product financial sample t ecm adf pp kpss dfgls ers np ... · 2 table a1. tests for a long-run...

1

Table A1. Tests for a Long-Run Equilibrium Between Retail Rates and the Official Rate (Top 15)

Product Financial Sample T ECM ADF PP KPSS DFGLS ERS NPInstitution Period Wald

B-Sav-Instant LT (£2.5K) BK1 1996:5-2004:9 101 x x x √ x x xBK2 1996:5-2003:10 90 x x x √ x x xBK3 1996:5-2004:9 101 √ x x √ √ √ √BK5 1996:5-2004:9 101 √ √ √ √ √ √ √BK6 1996:6-2002:4 71 √ √ √ √ x x xBK10 1996:5-2004:9 101 √ √ √ √ x x x

BKS10 1996:5-2004:9 101 x x x √ √ √ √BK12 1996:6-2003:1 80 √ √ √ √ √ √ √BK13 1996:5-2002:12 80 √ √ √ √ √ √ √BK14 1996:5-2004:9 101 √ x x √ √ √ √BK17 1996:5-2004:9 101 x x √ x √ √ √

B-Sav-Instant MT (£10K) BK1 1996:5-2004:9 101 x x x √ √ √ √BK2 1996:5-2003:10 90 √ √ x √ x x xBK3 1996:5-2004:9 101 x x x √ √ √ √BK5 1996:5-2004:9 101 √ √ √ √ √ √ √BK6 1996:6-2002:4 71 √ √ √ √ √ x xBK10 1996:5-2004:9 101 √ √ √ √ x x xBKS8 1996:5-2004:9 101 √ √ √ √ √ √ √

BKS10 1996:5-2004:9 101 √ √ x √ √ √ √BK12 1996:6-2003:1 80 √ √ √ √ √ √ √BK13 1996:5-2002:12 80 x √ √ √ √ x xBK14 1996:5-2004:9 101 √ x x √ √ √ √BK17 1996:5-2004:9 101 x x √ x √ √ √

B-Sav-Instant HT (£250K) BK1 1996:5-2004:9 101 √ x x √ √ √ √BK2 1996:5-2003:10 90 √ √ x √ x x xBK3 1996:5-2004:9 101 √ √ √ √ √ √ √BK5 1996:5-2004:9 101 x √ √ √ √ x √BK7 1999:10-2004:9 60 √ √ √ √ √ √ √BK10 1996:5-2004:9 101 √ √ √ √ √ √ √BKS8 1996:5-2004:9 101 x √ √ √ √ √ √

BKS10 1996:5-2004:9 101 √ √ √ √ √ x √BK12 1996:6-2003:1 80 √ √ √ √ √ √ √BK13 1996:5-2002:12 80 √ √ √ √ √ √ √BK14 1996:5-2004:9 101 x √ √ √ √ √ √BK17 1996:5-2004:9 101 √ √ √ √ √ √ √

B-Sav 30 day LT (£2.5K) BK10 1996:5-2001:7 63 x x x √ x x xBK13 1998:11-2002:12 50 √ x x √ x x x

B-Sav 30 day MT (£10K) BK10 1996:5-2001:7 63 √ x x √ x x xBK13 1998:11-2004:9 71 x x √ √ x x xBK14 1996:11-2004:9 101 √ √ √ √ √ √ √

B-Sav 30 day HT (£250K) BK3 1998:12-2004:9 70 √ √ √ √ x x xBK10 1996:5-2001:7 63 √ x x √ √ x √BK13 1998:11-2004:9 71 √ x √ √ x x xBK14 1996:11-2004:9 95 √ x x x √ √ √

B-Sav Postal LT (£2.5K) BK5 1997:7-2004:9 87 x x √ √ x x xB-Sav Postal MT (£10K) BK5 1997:7-2004:9 87 x x x √ x x xB-Sav Postal LT (£250K) BK5 1997:7-2004:9 87 x x x √ x x x

Abbreviations:

T: number of observations ECM Wald: error correction model Wald testADF: augmented Dickey-Fuller testPP: semiparametric Phillips-Perron testKPSS: Kwiatkowski, Phillips, Schmidt, and Shin testDFGLS: Dickey-Fuller test with GLS detrending ERS: Elliot, Rothenberg, and Stock point optimal testNP: modified form of Phillips-Perron statistic based on GLS detrended data & the residual spectrum at frequency zeroLT / MT / HT: low tier / medium tier / high tierBK / BKS : bank / bank subsidiary that offers banking services

x: failed the test; √: passed the test

2

Table A1. Tests for a Long-Run Equilibrium Between Retail Rates and the Official Rate (Top 15) cont.

Product Financial Sample T ECM ADF PP KPSS DFGLS ERS NP Institution Period Wald

H-Sav Instant LT (£500) BK1 1993:1-2003:12 132 x x x x x x xBK2 1997:5-2002:12 68 √ √ √ √ √ x √BK3 1994:11-2003:12 110 √ x x √ x x xBK5 1993:1-2003:5 125 √ √ √ √ √ √ √BK8 1993:1-2004:8 140 x x x x x x x

BKS9 1993:1-2004:8 140 √ √ √ √ √ √ √BKS10 1993:1-2004:8 140 x x x x x x xBK12 1993:1-2004:8 140 √ √ √ √ x x xBK13 1993:1-2004:8 140 x x x x x x xBK14 1993:1-2004:8 140 √ √ √ √ √ √ √BK16 1995:11-2004:8 106 √ x x x x x xBK17 1997:5-2004:8 88 √ x x √ x x xBK24 1997:7-2004:2 80 x x x √ x x xBK23 1993:1-2004:8 140 x x √ √ x x √

H-Sav Instant MT (£5K) BK1 1999:10-2004:8 59 x x x √ x x xBK2 1997:5-2002:12 68 √ √ √ √ √ √ √BK3 1994:11-2003:12 110 √ √ √ √ x x xBK5 1993:1-2003:5 125 √ √ √ √ √ √ √BK8 1993:1-2004:8 140 x x x √ x x x

BKS8 1995:8-2000:10 63 √ √ √ √ √ √ √BKS9 1993:1-2004:8 140 √ √ √ √ √ √ √

BKS10 1993:1-2004:8 140 x x x x x x xBK12 1993:1-2004:8 140 x x x x √ √ √BK13 1993:1-2004:8 140 x x x x x x xBK14 1993:1-2004:8 140 √ x √ √ x x xBK16 1995:11-2004:8 106 √ x x √ x x xBK17 1997:5-2004:8 88 √ x x √ x x xBK24 1997:7-2004:2 80 x x x √ x x xBK23 1993:1-2004:8 140 x x √ √ x x x

H-Sav Instant HT (£10K) BK1 1999:10-2004:8 59 x x x √ x x xBK2 1997:5-2002:12 68 √ √ √ √ √ √ √BK3 1994:11-2003:12 110 √ √ √ √ x x xBK5 1993:1-2003:5 125 √ √ √ √ √ √ √BK8 1993:1-2004:8 140 √ x x √ x x x

BKS8 1995:8-2000:10 63 √ √ √ √ √ √ √BKS9 1993:1-2004:8 140 √ √ √ √ √ √ √

BKS10 1993:1-2004:8 140 x x x x x x xBK12 1993:1-2004:8 140 x x √ √ √ √ xBK13 1993:1-2004:8 140 x x x √ x x xBK14 1993:1-2004:8 140 √ x √ √ x x xBK16 1995:11-2004:8 106 √ x x √ x x xBK17 1997:5-2004:8 88 √ x x √ x x xBK24 1997:7-2004:2 80 x x x √ x x xBK23 1999:4-2004:8 65 x x √ √ x x x

Abbreviations: see page one of table

3



H-Sav 30 day LT (£500) BK5 1998:7-2003:12 66 √ x x √ √ √ √BK17 1998:3-2003:7 65 x x x √ x x xBK24 1996:4-2004:6 99 √ x x √ x x xBK23 1993:1-2004:5 137 √ √ √ √ √ √ √

H-Sav 30 day MT (£5K) BK1 1997:6-2001:10 53 √ x x √ x x xBK2 1999:4-2004:3 60 x x x √ √ √ √BK3 1998:7-2003:12 66 √ x x √ √ x xBK5 1996:8-2003:5 82 √ √ √ √ √ x √BK14 1993:11-2004:7 129 √ √ √ x x x xBK17 1998:3-2003:7 65 x √ √ √ x x xBK24 1996:4-2004:6 99 √ x x √ x x x

H-Sav 30 day HT (£10K) BK1 1997:6-2001:10 53 √ √ √ √ √ √ √BK2 1999:4-2004:3 60 x √ x √ √ √ √BK3 1998:7-2003:12 66 √ x x √ x x xBK5 1996:8-2003:5 82 √ √ x √ √ √ √BK14 1993:11-2004:7 129 √ √ √ x x x xBK17 1998:3-2003:7 65 x √ √ √ x x xBK24 1996:4-2004:6 99 x x x √ x x xBK23 1993:1-2004:5 137 x x √ √ x x x

H-Sav 60 day LT (£500) BK17 1998:2-2004:8 79 x √ √ √ √ √ √H-Sav 60 day MT (£5K) BK5 1997:9-2003:5 69 x x x √ √ x x

BKS9 1993:1-1998:5 65 √ √ √ √ √ x xBKS10 1997:5-2004:8 88 √ √ x √ √ √ √BK12 1993:1-2004:8 140 √ x x √ √ √ √BK17 1998:2-2004:8 79 √ x √ √ x x x

H-Sav 60 day HT (£10K) BK5 1997:9-2003:5 69 √ √ √ √ √ x √BKS9 1993:1-1998:5 65 √ √ √ √ x x x

BKS10 1997:5-2004:8 88 √ x √ √ x x xBK12 1993:1-2004:8 140 x x √ √ x x xBK17 1998:2-2004:8 69 √ √ √ √ √ x x

