Table 1 Interest rate sensitivity on...

Table 1

Interest rate sensitivity on PSI/FINAME loans

	(1)	(2)	(3)	(4)	(5)	(6)	(7)	(8)	(9)	(10)	(11)	(12)
Variables	Average loan vales						Sum of loan values
Samples	Pooled		General capital goods		Capital goods – trucks and buses		Pooled		General capital goods		Capital goods – trucks and buses
Rate	−0.233***	−0.255***	−0.310***	−0.576***	−0.0740***	−0.0879***	−0.145***	−0.115	−0.404**	−0.00143	−0.414***	−0.143
Rate	(0.0217)	(0.0739)	(0.0550)	(0.0844)	(0.0207)	(0.0287)	(0.0535)	(0.162)	(0.177)	(0.273)	(0.0723)	(0.127)
Lag rate		−0.0225		0.139**		−0.0190		0.357***		0.395*		0.132
Lag rate		(0.0532)		(0.0644)		(0.0226)		(0.117)		(0.208)		(0.0962)
Lead rate		0.0600		0.334***		0.0630*		−0.368***		−0.906***		−0.436***
Lead rate		(0.0548)		(0.0712)		(0.0334)		(0.120)		(0.230)		(0.101)
Dummy end of phase		0.193*		0.514***		0.133**		1.070***		0.948***		0.620***
Dummy end of phase		(0.102)		(0.104)		(0.0569)		(0.224)		(0.338)		(0.204)
Unemployment rate	0.00216	0.0402	−0.0580	0.0308	0.0299	0.0547**	0.126	0.142	0.264	0.194	0.105	0.0788
Unemployment rate	(0.0473)	(0.0504)	(0.0574)	(0.0495)	(0.0321)	(0.0269)	(0.117)	(0.111)	(0.185)	(0.160)	(0.109)	(0.0971)
Avg Selic rate	0.207***	0.190***	0.210***	0.0570	0.0836**	0.0489*	0.155*	0.101	0.501***	0.541***	0.294***	0.290***
Avg Selic rate	(0.0367)	(0.0374)	(0.0543)	(0.0511)	(0.0315)	(0.0261)	(0.0905)	(0.0821)	(0.175)	(0.165)	(0.107)	(0.100)
Sum of coefficients: Rate + Lag rate + Lead rate	−0.23***	−0.22***	−0.31***	−0.10*	−0.07***	−0.04**	−0.15***	−0.13**	−0.40**	−0.51***	−0.41***	−0.45***
Rate and Selic coeff. Symmetry test (p-value)	0.48	0.38	0.015	0.18	0.59	0.71	0.89	0.71	0.45	0.8	0.09	0.01
AR test (p-value)	0.00	0.00	0.18	0.64	0.00	0.013	0.00	0.00	0.67	0.98	0.764	0.95
Observations	152	148	76	74	76	74	152	148	76	74	76	74
R-squared	0.476	0.495	0.416	0.649	0.723	0.816	0.424	0.569	0.429	0.657	0.723	0.816

	(1)	(2)	(3)	(4)	(5)	(6)	(7)	(8)	(9)	(10)	(11)	(12)
Variables	Average loan vales						Sum of loan values
Samples	Pooled		General capital goods		Capital goods – trucks and buses		Pooled		General capital goods		Capital goods – trucks and buses
Rate	−0.233***	−0.255***	−0.310***	−0.576***	−0.0740***	−0.0879***	−0.145***	−0.115	−0.404**	−0.00143	−0.414***	−0.143
Rate	(0.0217)	(0.0739)	(0.0550)	(0.0844)	(0.0207)	(0.0287)	(0.0535)	(0.162)	(0.177)	(0.273)	(0.0723)	(0.127)
Lag rate		−0.0225		0.139**		−0.0190		0.357***		0.395*		0.132
Lag rate		(0.0532)		(0.0644)		(0.0226)		(0.117)		(0.208)		(0.0962)
Lead rate		0.0600		0.334***		0.0630*		−0.368***		−0.906***		−0.436***
Lead rate		(0.0548)		(0.0712)		(0.0334)		(0.120)		(0.230)		(0.101)
Dummy end of phase		0.193*		0.514***		0.133**		1.070***		0.948***		0.620***
Dummy end of phase		(0.102)		(0.104)		(0.0569)		(0.224)		(0.338)		(0.204)
Unemployment rate	0.00216	0.0402	−0.0580	0.0308	0.0299	0.0547**	0.126	0.142	0.264	0.194	0.105	0.0788
Unemployment rate	(0.0473)	(0.0504)	(0.0574)	(0.0495)	(0.0321)	(0.0269)	(0.117)	(0.111)	(0.185)	(0.160)	(0.109)	(0.0971)
Avg Selic rate	0.207***	0.190***	0.210***	0.0570	0.0836**	0.0489*	0.155*	0.101	0.501***	0.541***	0.294***	0.290***
Avg Selic rate	(0.0367)	(0.0374)	(0.0543)	(0.0511)	(0.0315)	(0.0261)	(0.0905)	(0.0821)	(0.175)	(0.165)	(0.107)	(0.100)
Sum of coefficients: Rate + Lag rate + Lead rate	−0.23***	−0.22***	−0.31***	−0.10*	−0.07***	−0.04**	−0.15***	−0.13**	−0.40**	−0.51***	−0.41***	−0.45***
Rate and Selic coeff. Symmetry test (p-value)	0.48	0.38	0.015	0.18	0.59	0.71	0.89	0.71	0.45	0.8	0.09	0.01
AR test (p-value)	0.00	0.00	0.18	0.64	0.00	0.013	0.00	0.00	0.67	0.98	0.764	0.95
Observations	152	148	76	74	76	74	152	148	76	74	76	74
R-squared	0.476	0.495	0.416	0.649	0.723	0.816	0.424	0.569	0.429	0.657	0.723	0.816

Note(s): Monthly data by the two main PSI/FINAME subprograms, General Capital Goods (Capital goods – others) and Capital goods – Trucks and Buses from September 2009 to December 2015. Dependent variable: ln(mean contract loan value) for columns 1–6 and ln(total loan contracted) for columns 7–12. Rate is the financial cost of the loan (in annual p.p.). Dummy end of phase is a dummy for a program phase with no pre-announced extension. Unemployment rate is from IBGE in % of the labor force and the Avg Selic rate is the monthly average of the daily reference Selic rate of public debt, used as benchmark rate in the Brazilian economy and monetary levy in the Inflation Targeting inflation policy by the Central Bank. AR test(p-value) is a first order autocorrelation Breush-Godfrey test. Autocorrelation robust standard errors are used when needed in non-pooled cases (column 3). Coefficient significant tests p-value: ***p < 0.01, **p < 0.05, *p < 0.1

Source(s): Author’s calculations based on raw data from BNDES

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