02)		 0.003
{0.00}		 0.001
{0.00}		 −0.02
{0.00}		 −0.01
{0.00}
Housing
Loans		 −0.03
(0.05)		 0.18
(0.09)		 0.28
{0.00}		 0.46
{0.00}		 0.51
{0.00}		 0.59
{0.00}

Notes:
1. Standard errors are in parentheses () below coefficient estimates, and marginal significance levels are in curly brackets {} below summed coefficient estimates.
2. The parameters in the first two columns are estimated from 1986:1 to 1991:8 for except for the standard rate, which is estimated from 1986:1 to 1990:4 and the housing rate, which is estimated from 1986:7 to 1991:8. For all estimation in which lags are included, estimation is 1986:10 to 1991:8, except for the housing rate, which begins in 1987:4, and the standard rate, which is estimated from 1986:10 to 1990:4.