H-Sav 90 day LT (£500) BK1 1993:1-1997:5 53 √ x x √ x x xBK8 1996:8-2004:8 97 √ √ √ √ x x xBK23 1996:5-2004:8 100 √ x √ √ √ x √

H-Sav 90 day MT (£5K) BK1 1993:1-1997:5 53 √ x x √ √ √ √BK5 1996:10-2003:12 87 √ x x √ √ √ √BK8 1996:8-2004:8 97 √ √ √ √ x x xBK14 1997:6-2002:10 65 √ x x √ x x xBK24 1994:2-2002:4 99 x x x √ x x xBK23 1993:1-2004:8 140 √ x x √ x x x

H-Sav 90 day HT (£10K) BK1 1993:1-1997:5 53 √ √ √ √ √ √ √BK3 1996:10-2003:12 87 √ √ √ √ √ √ √BK8 1996:8-2004:8 97 √ x √ x x x √

BKS8 1995:8-2001:6 71 √ √ √ √ √ x √BK13 1993:1-2004:8 140 x x √ √ x x xBK14 1997:6-2004:8 87 x x x √ x x xBK24 1993:7-2002:4 106 √ √ √ x x x xBK23 1993:1-2004:8 140 √ x √ x x x x


4


Product Financial Sample T ECM ADF PP KPSS DFGLS ERS NPInstitution Period Wald

Current Accounts LT (£500) BK1 1995:6-2004:8 111 √ √ √ x x x xBK2 1994:7-2004:8 90 x x x √ x x xBK3 1993:1-2003:3 123 x x x √ x x xBK5 1993:1-2001:12 108 x x x √ √ √ √

BKS10 1993:1-2004:8 140 √ x x √ √ √ √BK12 1993:1-2004:8 140 √ x x √ √ √ √BK13 1993:1-2004:8 140 √ x x x x √ xBK14 1993:1-2004:8 140 √ x x √ √ √ √BK15 1993:1-2004:8 140 x x x √ √ √ √BK17 1993:1-2004:8 140 x x x √ √ √ √BK24 1993:1-2004:8 140 √ x x x √ √ xBK23 1993:1-2004:8 140 x x x √ x x x

Current Accounts MT (£5K) BK1 1993:1-2004:8 140 √ x x √ x x xBK2 1994:7-2004:8 122 √ x x √ √ x xBK3 1993:1-2003:3 123 x x x x x x xBK5 1993:1-2002:8 116 x √ √ √ √ √ √BK7 1993:1-2000:10 94 x √ √ √ √ √ √

BKS8 1993:1-2004:8 140 √ x √ √ x x xBKS10 1993:1-2004:8 140 x x x √ x x xBK12 1993:1-2004:8 140 x x x √ √ √ √BK13 1993:1-2004:8 140 x x x √ √ √ √BK14 1993:1-2004:8 140 x x x √ √ √ √BK15 1993:1-2004:8 140 √ x x √ x x xBK17 1993:1-2004:8 140 √ x x √ √ √ √BK24 1993:1-2004:8 140 √ x x √ x x xBK23 1993:1-2004:8 140 x x x √ √ √ √

Current Accounts HT (£10K) BK1 1993:1-2004:2 134 √ x x √ x x xBK2 1994:7-2004:8 122 x x x √ x x xBK3 1993:1-2003:3 123 x x x x x x xBK5 1993:1-2002:8 116 x √ √ √ √ √ √BK7 1993:1-2000:10 94 x √ √ √ √ √ √

BKS8 1993:1-2000:10 94 √ x √ √ x √ xBKS10 1993:1-2004:8 140 x x x x x x xBK12 1993:1-2004:8 140 x x x √ √ √ √BK13 1993:1-2004:8 140 x x x √ x x xBK14 1993:1-2004:8 140 √ x x √ √ √ √BK15 1993:1-2004:8 140 √ x x √ x x xBK17 1993:1-2004:8 140 √ x x √ √ √ √BK24 1993:1-2004:8 140 √ x x x x x xBK23 1993:1-2004:8 140 x x x √ √ √ √

Internet Current Accounts BKS9 2000:8-2004:8 49 √ x x √ x x x


5



Unsecured Personal Loans BK1 1993:1-2004:8 140 √ √ √ √ x x xBK2 1993:1-2004:8 140 √ x x x x x xBK5 1993:8-2004:8 133 x x x √ x x xBK5 1993:1-2004:8 140 √ x x √ √ √ √

BK10 1993:1-2004:8 140 x √ x x x x xBKS9 1996:4-2004:8 101 √ x x √ √ x √BKS10 1993:1-2004:8 140 √ √ x √ √ √ √BK12 1993:1-2004:8 140 √ x x x x x xBK13 1993:1-2004:8 140 x x x √ x x xBK14 1993:1-2004:8 140 x √ √ x x x xBK15 1996:5-2004:8 100 x x x √ x x xBK17 1993:1-2004:8 140 √ x x √ x x xBK24 1993:1-2004:8 140 x x x x x x xBK23 1993:1-2004:8 140 √ x x x √ x x

Credit cards BK1 1996:3-2004:8 102 x √ √ √ √ √ √BK2 1994:7-2004:8 122 x x x √ x x xBK5 1993:1-2004:2 134 x √ √ x x x xBK5 1993:1-2004:8 140 x √ √ √ √ x √

BK10 1993:2-2001:7 102 x x x √ x x xBKS8 1993:1-2004:8 140 √ x x √ x x xBKS9 1993:1-2004:8 140 x x x √ x x xBKS10 1993:1-2004:2 134 x x x x x x xBK12 1993:1-2004:8 140 x x x √ x x xBK13 1998:8-2004:8 73 x x √ √ x x xBK14 1993:1-2004:8 140 √ √ √ √ √ √ √BK17 1993:12-2004:8 129 x x x √ x x xBK24 1997:12-2004:8 81 x x x √ x x xBK23 1993:1-2004:8 140 √ x x √ x x x

Mortgages BK1 1993:1-2004:8 140 x x x √ √ √ √BK2 1993:1-2004:8 140 x x x √ √ x xBK5 1993:1-2004:8 140 √ x x √ x x xBK5 1993:1-2004:8 140 x x x √ x x xBK7 1993:1-2004:8 140 √ x x √ √ √ √BK8 1993:1-2004:8 140 x x √ √ √ x x

BKS8 1993:1-2004:8 140 x x √ √ √ x xBKS9 1993:1-2004:8 140 x x x √ x x xBKS10 1993:1-2004:8 140 x x x √ x x xBK14 1993:1-2004:8 140 x x √ √ √ x xBK15 1993:1-2004:8 140 √ x √ √ √ x xBK17 1993:1-2004:8 140 x x x √ x x xBK24 1993:1-2004:8 140 x x x √ x x xBK23 1993:1-2004:8 140 x x √ √ √ √ √


6

Table A2. Short and Long Run Behaviour (Deposit Products)

The table reports the short and long-run response of retail rates to a change in the

official rate, based on the estimation of equation (3), for deposit products.

The summary results are reported in Table 2 - See paper.

The sample period is 1993:01 to 2004:09.

Abbreviations:CA: current accounts H-Sav: household saving accountsB-Sav: business saving accountsT: time-series dimension (sample size)N: cross-section dimension (sample size)A: measure of mark downC: measure of pass-throughx t : retail ratey t : official bank rate

BK: bankBKS: bank subsidiary that offers banking servicesBS: building societyFB: foreign owned bankPBK: privately owned domestic bankLRER: long run equilibrium rate

7

Table A2. Short-run and long-run behaviour (sorted by %error closed within one month)

B-Sav Instant Sample T Short run Long runLow tier (£2.5K) period % error closed % error closed Equilibrium path (LRER) Average LRER

in j months in 1 month x*t = A + C y t

(% error) ( j ) (y is official rate)

BK18 1997:12-2004:9 82 91.3 1 91.3 -0.493 + 0.999 y 4.646BS40 2002:2-2004:9 56 81.7 1 81.7 -1.888 + 0.928 y 2.387BS20 2008:8-2004:9 50 67.5 1 67.5 -1.841 + 1.051 y 2.827BS7 1996:5-2004:9 101 49.8 1 49.8 -2.491 + 1.059 y 3.164FB3 1996:5-2004:9 101 47.9 1 47.9 -3.130 + 0.934 y 1.858BS15 1996:5-2004:9 101 40.8 1 40.8 -3.517 + 1.117 y 2.448BK6 1996:6-2002:4 71 38.8 1 38.8 -3.402 + 0.820 y 1.435BS15 1996:5-2004:9 101 28.8 1 28.8 -3.866 + 1.090 y 1.955BK15 1996:5-2004:9 101 24.6 1 24.6 -3.487 + 0.981 y 1.752BK12 1996:6-2003:1 80 24.5 1 24.5 -4.001 + 1.054 y 2.016PBK5 1996:5-2004:9 101 20.8 1 20.8 -2.446 + 0.983 y 2.803BS8 1996:5-2004:9 101 20.7 1 20.7 -2.769 + 0.925 y 2.171BS38 1998:11-2004:9 71 20.2 1 20.2 -3.175 + 0.878 y 1.043BS36 1996:5-2004:9 101 19.3 1 19.3 -2.176 + 1.113 y 3.767BK9 1996:5-2004:9 101 19.0 1 19.0 -3.263 + 0.893 y 1.506BS43 1996:5-2004:9 101 17.8 1 17.8 -2.598 + 0.865 y 2.021BS9 1996:5-2004:9 101 15.5 1 15.5 -1.813 + 0.682 y 1.829BS5 1996:5-2004:9 101 29.1 2 14.6 -1.531 + 0.732 y 2.378BS27 1996:5-2004:9 101 14.1 1 14.1 -1.995 + 0.711 y 1.802BS32 1996:5-2004:9 101 13.1 1 13.1 -2.799 + 0.872 y 1.857BK10 1996:5-2004:9 101 12.2 1 12.2 -3.572 + 0.923 y 1.357BK5 1996:5-2004:9 101 12.0 1 12.0 -3.248 + 0.923 y 1.681BS14 1996:5-2004:9 101 11.3 1 11.3 -6.339 + 1.751 y 3.011BK13 1996:5-2002:12 80 10.8 1 10.8 -2.614 + 0.800 y 1.953BS17 1996:5-2004:9 101 10.5 1 10.5 -1.802 + 0.873 y 2.860BK3 1996:5-2004:9 101 8.90 1 8.90 -0.689 + 0.708 y 3.092BK14 1996:5-2004:9 101 8.80 1 8.80 -1.477 + 0.645 y 1.967BK21 1996:5-2004:9 101 8.10 1 8.10 -2.184 + 0.672 y 1.404BS6 1996:5-2004:9 101 7.80 1 7.80 -1.251 + 0.371 y 0.730BS28 1996:5-2004:9 101 6.20 1 6.20 -3.874 + 1.005 y 1.493BKS10 1996:5-2004:9 101 5.80 1 5.80 -2.845 + 1.036 y 2.687BS22 1996:5-2004:9 101 16.7 4 4.18 -0.196 + 0.325 y 1.540BK1 1996:5-2004:9 101 3.90 1 3.90 -1.922 + 0.685 y 1.736BK17 1996:5-2004:9 101 5.80 2 2.90 -0.603 + 0.511 y 2.126BS3 1996:5-2004:9 101 4.70 2 2.35 -1.129 + 0.408 y 1.050BK2 1996:5-2003:10 90 4.10 2 2.05 -0.589 + 0.331 y 1.226BS39 1998:12-2004:9 70 11.4 6 1.90 -0.722 + 0.308 y 0.748

