A simple enquiry on heterogeneous lending rates and lending behaviour



The results of the estimates and the “variable deletion tests” which have determined the final and
“parsimonious “ specification are reported in the appendix. The final “parsimonious” specification yields
the estimates of Table 2.

TABLE 2

FINAL “PARSIMONIOUS” SPECIFICATION

EQUATION FOR THE SPREAD BETWEEN INTEREST RATES ON BANK OVERDRAFT AND
MONETARY POLICY RATE (INTEREST RATE ON LOANS BY THE BANK OF ITALY)

The data employed for the estimates cover the period 1990 QI - 1998 QIV

++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++

D.P.D. RESULTS

LEVELS IV

Number of firms:     54       Sample period is 1991 QII to 1998 QI

Observations:      1512       Degrees of freedom:      1497

Dependent variable is:    ta_d

Instruments used are:

CONST ta-d(-2) so_u(-1) so_u(-2) tdif(-4) tdif(-5)        c3       c4

a1        a3        a4        a5        a6 IND DUMS

ONE-STEP ESTIMATES WITH ROBUST TEST STATISTICS

Wald test

of joint significance:

2230.202567

df =

12

Wald test

- jt sig of

ind dums:

1.571201

df =

2

Var

Coef

Std. Error

T-Stat

P-Value

CONST

1.302663

1.159927

1.123056

0.261414

ta_d(-1)

0.748006

0.124735

5.996774

0.000000

so_u

5.543778

6.650326

0.833610

0.404501

so_u(-1)

-5.534232

6.553838

-0.844426

0.398431

tdif(-3)

-0.958507

1.332951

-0.719086

0.472088

tdif(-4)

0.750205

0.976935

0.767917

0.442537

c3

0.057856

1.302231

0.044429

0.964563

c4

0.072287

1.034254

0.069893

0.944279

a1

-0.032614

0.085680

-0.380652

0.703462

a3

0.125009

0.094511

1.322695

0.185937

a4

0.249281

0.109245

2.281853

0.022498

a5

0.393597

0.210871

1.866527

0.061968

a6

0.303455

0.241046

1.258909

0.208063

I2

-0.247605

0.198526

-1.247216

0.212318

I3

-0.392050

0.325261

-1.205340

0.228072

Robust test for first-order serial correlation:    -2.878 [   54 ]

Robust test for second-order serial correlation:    -0.386 [   54 ]

The variables referred to the overdue bank credits (“so_u” and “so_u(t-1)”) are only significant at
a level of confidence of around 60%, while “tdiff(-3)” and “tdif(-4)” (capturing the bargaining power of
the banks) are only significant at a level of confidence of 53% and 56% respectively, although they were
much more significant in the “general unrestricted model”, which also did not support a linear restriction

23



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