The bank lending channel of monetary policy: identification and estimation using Portuguese micro bank data



Table 5

PFMOLS estimates of equations (7.1) and (7.2)

Regressors

(1)

(2)

Size

Liquidity

Capitalisation

(3)

(4)

(5)

(6)

(7)

(8)

ln(D / P)u

0.615

(24.83)

0.721

(28.99)

0.676

(14.61)

0.490

(10.86)

0.633

(18.38)

0.717

(21.34)

0.409

(14.97)

0.713

(26.26)

ln(D / P∖t. zit

0.156

(8.16)

0.049
(2.80)

-0.051

(-0.75)

0.027
(0.54)

-3.947

(-16.23)

-0.747

(-6.97)

ln(K / P)u

0.156
(3.00)

-0.525

(-10.11)

0.130

(2.74)

0.470
(7.89)

ln( K / P )lt. z1t

-0.101

(-3.03)

0.022

(0.13)

6.462

(12.14)

lt

19.318

(15.00)

16.734

(12.96)

17.953

(16.14)

22.262

(18.91)

14.787

(12.10)

12.839

(10.34)

22.187
(18.01)

16.617

(12.40)

ltzit

0.523

(0.81)

101.926

(8.40)

111.513

(9.30)

24.639

(1.79)

st

-15.905

(-11.85)

-14.442

(-10.77)

-11.767

(-10.22)

-16.110

(-13.24)

-11.835

(-9.55)

-10.801

(-8.59)

-17.096

(-13.63)

-13.595

(-10.08)

stzit

-1.410

(-2.26)

-72.969

(-6.38)

-79.466

(-7.10)

13.953
(1.04)

πt

-2.504

(-2.24)

-1.114

(-1.02)

-7.538

(-7.66)

-6.476

(-6.45)

-0.470

(-0.45)

0.635

(0.61)

-5.114

(-4.70)

-3.069

(-2.76)

zit

0.411

(5.04)

0.214
(3.55)

-8.213

(-13.27)

-9.005

(-14.26)

-6.589

(-5.15)

-0.444

(-1.32)

Spread restriction

(4.30)

(2.98)

—

(8.79)

—

—

—

(3.81)

Legend:

t-statistics in parenthesis.

ln(D/ P) = natural log of total deposits deflated by the consumer price index
ln(K/ P) = natural log of total capital deflated by the consumer price index
lt = interest rate on long term loans in decimals (five year loans)

st = short term interest rate on Portuguese money market in decimals (Lisbor)
πt = inflation rate in decimals (fourth differences of log CPI)

zit = measure of bank specific characteristic (size, liquidity or capitalisation)

29



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