Summary statistics (N=37 cases) Average 22.5 1.3 21.4 -2.371 0.837 2.063 Standard Deviation 21.1 1.0 21.6 1.263 0.281 0.823 Min 3.9 1.0 1.9 -6.339 0.308 0.730 Max 91.3 6.0 91.3 -0.196 1.751 4.646


yx CA +=*

8

Table A2. Short-run and long-run behaviour (sorted by %error closed within one month) cont.

B-Sav Instant Sample T Short run Long runMedium tier (£10K) period % error closed % error closed Equilibrium path (LRER) Average LRER



BS40 2002:2-2004:9 56 81.7 1 81.7 -1.888 + 0.928 y 2.387BK15 1996:5-2004:9 101 71.1 1 71.1 -3.266 + 1.037 y 2.272BS20 2000:8-2004:9 50 67.5 1 67.5 -1.841 + 1.051 y 2.827BS9 1996:5-2004:9 101 54.6 1 54.6 -2.636 + 0.894 y 2.138BS7 1996:5-2004:9 101 51.7 1 51.7 -2.153 + 1.039 y 3.395BKS3 1998:1-2004:9 81 50.6 1 50.6 -1.082 + 1.046 y 4.271BS27 1996:5-2004:9 101 50.5 1 50.5 -3.058 + 1.041 y 2.501FB3 1996:5-2004:9 101 48.4 1 48.4 -3.148 + 0.977 y 2.069BS39 1998:12-2004:9 70 37.0 1 37.0 -2.808 + 1.178 y 2.816BK18 1996:5-2004:9 101 35.9 1 35.9 -0.466 + 0.991 y 4.826BS15 1996:5-2004:9 101 31.1 1 31.1 -2.205 + 0.996 y 3.114BK12 1996:6-2003:1 80 29.2 1 29.2 -3.871 + 1.074 y 2.261BS28 1996:5-2004:9 101 25.0 1 25.0 -4.274 + 1.409 y 3.250BS13 1996:5-2004:9 101 24.0 1 24.0 -3.340 + 1.148 y 2.790BS38 1998:11-2004:9 71 21.9 1 21.9 -2.482 + 0.935 y 2.010BS5 1996:5-2004:9 101 21.2 1 21.2 -0.978 + 0.766 y 3.112PBK5 1996:5-2004:9 101 20.8 1 20.8 -1.196 + 0.983 y 4.053BS8 1996:5-2004:9 101 19.6 1 19.6 -2.208 + 0.932 y 2.769BS36 1996:5-2004:9 101 19.3 1 19.3 -2.176 + 1.113 y 3.767BS32 1996:5-2004:9 101 19.0 1 19.0 -1.755 + 0.798 y 2.506BKS8 1996:5-2004:9 101 17.8 1 17.8 -2.594 + 0.820 y 1.785BS23 1996:5-2004:9 101 16.8 1 16.8 -3.919 + 1.282 y 2.927BK21 1996:5-2004:9 101 13.7 1 13.7 -3.079 + 1.003 y 2.277BK10 1996:5-2004:9 101 12.6 1 12.6 -3.767 + 1.030 y 1.733BK5 1996:5-2004:9 101 12.0 1 12.0 -3.248 + 0.923 y 1.681BK9 1996:5-2004:9 101 11.9 1 11.9 -5.143 + 1.312 y 1.863BS17 1996:5-2004:9 101 11.5 1 11.5 -1.444 + 0.900 y 3.362BK6 1996:6-2002:4 71 11.4 1 11.4 -6.448 + 1.519 y 2.513BS14 1996:5-2004:9 101 11.3 1 11.3 -6.339 + 1.751 y 3.011BK3 1996:5-2004:9 101 11.1 1 11.1 -1.448 + 0.854 y 3.112BK13 1996:5-2002:12 80 10.1 1 10.1 -3.447 + 0.981 y 2.154BK1 1996:5-2004:9 101 9.80 1 9.80 -0.376 + 0.684 y 3.277BKS10 1996:5-2004:9 101 9.70 1 9.70 -3.004 + 1.093 y 2.833BK14 1996:5-2004:9 101 8.80 1 8.80 -1.477 + 0.645 y 1.967BS43 1996:5-2004:9 101 7.90 1 7.90 -2.114 + 0.835 y 2.345BS3 1996:5-2004:9 101 7.20 1 7.20 -0.367 + 0.493 y 2.266BK17 1996:5-2004:9 101 6.10 1 6.10 -1.012 + 0.610 y 2.245BK2 1996:5-2003:10 90 9.50 2 4.75 -1.598 + 0.546 y 1.396BS22 1996:5-2004:9 101 11.8 4 2.95 -0.116 + 0.407 y 2.057BS6 1996:5-2004:9 101 3.10 2 1.55 -0.984 + 0.347 y 0.869



yx CA +=*

9


B-Sav Instant Sample T Short run Long runHigh tier (£250K) period % error closed % error closed Equilibrium path (LRER) Average LRER



BS20 2000:8-2004:9 50 56.3 1 56.3 -1.034 + 1.156 y 4.100BK15 1996:5-2004:9 101 54.2 1 54.2 -1.837 + 1.084 y 3.952BS9 1996:5-2004:9 101 53.6 1 53.6 -2.815 + 1.019 y 2.626BKS3 1997:12-2004:9 82 50.8 1 50.8 -0.574 + 1.044 y 4.961BS13 1996:5-2004:9 101 50.0 1 50.0 -2.762 + 1.109 y 3.160BS28 1996:5-2004:9 101 50.0 1 50.0 -1.049 + 1.069 y 4.659BK12 1996:6-2003:1 80 41.3 1 41.3 -2.861 + 1.024 y 2.985BS39 1998:12-2004:9 70 32.9 1 32.9 -2.867 + 1.253 y 3.115FB3 1996:5-2004:9 101 30.0 1 30.0 -1.056 + 0.957 y 4.054BK21 1996:5-2004:9 101 26.0 1 26.0 -1.055 + 0.883 y 3.660BS38 1998:11-2004:9 71 22.0 1 22.0 -1.486 + 0.935 y 3.006PBK5 1996:5-2004:9 101 21.1 1 21.1 -0.885 + 0.975 y 4.322BS8 1996:5-2004:9 101 19.9 1 19.9 -0.907 + 0.886 y 3.824BKS10 1996:5-2004:9 101 19.8 1 19.8 -3.199 + 1.149 y 2.937BS36 1996:5-2004:9 101 19.3 1 19.3 -2.176 + 1.113 y 3.767BK3 1996:5-2004:9 101 18.3 1 18.3 -0.389 + 0.952 y 4.695BK7 1999:10-2004:9 60 36.2 2 18.1 -0.070 + 0.933 y 4.290BS32 1996:5-2004:9 101 15.0 1 15.0 -1.183 + 0.761 y 2.881BK9 1996:5-2004:9 101 14.9 1 14.9 -3.016 + 1.248 y 3.648BK13 1996:5-2002:12 80 14.6 1 14.6 -2.516 + 0.929 y 2.788BS23 1996:5-2004:9 101 11.1 1 11.1 -0.904 + 1.099 y 4.965BK14 1996:5-2004:9 101 11.0 1 11.0 -2.097 + 0.879 y 2.597BK10 1996:5-2004:9 101 10.7 1 10.7 -3.668 + 1.183 y 2.649BK1 1996:5-2004:9 101 10.4 1 10.4 -0.468 + 0.759 y 3.585BS22 1996:5-2004:9 101 9.80 1 9.80 -1.392 + 0.945 y 3.654BK18 1996:5-2004:9 101 8.30 1 8.30 -0.044 + 0.943 y 4.992BS14 2000:2-2004:9 56 6.00 1 6.00 -2.375 + 1.052 y 2.472BK2 1996:5-2003:10 90 11.3 2 5.65 -2.271 + 0.717 y 1.661BK17 1996:5-2004:9 101 11.1 2 5.55 -2.085 + 0.890 y 2.668BKS8 1996:5-2004:9 101 4.60 1 4.60 -0.936 + 0.689 y 2.743BK5 1996:5-2004:9 101 3.40 1 3.40 -3.627 + 1.058 y 2.023BS6 1996:5-2003:1 81 2.60 2 1.30 -2.347 + 0.637 y 1.276



yx CA +=*

10


B-Sav 30 day Sample T Short run Long runLow tier (£2.5K) period % error closed % error closed Equilibrium path (LRER) Average LRER



