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

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
	Δ_y	π	i	Δcredit
Δ_y(−1)	−0.047	−0.030	−0.063	0.106
	(0.11)	(0.04)	(0.05)	(0.12)
Δ_y(−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.

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