A simple enquiry on heterogeneous lending rates and lending behaviour



GENERAL UNRESTRICTED MODEL

EQUATION FOR THE SHARE OF CREDIT GRANTED TO THE LARGEST SIZE CLASS
(“CLIENTS 5”)

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

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

D.P.D. RESULTS

LEVELS IV

Number of firms:     18


Observations:       504


Sample period is 1991 QII to 1998 QI

Degrees of freedom:        473

Dependent variable is:    c5_t

Instruments used are:

CONST

c5_t(-2)

c5_t(-3)

c5_t(-4)

c5_t(-5)

tat(-1)

tat(-3)

tat(-4)

tat(-4)

tat(-5)

so_u(-1)

so_u(-2)

so_u(-3)

so_u(-4)

so_u(-5)

tan(-1)

tan(-2)

tan(-3)

tan(-4)

tan(-5)

isco(-1)

tma(-1)

tma(-2)

tma(-3)

tma(-4)

tma(-5)

a1

a3

a4

a5

a6

ONE-STEP ESTIMATES WITH ROBUST TEST STATISTICS

Wald test of joint significance:     4431.770670

df =  30

df =  24

tat(-2)  tat(-4)

Wald test selected by user:

7.462959

tat tat(-1)

-2)  tan(-3)

a1        a3

Testing:c5_t(-2) c5_t(-3)
so_u so_u(-1)       tan

tma(-1)  tma(-2)  tma(-3)

a6

c5_t(-4)

tan(-1) tan(

tma(-4)

tan(

-4)       tma

a4        a5

Var             Coef

Std. Error

T-Stat

P-Value

CONST      -0.138288

0.156984

-0.880902

0.378371

c5_t(-1)       2.942707

2.112914

1.392725

0.163703

c5_t(-2)      -2.005299

2.092366

-0.958388

0.337867

c5_t(-3)       0.174508

0.296365

0.588829

0.555976

c5_t(-4)      -0.011989

0.141317

-0.084839

0.932390

tat       0.027344

0.027825

0.982712

0.325749

tat(-1)       -0.013846

0.014940

-0.926768

0.354047

tat(-2)        0.004455

0.010317

0.431821

0.665872

tat(-3)       -0.003635

0.005215

-0.697092

0.485745

tat(-4)       -0.003304

0.006173

-0.535252

0.592476

so_u      -0.081250

0.166762

-0.487221

0.626102

so_u(-1)        0.120028

0.180136

0.666317

0.505209

so_u(-2)       -0.060010

0.052729

-1.138082

0.255086

so_u(-3)       0.084269

0.064958

1.297276

0.194536

so_u(-4)       -0.119746

0.099812

-1.199712

0.230251

tan      -0.007168

0.014392

-0.498050

0.618448

tan(-1)        0.008115

0.013108

0.619095

0.535854

tan(-2)        0.001665

0.004124

0.403840

0.686330

tan(-3)        0.000392

0.001968

0.199169

0.842131

tan(-4)        0.001837

0.002366

0.776374

0.437528

isco       0.001490

0.001720

0.866275

0.386339

tma      -0.024440

0.023699

-1.031243

0.302427

tma(-1)        0.007476

0.009783

0.764128

0.444791

tma(-2)        0.002505

0.006351

0.394353

0.693320

tma(-3)      -0.001077

0.003461

-0.311090

0.755733

tma(-4)        0.005157

0.006172

0.835599

0.403381

a1       0.000255

0.003423

0.074583

0.940547

a3       0.006086

0.007869

0.773465

0.439247

a4       0.003671

0.004724

0.777195

0.437044

a5       0.010938

0.013995

0.781585

0.434458

a6       0.002276

0.009911

0.229597

0.818405

Robust test for first-order

serial correlation:    -0.

978

[     18 ]

Robust test for second-order

serial correlation:     1.

005

[     18 ]

37



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