BS9 1996:5-2004:9 101 53.8 1 53.8 -2.631 + 0.972 y 2.559BS47 1996:5-2004:9 101 51.3 1 51.3 -2.380 + 0.888 y 2.362BKS2 2000:9-2004:9 49 32.2 1 32.2 -2.844 + 1.037 y 1.729PBK5 1996:5-2004:9 101 22.1 1 22.1 -2.169 + 0.978 y 3.054BS14 1997:8-2004:9 86 20.6 1 20.6 -5.248 + 1.657 y 3.421BS48 1996:5-2004:9 101 8.70 1 8.70 -2.402 + 0.655 y 1.096BS49 1996:5-2004:9 101 7.60 1 7.60 -1.874 + 0.829 y 2.553BK10 1996:5-2001:7 63 4.10 1 4.10 -2.973 + 0.792 y 1.882BK13 1998:11-2002:12 50 15.6 5 3.12 -1.079 + 0.373 y 0.849



yx CA +=* yx CA +=* yx CA +=* yx CA+= yx CA +=* yx CA +=*

11


B-Sav 30 day Sample T Short run Long runMedium tier (£10K) period % error closed % error closed Equilibrium path (LRER) Average LRER



BS9 1996:5-2004:9 101 61.2 1 61.2 -2.206 + 0.990 y 3.081BS47 1996:5-2004:9 101 60.7 1 60.7 -1.539 + 0.825 y 2.867BKS2 2000:9-2004:9 49 32.2 1 32.2 -1.844 + 1.037 y 2.729BS26 1996:5-2004:9 101 31.6 1 31.6 -1.601 + 1.029 y 3.894BK21 1998:9-2004:9 73 26.2 1 26.2 -1.548 + 1.113 y 3.877BS14 1997:8-2004:9 86 23.7 1 23.7 -4.296 + 1.511 y 3.609PBK5 1996:5-2004:9 101 22.1 1 22.1 -0.919 + 0.978 y 4.304BK14 1996:11-2004:9 95 42.6 2 21.3 -2.476 + 1.073 y 3.227BS49 1996:5-2004:9 101 18.7 1 18.7 -2.406 + 1.023 y 3.057BK10 1996:5-2001:7 63 11.5 1 11.5 -2.723 + 1.072 y 3.848BS48 1996:5-2004:9 101 10.4 1 10.4 -4.140 + 1.021 y 1.312BK13 1998:11-2004:9 71 7.10 1 7.1 -2.407 + 1.061 y 2.689



yx CA +=* yx CA +=* yx CA +=*

12


B-Sav 30 day Sample T Short run Long runHigh tier (£250K) period % error closed % error closed Equilibrium path (LRER) Average LRER



BK3 1998:12-2004:9 70 52.2 1 52.2 -0.427 + 1.047 y 4.572BS9 1996:5-2004:9 101 51.3 1 51.3 -2.142 + 1.009 y 3.246BS26 1996:5-2004:9 101 33.9 1 33.9 -1.010 + 1.015 y 4.410BK21 1998:9-2004:9 73 30.9 1 30.9 -0.764 + 1.063 y 4.417BKS2 2000:9-2004:9 49 30.5 1 30.5 -0.835 + 1.077 y 3.914BK14 1996:11-2004:9 95 28.0 1 28.0 -2.121 + 1.231 y 4.422PBK5 1996:5-2004:9 101 24.5 1 24.5 -0.330 + 0.964 y 4.818BS49 1996:5-2004:9 101 22.9 1 22.9 -1.703 + 1.051 y 3.909BS14 2000:1-2004:9 57 20.1 1 20.1 -2.511 + 1.396 y 3.946BK13 1998:11-2004:09 71 30.5 3 10.2 -1.381 + 1.000 y 3.422




13


B-Sav 90 day Sample T Short run Long runLow tier (£2.5K) period % error closed % error closed Equilibrium path (LRER) Average LRER



BS9 1996:5-2004:9 101 61.9 1 61.9 -2.686 + 0.899 y 1.278BKS2 2000:9-2004:9 49 32.2 1 32.2 -2.344 + 1.037 y 3.194BS15 1996:5-2004:9 101 28.4 1 28.4 -2.014 + 0.979 y 3.214BS32 1996:5-2004:9 101 14.4 1 14.4 -1.097 + 0.817 y 3.266BK22 1996:5-2004:9 101 6.90 1 6.90 -1.883 + 0.583 y 1.230

Summary statistics (N=5 cases) Average 28.8 1.0 28.8 -2.005 0.863 2.436 Standard Deviation 21.2 0.0 21.2 0.595 0.177 1.080 Min 6.9 1.0 6.9 -1.097 0.583 1.230 Max 61.9 1.0 61.9 -2.686 1.037 3.266Abbreviations: see page one of table

yx CA +=* yx CA +=* yx CA +=* yx CA+= yx CA +=* yx CA +=* yx CA +=* yx CA +=* yx CA +=* yx CA +=*

14


B-Sav 90 day Sample T Short run Long runMedium tier (£10K) period % error closed % error closed Equilibrium path (LRER) Average LRER



BS9 1996:5-2004:9 101 43.5 1 43.5 -2.328 + 1.023 y 3.135BS15 1996:5-2004:9 101 38.7 1 38.7 -2.072 + 1.161 y 4.128BKS2 2000:9-2004:9 49 32.2 1 32.2 -1.344 + 1.037 y 3.229BS32 1996:5-2004:9 101 13.2 1 13.2 -0.921 + 0.818 y 3.447



15


B-Sav 90 day Sample T Short run Long runHigh tier (£250K) period % error closed % error closed Equilibrium path (LRER) Average LRER



BS9 1996:5-2004:9 101 42.9 1 42.9 -1.737 + 1.076 y 4.009BS36 1998:12-2004:9 90 38.6 1 38.6 -2.009 + 1.256 y 4.623BKS2 2000:9-2004:9 49 32.8 1 32.8 -0.579 + 1.119 y 4.355BS32 1996:5-2004:9 101 9.70 1 9.70 -0.377 + 0.863 y 4.231BK22 1996:5-2004:9 101 1.40 1 1.40 -6.483 + 1.735 y 2.782



16


H-Sav Instant Sample T Short run Long runLow tier (£500) period % error closed % error closed Equilibrium path (LRER) Average LRER



BS35 1999:4-2004:8 65 53.9 1 53.9 -0.824 + 0.983 y 3.803BK2 1997:5-2002:12 68 28.6 1 28.6 -4.123 + 1.023 y 1.694BK5 1993:1-2003:5 125 24.9 1 24.9 -3.144 + 0.928 y 2.155BS27 1993:1-2004:8 140 21.4 1 21.4 -2.352 + 0.871 y 2.455BK12 1993:1-2004:8 140 21.1 1 21.1 -3.356 + 1.078 y 2.594BS17 1993:1-2004:8 140 17.5 1 17.5 -0.020 + 0.970 y 5.333BK14 1993:1-2004:8 140 17.4 1 17.4 -3.243 + 0.986 y 2.199BS15 1994:11-2004:8 118 16.5 1 16.5 -0.044 + 1.195 y 6.536BS19 1993:1-2004:8 140 16.2 1 16.2 -0.032 + 1.037 y 5.691BS20 1993:1-2004:8 140 14.0 1 14.0 -0.017 + 0.970 y 5.336BS16 1993:1-2004:8 140 13.2 1 13.2 -0.037 + 1.083 y 5.940BK16 1995:11-2004:8 106 11.0 1 11.0 -0.002 + 0.110 y 0.592BS5 1993:1-2004:8 140 10.5 1 10.5 -3.568 + 1.059 y 2.277BS37 1993:1-2004:8 140 9.80 1 9.80 -3.651 + 1.143 y 2.657BKS9 1993:1-2004:8 140 9.40 1 9.40 -3.470 + 1.124 y 2.733BS12 1994:1-2004:8 128 8.60 1 8.60 -0.029 + 0.910 y 4.962BK23 1993:1-2004:8 140 7.90 1 7.90 -4.112 + 1.013 y 1.479BS41 1993:1-2004:8 140 6.90 1 6.90 -3.155 + 0.983 y 2.270BS26 1993:1-2004:8 140 6.80 1 6.80 -3.231 + 1.067 y 2.658BS7 1993:1-2004:8 140 6.50 1 6.50 -1.056 + 0.440 y 1.372BS21 1993:1-1998:7 67 6.40 1 6.40 -0.033 + 0.951 y 5.844BS6 1993:1-2004:4 136 18.5 3 6.17 -0.419 + 0.212 y 0.760BS22 1993:1-2004:8 140 4.90 1 4.90 -0.008 + 0.434 y 2.387BKS10 1993:1-2004:8 140 4.30 1 4.30 -4.980 + 1.225 y 1.781BS42 1993:1-2004:8 140 3.60 1 3.60 -0.041 + 1.098 y 6.019BS1 1993:1-2004:8 140 3.50 1 3.50 -5.097 + 1.272 y 1.923BS14 1993:1-2001:2 98 3.50 1 3.50 -0.074 + 1.273 y 7.682BK13 1993:1-2004:8 140 3.40 1 3.40 -3.715 + 0.932 y 1.429BS2 1993:1-2004:8 140 3.30 1 3.30 -4.159 + 0.986 y 1.283BS9 1993:1-2004:8 140 3.30 1 3.30 -2.154 + 0.791 y 2.212BS38 1993:1-2004:8 140 3.10 1 3.10 -3.970 + 0.998 y 1.538BK3 1994:11:2003:12 110 8.10 3 2.70 -0.033 + 0.425 y 2.347BK8 1993:1-2004:8 140 10.3 4 2.58 -0.084 + 0.210 y 1.075BS8 1993:1-2004:8 140 2.20 1 2.20 -0.474 + 0.393 y 1.695BK1 1993:1-2003:12 132 1.60 1 1.60 -0.110 + 0.030 y 0.058BK24 1997:7-2004:2 80 6.20 4 1.55 -2.370 + 0.740 y 1.571BK17 1997:5-2004:8 88 3.50 4 0.88 -0.520 + 0.397 y 1.576BS30 1993:1-2004:8 140 3.70 6 0.62 -0.025 + 0.270 y 1.465




