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



Table 6

PFMOLS estimates of equation (7.6)

Regressors

(1)

(2)

Size

Liquidity

Capitalisation

(3)

(4)

(5)

(6)

(7)

(8)

ln(D / P)u

0.513

(21.68)

0.707

(29.16)

0.600

(13.80)

0.438

(10.01)

0.527

(15.31)

0.716

(21.23)

0.290

(10.89)

0.679

(26.06)

ln(D / Pt. d96

0.239

(6.48)

0.046

(2.63)

0.157
(4.89)

0.046
(2.90)

0.215

(5.99)

0.004

(0.22)

0.224
(6.06)

0.087
(5.00)

ln( D / P )й. zit

0.151

(8.36)

0.044
(2.61)

0.245

(3.62)

0.067

(1.35)

-3.934

(-16.82)

-1.074

(-10.39)

ln(K / P)u

0.296

(4.85)

-0.415

(-7.59)

0.292

(4.95)

0.601

(8.75)

ln(K / P)t.d96

-0.293

(-5.88)

-0.161

(-3.68)

-0.321

(-6.72)

-0.240

(-4.85)

ln(k / p) it. zt

-0.102

(-3.15)

-0.412

(-2.49)

5.918

(11.46)

lt

15.146

(11.94)

12.655

(9.72)

17.031

(15.72)

17.772

(15.99)

12.137

(9.75)

9.411

(7.29)

17.169

(13.88)

12.959

(9.75)

ltd 96

15.090
(2.59)

11.453

(1.94)

9.225

(1.87)

17.582

(3.32)

12.720

(2.36)

4.388

(0.79)

16.397
(3.03)

9.039
(1.56)

ltzit

0.746

(1.23)

102.367

(8.54)

123.174

(10.16)

24.914

(0.37)

st

-9.808

(-7.13)

-9.565

(-6.74)

-9.648

(-8.28)

-10.852

(-8.52)

-7.597

(-5.78)

-6.804

(-4.94)

-9.501

(-7.35)

-8.604

(-6.14)

std 96

-25.165

(-2.80)

-16.445

(-1.79)

-16.648

(-2.19)

-25.452

(-3.09)

-21.572

(-2.59)

-4.363

(-0.50)

-25.734

(-3.09)

-13.877

(-1.54)

stzit

-1.179

(-1.91)

-74.449

(-6.61)

-91.884

(-8.15)

20.347

(1.59)

πt

-3.632

(-3.42)

-1.211

(-1.14)

-8.316

(-9.00)

-7.439

(-7.67)

-1.386

(-1.36)

0.502

(0.48)

-7.019

(-6.75)

-4.176

(-3.90)

zit

0.349
(4.52)

0.276
(4.75)

-8.515

(-13.71)

-9.215

(-14.18)

-5.193

(-4.25)

-1.045

(-3.20)

Spread restriction

(-1.45)

(-0.56)

(0.02)

(-0.15)

Legend: see Table 5.

32



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