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

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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

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

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