17


H-Sav Instant Sample T Short run Long runMedium tier (£5K) period % error closed % error closed Equilibrium path (LRER) Average LRER



BS35 1999:4-2004:8 65 53.9 1 53.9 -0.824 + 0.983 y 3.803PBK5 1999:5-2004:8 64 37.4 1 37.4 -3.887 + 1.495 y 3.136BK2 1997:5-2002:12 68 33.5 1 33.5 -4.065 + 1.092 y 2.145BKS8 1995:8-2000:10 63 28.0 1 28.0 -3.441 + 0.981 y 2.672BS15 1994:11-2004:8 118 18.8 1 18.8 -0.033 + 1.118 y 6.123BK5 1993:1-2003:5 125 15.9 1 15.9 -3.792 + 1.086 y 2.410BS16 1993:1-2004:8 140 12.3 1 12.3 -0.038 + 1.178 y 6.463BK3 1994:11:2003:12 110 10.7 1 10.7 -1.749 + 0.893 y 3.252BK1 1999:10-2004:8 59 10.5 1 10.5 -0.951 + 1.001 y 3.717BS17 1993:1-2004:8 140 10.4 1 10.4 -0.023 + 1.001 y 5.501BKS9 1993:1-2004:8 140 9.30 1 9.30 -4.308 + 1.269 y 2.696BS12 1994:1-2004:8 128 9.20 1 9.20 -0.027 + 0.926 y 5.051BS32 1993:1-2004:8 140 8.80 1 8.80 -4.065 + 1.234 y 2.745BK14 1993:1-2004:8 140 8.50 1 8.50 -3.251 + 1.015 y 2.351BS26 1993:1-2004:8 140 8.10 1 8.10 -3.532 + 1.171 y 2.931BS37 1993:1-2004:8 140 7.90 1 7.90 -3.976 + 1.236 y 2.845BK12 1993:1-2004:8 140 7.90 1 7.90 -3.759 + 1.192 y 2.820BS9 1993:1-2004:8 140 7.10 1 7.10 -3.746 + 1.173 y 2.728BS8 1993:1-2004:8 140 6.90 1 6.90 -3.451 + 1.116 y 2.708BS19 1993:1-2004:8 140 6.80 1 6.80 -0.041 + 1.226 y 6.725BS20 1993:1-2004:8 140 6.80 1 6.80 -0.021 + 1.061 y 5.835BS5 1993:1-2004:8 140 6.10 1 6.10 -4.540 + 1.307 y 2.673BS38 1993:1-2004:8 140 5.50 1 5.50 -3.788 + 1.162 y 2.625BS22 1993:1-2004:8 140 5.05 1 5.10 -0.007 + 0.517 y 2.846BS21 1993:1-2004:8 140 4.70 1 4.70 -0.036 + 1.024 y 5.615BK8 1993:1-2004:8 140 4.70 1 4.70 -0.753 + 0.367 y 1.272BS1 1993:2-2004:8 139 4.50 1 4.50 -5.391 + 1.411 y 2.384BS28 1994:1-2004:8 128 4.30 1 4.30 -3.362 + 1.174 y 3.076BS14 1993:1-2001:2 98 4.20 1 4.20 -0.063 + 1.283 y 7.754BS42 1993:1-2004:8 140 4.10 1 4.10 -0.029 + 1.001 y 5.495BS7 1993:1-2004:8 140 3.90 1 3.90 -2.391 + 0.754 y 1.770BS30 1993:1-2004:8 140 3.90 1 3.90 -3.472 + 0.993 y 2.008BK16 1995:11-2004:8 106 12.1 4 3.03 -0.000 + 0.140 y 0.755BS2 1993:1-2004:8 140 3.00 1 3.0 -3.859 + 0.986 y 1.583BKS10 1993:1-2004:8 140 2.80 1 2.80 -5.403 + 1.274 y 1.628BK23 1993:5-2004:8 140 1.70 1 1.70 -6.109 + 1.316 y 1.154BK24 1997:7-2004:2 80 5.00 4 1.25 -2.154 + 0.676 y 1.446BS27 1993:1-2004:8 140 3.20 3 1.07 -1.145 + 0.725 y 2.856BS6 1993:1-2004:4 136 3.90 4 0.98 -0.710 + 0.313 y 1.031BK17 1997:5-2004:8 88 3.30 5 0.66 -0.134 + 0.315 y 1.529BK13 1993:1-2004:8 140 0.50 1 0.50 -1.758 + 0.331 y 0.069

Summary statistics (N=41 cases) 9.9 1.4 9.4 -2.295 0.988 3.128 Average 10.6 1.0 10.8 1.906 0.326 1.788 Standard Deviation 0.5 1.0 0.5 -6.109 0.140 0.069 Min 53.9 5.0 53.9 0.000 1.495 7.754 Max


yx CA+= yx CA +=* yx CA +=* yx CA +=*

18


H-Sav Instant Sample T Short run Long runHigh tier (£10K) period % error closed % error closed Equilibrium path (LRER) Average LRER



BS35 1994:4-2004:8 65 53.9 1 53.9 -0.824 + 0.983 y 3.803PBK5 1999:5-2004:8 64 48.4 1 48.4 -3.137 + 1.436 y 3.607BK2 1997:5-2002:12 68 37.6 1 37.6 -4.179 + 1.147 y 2.343BKS8 1995:8-2000:10 63 28.0 1 28 -3.441 + 0.981 y 2.672BS15 1994:11-2004:8 118 19.0 1 19 -0.027 + 1.099 y 6.023BK14 1993:1-2004:8 140 11.4 1 11.4 -3.150 + 1.015 y 2.452BK1 1999:10-2004:8 59 11.0 1 11.0 -0.901 + 0.999 y 3.758BK3 1994:11:2003:12 110 10.7 1 10.7 -1.749 + 0.893 y 3.252BS16 1993:1-2004:8 140 9.90 1 9.90 -0.037 + 1.203 y 6.602BK5 1993:1-2003:5 125 9.20 1 9.20 -4.377 + 1.212 y 2.544BS32 1993:5-2004:8 140 8.50 1 8.50 -3.620 + 1.244 y 3.246BS26 1993:1-2004:8 140 7.80 1 7.80 -3.668 + 1.248 y 3.220BS8 1993:1-2004:8 140 7.70 1 7.70 -3.062 + 1.106 y 3.042BK12 1993:1-2004:8 140 7.20 1 7.20 -3.879 + 1.244 y 2.987BS9 1993:1-2004:8 140 7.20 1 7.20 -3.567 + 1.198 y 3.045BS37 1993:1-2004:8 140 6.50 1 6.50 -4.123 + 1.307 y 3.090BKS9 1993:1-2004:8 140 6.00 1 6.00 -4.726 + 1.396 y 2.978BS19 1993:1-2004:8 140 5.80 1 5.80 -0.040 + 1.254 y 6.881BS20 1993:1-2004:8 140 5.30 1 5.30 -0.022 + 1.100 y 6.049BS27 1993:1-2004:8 140 5.30 1 5.30 -1.978 + 0.939 y 3.204BS23 1993:1-2004:8 140 5.20 1 5.20 -0.024 + 0.891 y 4.893BS5 1993:1-2004:8 140 4.90 1 4.90 -5.087 + 1.425 y 2.778BS28 1994:1-2004:8 128 4.60 1 4.60 -3.253 + 1.170 y 3.164BS22 1993:1-2004:8 140 4.60 1 4.60 -0.001 + 0.447 y 2.466BK8 1993:1-2004:8 140 4.50 1 4.50 -2.294 + 0.754 y 1.867BS38 1993:1-2004:8 140 4.30 1 4.30 -3.815 + 1.224 y 2.940BS7 1993:1-2004:8 140 4.28 1 4.30 -1.460 + 0.738 y 2.613BS1 1993:2-2004:8 139 4.20 1 4.20 -5.332 + 1.457 y 2.697BS6 1993:1-2004:4 136 4.20 1 4.20 -4.510 + 1.111 y 1.669BS30 1993:1-2004:8 140 4.12 1 4.10 -3.886 + 1.129 y 2.345BS21 1993:1-2004:8 140 3.80 1 3.80 -0.035 + 1.044 y 5.727BK23 1993:5-2004:8 140 3.80 1 3.80 -6.282 + 1.474 y 1.853BS44 1993:1-2004:8 140 3.70 1 3.70 -2.486 + 0.707 y 1.416BK13 1993:1-2004:8 140 3.39 1 3.39 -5.150 + 1.265 y 1.831BS17 1993:1-2004:8 140 3.20 1 3.20 -0.000 + 0.643 y 3.549BS14 1993:1-2001:2 98 3.20 1 3.20 -0.092 + 1.743 y 10.528BK16 1995:11-2004:8 106 9.10 4 2.28 -0.030 + 0.160 y 0.833BS12 1994:1-2004:8 128 10.1 5 2.02 -0.027 + 0.961 y 5.243BKS10 1993:1-2004:8 140 1.87 1 1.87 -5.528 + 1.218 y 1.194BK24 1997:7-2004:2 80 4.50 4 1.13 -2.353 + 0.710 y 1.428BK17 1997:5-2004:8 88 3.10 5 0.62 -0.202 + 0.343 y 1.609BS2 1993:1-2004:8 140 1.40 3 0.47 -0.229 + 0.195 y 0.847

