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



More intriguing information

1. Novelty and Reinforcement Learning in the Value System of Developmental Robots
2. An Efficient Secure Multimodal Biometric Fusion Using Palmprint and Face Image
3. Naïve Bayes vs. Decision Trees vs. Neural Networks in the Classification of Training Web Pages
4. The name is absent
5. The name is absent
6. Julkinen T&K-rahoitus ja sen vaikutus yrityksiin - Analyysi metalli- ja elektroniikkateollisuudesta
7. Skills, Partnerships and Tenancy in Sri Lankan Rice Farms
8. The name is absent
9. Multi-Agent System Interaction in Integrated SCM
10. The name is absent