Summary statistics (N=42 cases) Average 9.6 1.4 9.1 -2.442 1.043 3.293 Standard Deviation 11.5 1.1 11.7 1.974 0.340 1.881 Min 1.4 1.0 0.5 -6.282 0.160 0.833 Max 53.9 5.0 53.9 0.000 1.743 10.528


yx CA+= yx CA +=* yx CA +=* yx CA +=*

19


H-Sav 30 day Sample T Short run Long runLow tier (£500) period % error closed % error closed Equilibrium path (LRER) Average LRER



BS21 1999:9-2004:8 60 34.9 1 34.9 -0.025 + 1.127 y 5.241BS9 1997:7-2004:8 86 29.7 1 29.7 -0.025 + 0.950 y 4.967BK23 1993:1-2004:5 137 25.9 1 25.9 -3.447 + 0.907 y 1.578BS35 1999:4-2004:8 65 24.8 1 24.8 -1.254 + 1.167 y 4.239BK3 1998:7-2003:12 66 17.9 1 17.9 -3.275 + 1.118 y 2.358BS22 1998:8-2003:12 65 9.20 1 9.20 -0.005 + 0.463 y 2.311BK17 1998:3-2003:7 65 8.00 1 8.00 -1.617 + 0.766 y 2.434BK24 1996:4-2004:6 99 4.80 1 4.80 -1.104 + 0.719 y 2.755BS8 1997:11-2004:8 82 4.30 3 1.43 -1.306 + 0.699 y 2.311




20


H-Sav 30 day Sample T Short run Long runMedium tier (£5K) period % error closed % error closed Equilibrium path (LRER) Average LRER



BK5 1996:8-2003:5 82 61.3 1 61.3 -2.483 + 0.919 y 2.655BS21 1999:9-2004:8 60 34.9 1 34.9 -0.025 + 1.127 y 5.241BK3 1998:7-2003:12 66 26.9 1 26.9 -2.236 + 1.067 y 3.140BS9 1997:7-2004:8 86 25.2 1 25.2 -0.021 + 0.979 y 5.123BS35 1999:4-2004:8 65 24.8 1 24.8 -1.254 + 1.167 y 4.239BS30 1999:4-2004:8 65 22.1 1 22.1 -1.923 + 1.288 y 4.140BS22 1998:8-2003:12 65 36.1 2 18.1 -0.011 + 0.750 y 3.739BS2 1996:8-2004:8 97 16.0 1 16.0 -2.093 + 1.191 y 4.258BK1 1997:6-2001:08 51 12.3 1 12.3 -6.708 + 1.508 y 2.604BK9 1997:7-2004:8 86 11.6 1 11.6 -1.435 + 0.978 y 3.704BK17 1998:3-2003:7 65 10.6 1 10.6 -2.772 + 1.076 y 2.919BK23 1993:1-2004:5 137 9.40 1 9.40 -3.899 + 1.116 y 2.284BS8 1997:11-2004:8 82 9.20 1 9.20 -1.419 + 0.857 y 3.015BK2 1999:4-2004:3 60 25.9 3 8.63 -2.187 + 0.985 y 2.477BS23 1994:11-2004:08 118 7.80 1 7.80 -0.041 + 1.241 y 6.791BK14 1993:11-2004:7 129 4.50 1 4.50 -3.404 + 1.023 y 2.214BK24 1996:4-2004:6 99 4.80 5 0.96 -1.104 + 0.719 y 2.755BS14 1993:12-2001:2 87 0.60 3 0.20 -0.037 + 0.376 y 2.264



21


H-Sav 30 day Sample T Short run Long runHigh tier (£10K) period % error closed % error closed Equilibrium path (LRER) Average LRER



BS22 1998:8-2003:12 65 71.5 1 71.5 -0.011 + 0.866 y 4.319BS28 2000:4-2004:8 53 48.2 1 48.2 -1.373 + 1.284 y 4.474BS16 1998:5-2004:8 76 44.0 1 44.0 -0.007 + 1.127 y 5.640BK3 1998:7-2003:12 66 35.9 1 35.9 -2.522 + 1.198 y 3.514BS21 1999:9-2004:8 60 34.9 1 34.9 -0.022 + 1.127 y 5.244BK5 1996:8-2003:5 82 27.3 1 27.3 -3.026 + 1.134 y 3.314BS9 1997:7-2004:8 86 25.7 1 25.7 -0.018 + 0.973 y 5.095BS25 1999:4-2004:8 65 24.8 1 24.8 -1.254 + 1.167 y 4.239BS30 1999:4-2004:8 65 22.1 1 22.1 -1.676 + 1.288 y 4.387BS2 1996:5-2004:8 100 17.5 1 17.5 -1.958 + 1.215 y 4.538BK1 1997:6-2001:08 51 14.5 1 14.5 -5.547 + 1.435 y 3.315BK9 1997:7-2004:8 86 11.6 1 11.6 -1.435 + 0.978 y 3.704BK17 1998:3-2003:7 65 11.1 1 11.1 -1.743 + 0.987 y 3.477BS8 1997:11-2004:8 82 8.80 1 8.80 -1.106 + 0.883 y 3.463BK2 1999:4-2004:3 60 26.1 3 8.70 -2.851 + 1.159 y 2.637BS23 1999:4-2004:8 65 7.40 1 7.40 -0.046 + 1.360 y 7.441BK14 1993:11-2004:7 129 6.60 1 6.60 -4.531 + 1.326 y 2.750BK24 1996:4-2004:6 99 3.92 1 3.92 -2.040 + 0.890 y 2.737BK23 1993:1-2004:5 137 3.60 1 3.60 -4.587 + 1.306 y 2.649BS14 1993:12-2001:2 87 2.90 4 0.73 -0.023 + 0.991 y 6.035




22





BS19 1997:5-2004:8 88 43.2 1 43.2 -1.002 + 0.873 y 3.607BS26 1998:12-2004:8 69 42.3 1 42.3 -0.440 + 0.945 y 4.072BS17 1993:1-2003:11 131 10.6 1 10.6 -3.166 + 1.137 y 3.216BS9 1997:7-2003:7 73 20.0 4 5.00 -1.846 + 0.713 y 2.065BK17 1998:2-2004:8 79 4.90 1 4.90 -2.213 + 0.933 y 2.541



yx CA +=*

23





BSK9 1993:1-1998:5 65 47.1 1 47.1 -2.997 + 1.318 y 5.095BS26 1998:12-2004:8 69 42.3 1 42.3 -0.440 + 0.945 y 4.072BS23 1997:2-2004:8 91 41.3 1 41.3 -3.611 + 1.335 y 3.466BS9 1997:7-2003:7 73 38.6 1 38.6 -1.977 + 1.032 y 3.683BS1 1997:7-2004:8 86 38.4 1 38.4 -2.520 + 1.067 y 3.087BS19 1994:07-2004:8 122 27.6 1 27.6 -1.096 + 0.882 y 3.754BS33 1997:7-2004:8 86 17.5 1 17.5 -2.862 + 1.267 y 3.796BKS10 1997:5-2004:8 88 16.8 1 16.8 -1.253 + 0.929 y 3.651BK9 1993:1-2004:8 140 10.2 1 10.2 -1.237 + 0.910 y 3.785BK5 1997:9-2003:5 69 13.4 1 13.4 -0.192 + 0.628 y 3.261BS17 1993:1-2003:11 131 11.5 1 11.5 -2.905 + 1.130 y 3.438BK17 1998:2-2004:8 79 22.5 2 11.3 -2.293 + 1.076 y 3.190BK12 1993:1-2004:8 140 9.90 1 9.90 -2.618 + 1.202 y 4.016BS42 1993:1-2004:8 140 6.60 1 6.60 -1.666 + 1.033 y 4.035BS10 1993:1-2002:8 116 4.70 1 4.70 -8.026 + 1.794 y 2.471BS43 1993:1-2004:8 140 5.90 4 1.48 -1.082 + 0.812 y 3.399



yx CA +=*

24





BK5 1997:9-2003:5 69 60.8 1 60.8 -1.302 + 0.996 y 4.175BKS10 1997:5-2004:8 88 54.5 1 54.5 -1.769 + 1.092 y 3.996BS26 1998:12-2004:8 69 54.1 1 54.1 -0.466 + 0.987 y 4.247BKS9 1993:1-1998:5 65 49.9 1 49.9 -0.579 + 1.002 y 5.573BS9 1997:7-2003:7 73 43.3 1 43.3 -1.727 + 1.046 y 4.010BS1 1997:7-2004:8 86 41.4 1 41.4 -1.854 + 1.087 y 3.858BS23 1997:2-2004:8 91 37.5 1 37.5 -3.234 + 1.354 y 3.943BK9 1993:1-2004:8 140 14.0 1 14.0 -1.215 + 0.961 y 4.089BS33 1997:7-2004:8 86 19.2 1 19.2 -3.443 + 1.443 y 4.140BS17 1993:1-2004:8 131 11.1 1 11.1 -2.525 + 1.175 y 4.071BK17 1998:2-2004:8 79 20.1 2 10.1 -1.206 + 0.979 y 3.783BK12 1993:1-2002:8 140 8.20 1 8.20 -2.531 + 1.246 y 4.346BS19 1993:4-2004:8 137 6.30 1 6.30 -2.077 + 1.122 y 4.100BKS3 1993:1-2004:8 140 5.80 1 5.80 -1.909 + 1.115 y 4.245BS10 1993:1-2004:8 116 4.60 1 4.60 -7.535 + 1.835 y 3.202



yx CA +=*

25





BK23 1996:5-2004:8 100 47.0 1 47.0 -3.110 + 1.015 y 2.316 BK8 1996:8-2004:8 97 22.8 1 22.8 -1.276 + 1.021 y 4.169 BS19 1997:5-2004:8 88 20.5 1 20.5 -1.108 + 0.914 y 3.717 BS16 1993:1-2004:8 140 19.6 1 19.6 -3.385 + 1.169 y 3.067 BS6 1993:1-2001:9 105 15.6 1 15.6 -1.581 + 0.895 y 3.824 BS26 1993:1-1998:11 71 10.8 1 10.8 -3.699 + 1.368 y 4.840 BS32 1993:1-2004:8 140 8.40 1 8.40 -2.106 + 1.032 y 3.590 BS27 1993:1-2004:8 140 5.30 1 5.30 -1.788 + 0.868 y 3.002 BS38 1993:1-2004:8 140 4.20 1 4.20 -4.166 + 1.187 y 2.385 BS15 1993:1-2004:8 140 4.10 3 1.37 -2.859 + 1.114 y 3.289



yx CA +=* yx CA +=*

26





BK3 1996:10-2003:12 87 31.7 1 31.7 -2.589 + 1.175 y 3.790 PBK5 1995:8-2004:8 109 28.0 1 28.0 -1.284 + 1.147 y 4.945 BK8 1996:8-2004:8 97 22.8 1 22.8 -1.276 + 1.021 y 4.169 BS23 1996:5-2004:8 100 20.7 1 20.7 -2.874 + 1.292 y 4.033 BS16 1993:1-2004:8 140 20.0 1 20.0 -2.728 + 1.143 y 3.580 BK14 1997:6-2002:10 65 17.6 1 17.6 -4.396 + 1.218 y 2.584 BS7 1993:1-2004:8 140 14.7 1 14.7 -2.716 + 1.166 y 3.719 BS19 1993:1-2004:8 140 12.9 1 12.9 -1.630 + 1.037 y 4.093 BS12 1994:1-2004:8 128 12.6 1 12.6 -1.889 + 0.979 y 3.480 BS37 1993:1-2004:8 140 11.2 1 11.2 -1.221 + 0.884 y 3.658 BS15 1993:1-2004:8 140 10.3 1 10.3 -3.347 + 1.321 y 3.944 BS26 1993:1-1998:11 71 9.20 1 9.20 -2.586 + 1.238 y 5.142 BK9 1995:12-2004:8 105 9.10 1 9.10 -1.175 + 0.990 y 4.156 BK24 1994:2-2002:4 99 8.10 1 8.10 -3.411 + 1.144 y 3.369 BK1 1997:6-2001:4 47 27.9 4 6.98 -2.540 + 1.241 y 5.226 BS9 1993:4-2004:8 137 5.90 1 5.90 -3.345 + 1.279 y 3.696 BS27 1993:1-2004:8 140 5.40 1 5.40 -1.789 + 0.959 y 3.504 BS38 1993:1-2004:8 140 5.30 1 5.30 -1.051 + 0.799 y 3.359 BS43 1993:1-2004:8 140 4.50 1 4.50 -4.832 + 1.417 y 2.988 BK23 1993:1-2004:8 140 4.25 1 4.25 -7.255 + 1.860 y 3.010 BS6 1993:1-2001:9 105 3.60 1 3.60 -6.872 + 1.733 y 3.594 BS20 1993:1-2004:8 140 9.10 3 3.03 -0.223 + 0.774 y 4.049 BS32 1993:1-2004:8 140 8.40 4 2.10 -2.106 + 1.032 y 3.590



yx CA +=* yx CA +=*

27





BK3 1996:10-2003:12 87 38.8 1 38.8 -2.465 + 1.215 y 4.131 BKS8 1995:8-2001:6 71 34.9 1 34.9 -1.844 + 0.959 y 4.075 BK8 1996:8-2004:8 97 26.9 1 26.9 -1.386 + 1.142 y 4.704 BS23 1996:5-2004:8 100 20.2 1 20.2 -2.459 + 1.308 y 4.534 BS16 1993:1-2004:8 140 17.9 1 17.9 -2.154 + 1.144 y 4.160 BS10 1996:5-2004:8 100 17.3 1 17.3 -0.577 + 0.975 y 4.636 PBK5 1995:8-2004:8 109 15.9 1 15.9 -0.883 + 1.344 y 6.415 BS19 1993:1-2004:8 140 12.9 1 12.9 -1.630 + 1.037 y 4.093 BS7 1993:1-2004:8 140 11.3 1 11.3 -1.981 + 1.145 y 4.338 BS20 1993:1-2004:8 140 11.0 1 11.0 -1.156 + 1.022 y 4.484 BS12 1994:1-2004:8 128 10.8 1 10.8 -1.576 + 1.025 y 4.045 BK23 1993:1-2004:8 140 10.3 1 10.3 -5.096 + 1.595 y 3.707 BK9 1995:12-2004:8 105 10.2 1 10.2 -1.226 + 1.003 y 4.175 BK1 1997:6-2001:4 47 35.2 4 8.80 -2.470 + 1.170 y 4.851 BS37 1993:1-2004:8 140 8.50 1 8.50 -2.558 + 1.239 y 4.280 BS15 1993:1-2004:8 140 7.90 1 7.90 -2.211 + 1.209 y 4.461 BS32 1993:1-2004:8 140 6.40 1 6.40 -2.642 + 1.163 y 3.777 BS26 1993:1-1998:11 71 6.10 1 6.10 -0.521 + 1.062 y 6.108 BS18 1993:1-2004:8 140 5.70 1 5.70 -0.082 + 0.979 y 5.321 BS9 1993:4-2004:8 137 5.60 1 5.60 -3.194 + 1.319 y 4.067 BS27 1993:1-2004:8 140 5.00 1 5.00 -1.735 + 1.006 y 3.817 BS6 1993:1-2001:9 105 4.40 1 4.40 -5.631 + 1.606 y 4.068 BS38 1993:1-2004:8 140 4.40 1 4.40 -1.427 + 0.958 y 3.860 BK24 1993:7-2002:4 106 4.00 1 4.00 -4.050 + 1.243 y 3.299 BK14 1997:6-2004:8 87 3.44 1 3.44 -0.131 + 0.621 y 3.141 BK13 1993:1-2004:8 140 3.40 1 3.40 -4.318 + 1.418 y 3.508 BS43 1993:1-2004:8 140 2.30 1 2.30 -3.705 + 1.177 y 2.791 BS35 1993:1-1999:3 75 4.10 1 4.10 -1.179 + 0.999 y 5.037



yx CA+= yx CA+= yx CA +=*

28


Current Accounts Sample T Short run Long runLow tier (£500) period % error closed % error closed Equilibrium path (LRER) Average LRER



PBK3 1995:5-2000:4 60 27.8 1 27.8 -2.453 + 0.701 y 1.953BS19 1993:1-2004:8 140 15.4 1 15.4 -0.854 + 0.316 y 0.890FB12 1993:1-2004:8 140 11.8 1 11.8 -1.515 + 0.381 y 0.588BKS6 1995:3-2002:7 89 10.9 1 10.9 -6.293 + 1.494 y 2.556FB3 1993:1-2001:12 108 10.1 1 10.1 -2.269 + 0.581 y 1.210BK13 1993:1-2004:8 140 7.50 1 7.50 -0.091 + 0.044 y 0.152BK15 1993:1-2004:8 140 7.30 1 7.30 -0.466 + 0.155 y 0.389BK21 1993:1-2004:8 140 12.8 2 6.40 -0.331 + 0.105 y 0.248BK3 1993:1-2003:3 123 6.18 1 6.18 -0.260 + 0.120 y 0.429BK16 1993:1-2004:8 140 6.10 1 6.10 -0.484 + 0.130 y 0.231BK12 1993:1-2004:8 140 5.90 1 5.90 -0.156 + 0.065 y 0.203FB4 1995:2-2004:8 115 5.70 2 2.85 -0.678 + 0.191 y 0.371BK5 1993:1-2004:8 140 4.36 1 4.36 -0.001 + 0.032 y 0.176BK23 1993:1-2004:8 140 3.89 1 3.89 -0.043 + 0.038 y 0.168BK9 1993:1-2004:8 140 7.60 2 3.80 -0.342 + 0.104 y 0.232BS11 1996:7-2004:8 98 11.2 3 3.73 -0.636 + 0.304 y 0.986BK24 1993:1-2004:8 140 2.99 1 2.99 -0.230 + 0.330 y 1.591BK1 1995:6-2004:8 111 4.10 2 2.05 -0.346 + 0.102 y 0.210BK14 1993:1-2004:8 140 4.00 2 2.00 -0.255 + 0.072 y 0.142BK17 1993:1-2004:8 140 6.10 6 1.02 -0.223 + 0.084 y 0.239



yx CA +=* yx CA +=* yx CA+= yx CA +=* yx CA +=* yx CA +=*

29


Current Accounts Sample T Short run Long runMedium tier (£5K) period % error closed % error closed Equilibrium path (LRER) Average LRER



BKS4 1993:1-1999:9 81 37.4 1 37.4 -1.075 + 0.888 y 4.379FB12 1993:1-2004:8 140 14.3 1 14.3 -1.937 + 0.458 y 0.591BKS6 1993:1-2004:8 140 4.50 1 4.5 -4.722 + 1.454 y 3.303BKS8 1993:1-2004:8 140 13.4 1 13.4 -4.043 + 1.090 y 1.973BK23 1993:1-2004:8 140 11.2 1 11.2 -0.521 + 0.166 y 0.395PBK3 1995:5-2004:8 112 10.8 1 10.8 -3.994 + 1.084 y 1.927FB3 1993:1-2004:8 140 9.90 1 9.90 -5.211 + 1.308 y 2.008BK5 1993:1-2002:8 116 8.30 1 8.30 -3.169 + 0.986 y 2.600BK2 1994:7-2004:8 122 6.90 1 6.90 -2.508 + 0.991 y 2.942BK21 1993:1-2004:8 140 12.6 3 4.20 -0.499 + 0.141 y 0.279PBK4 1993:1-2001:9 105 4.90 1 4.90 -7.086 + 1.765 y 3.573BK12 1993:1-2004:8 140 4.50 1 4.50 -0.246 + 0.083 y 0.212BK9 1993:1-2004:8 140 8.30 2 4.15 -0.331 + 0.104 y 0.243BKS10 1993:1-2004:8 140 3.90 1 3.90 -2.197 + 0.961 y 3.107BK1 1993:1-2004:8 140 3.60 1 3.60 -0.550 + 0.140 y 0.223BK16 1993:1-2004:8 140 3.30 1 3.30 -0.016 + 0.022 y 0.105BK15 1993:1-2004:8 140 9.40 3 3.13 -1.438 + 0.363 y 0.565BS11 1996:7-2004:8 98 7.30 3 2.43 -1.415 + 0.489 y 1.194BK13 1993:1-2004:8 140 4.30 2 2.15 -0.142 + 0.064 y 0.211BK7 1993:1-2000:10 94 2.13 1 2.13 -6.662 + 1.070 y -0.136BK14 1993:1-2004:8 140 4.00 2 2.00 -0.255 + 0.072 y 0.142BK24 1993:1-2004:8 140 1.89 1 1.89 -1.630 + 0.620 y 1.792BK3 1993:1-2003:3 123 1.40 1 1.40 -5.689 + 1.223 y 1.334FB4 1993:1-2004:8 140 1.30 1 1.30 -4.346 + 0.732 y -0.306BK17 1993:1-2004:8 140 5.10 4 1.28 -0.137 + 0.088 y 0.349BS19 1993:1-2004:8 140 6.00 5 1.20 -0.559 + 0.303 y 1.113BS24 1993:1-2003:7 127 2.00 3 0.67 -1.235 + 0.360 y 0.809

Summary statistics (N=27 cases) Average 7.5 1.7 6.1 -2.282 0.631 1.294 Standard Deviation 7.1 1.1 7.4 2.173 0.508 1.302 Min 1.3 1.0 0.7 -0.016 0.022 -0.306 Max 37.4 5.0 37.4 -7.086 1.765 4.379


yx CA +=*

30


Current Accounts Sample T Short run Long runHigh tier (£10K) period % error closed % error closed Equilibrium path (LRER) Average LRER



PBK4 1997:6-2004:8 87 39.8 1 39.8 -1.574 + 1.117 y 4.311BKS4 1993:1-1999:9 81 37.4 1 37.4 -1.075 + 0.888 y 4.379BKS6 1993:1-2004:8 140 31.8 1 31.8 -1.721 + 1.064 y 4.151PBK3 1995:5-2000:10 66 26.3 1 26.3 -3.640 + 1.055 y 2.953BKS8. 1993:1-2000:10 94 17.25 1 17.3 -2.880 + 0.910 y 2.670FB12 1993:1-2004:8 140 14.3 1 14.3 -1.937 + 0.458 y 0.591BK5 1993:1-2002:8 116 12.8 1 12.8 -2.633 + 0.954 y 2.949BS11 1996:7-2001:10 64 11.7 1 11.7 -2.301 + 0.787 y 2.482BK23 1993:1-2004:8 140 11.2 1 11.2 -0.521 + 0.166 y 0.395FB1 1993:1-2000:6 90 10.8 1 10.8 -2.451 + 0.530 y 0.784BS19 1993:1-2004:8 140 10.1 1 10.1 -2.830 + 0.806 y 1.618BK21 1993:1-2004:8 140 7.10 1 7.10 -1.077 + 0.262 y 0.369BK2 1994:7-2004:3 117 6.90 1 6.90 -2.190 + 0.945 y 3.053BK9 1993:1-2001:10 106 13.4 2 6.70 -1.719 + 0.365 y 0.480BK12 1993:1-2004:8 140 4.50 1 4.50 -0.246 + 0.083 y 0.212BK1 1993:1-2004:2 134 3.40 1 3.40 -1.150 + 0.270 y 0.355FB3 1993:1-2004:8 140 3.00 1 3.00 -4.255 + 1.255 y 2.671BK13 1993:1-2004:8 140 2.74 1 2.74 -0.360 + 0.220 y 0.854BKS10 1993:1-2004:8 140 2.40 1 2.40 -3.781 + 1.224 y 2.974BK7 1993:1-2000:10 94 2.20 1 2.20 -9.390 + 1.520 y -0.120BK14 1993:1-2004:8 140 4.00 2 2.00 -0.255 + 0.072 y 0.142BK17 1993:1-2004:8 140 6.10 4 1.53 -0.296 + 0.119 y 0.361FB4 1993:1-2004:8 140 1.30 1 1.30 -6.442 + 1.173 y 0.032BK24 1993:1-2004:8 140 0.96 1 0.96 -1.790 + 0.650 y 1.797BS24 1993:1-2003:7 127 2.70 3 0.90 -6.141 + 1.389 y 1.746BK3 1993:1-2003:3 123 0.80 1 0.80 -1.250 + 0.251 y 0.191BK16 1993:1-2004:8 140 2.07 6 0.35 -0.091 + 0.090 y 0.406

Summary statistics (N=27 cases) Average 10.6 1.4 10.0 -2.370 0.690 1.585 Standard Deviation 11.1 1.2 11.3 2.165 0.455 1.452 Min 0.8 1.0 0.3 -0.091 0.072 -0.120 Max 39.8 6.0 39.8 -9.390 1.520 4.379


yx CA +=*

31

Appendix Table A3: Short and Long Run Behaviour

Table A3. Short and Long Run Behaviour (Credit Products)

The table reports the short and long-run response of retail rates to a change in the official rate, based on the estimation of equation (3), for credit products.The summary results are reported in Table 2 - See paper.The sample period is 1993:01 to 2004:09.

Abbreviations:T: time-series dimension (sample size)N: cross-section dimension (sample size)A: measure of mark upC: measure of pass-throughx t : retail ratey t : official bank rate

BK: bankBKS: bank subsidiary that offers banking servicesBS: building societyFB: foreign owned bankCC: credit card offered by a non-bankSC: store card offered by a UK shop (e.g. John Lewis)M: mortgage offered by a mortgage companyLRER: long run equilibrium rate

32


Mortgages Sample T Short run Long runperiod % error closed % error closed Equilibrium path (LRER) Average LRER


(% error) ( j ) (y is official rate)BS10 1993:1-2004:8 140 11.8 1 11.8 2.600 + 0.851 y 7.2966BS4 1993:1-2004:8 140 11.5 1 11.5 2.200 + 0.889 y 7.1064M1 1993:1-2004:8 140 9.8 1 9.8 2.800 + 0.807 y 7.2538M2 1993:1-2004:8 140 9.7 1 9.7 3.400 + 0.720 y 7.3737FB12 1993:1-2004:8 140 9.4 1 9.4 2.300 + 0.905 y 7.2947BS11 1993:1-2004:8 140 9.2 1 9.2 2.400 + 0.853 y 7.1077BS28 1993:1-2004:8 140 9.1 1 9.1 1.700 + 0.971 y 7.0589FB3 1993:1-2004:8 140 8.7 1 8.7 2.900 + 0.811 y 7.3759BS37 1993:1-2004:8 140 8.3 1 8.3 1.500 + 0.954 y 6.7651BS23 1993:1-2004:8 140 8.1 1 8.1 2.100 + 0.899 y 7.0615BS27 1993:1-2004:8 140 7.5 1 7.5 2.500 + 0.824 y 7.0476BS44 1993:1-2004:8 140 7.5 1 7.5 3.900 + 0.604 y 7.2335BK2 1993:1-2004:8 140 7.4 1 7.4 2.800 + 0.819 y 7.3200BS32 1993:1-2004:8 140 7.4 1 7.4 3.100 + 0.744 y 7.2061BS14 1993:7-2004:8 134 7.2 1 7.2 3.300 + 0.725 y 8.5765BS41 1993:1-2004:8 140 6.6 1 6.6 2.600 + 0.808 y 7.0593BS21 1993:1-2004:8 140 6.6 1 6.6 3.200 + 0.710 y 7.1185BK23 1993:1-2004:8 140 6.5 1 6.5 3.300 + 0.710 y 7.2185BS2 1993:1-2004:8 140 6.4 1 6.4 3.200 + 0.727 y 7.2123BS33 1993:1-2004:8 140 6.4 1 6.4 3.000 + 0.779 y 7.2993BS27 1993:1-2004:8 140 6.3 1 6.3 1.900 + 0.912 y 6.9333BK17 1993:1-2004:8 140 6.2 1 6.2 3.200 + 0.733 y 7.2454BS1 1993:1-2004:8 140 6.1 1 6.1 2.700 + 0.798 y 7.1041BS20 1993:1-2004:8 140 6.1 1 6.1 1.000 + 1.001 y 6.5245BK24 1993:1-2004:8 140 5.8 1 5.8 2.800 + 0.814 y 7.2924BS5 1993:1-20004:4 136 5.8 1 5.8 2.500 + 0.826 y 8.4551BK7 1993:1-2004:8 140 5.3 1 5.3 3.100 + 0.752 y 7.2503BK8 1993:1-2004:8 140 5.3 1 5.3 3.400 + 0.700 y 7.2633BK5 1993:1-2004:8 140 5.2 1 5.2 3.500 + 0.679 y 7.2474BS6 1993:1-2004:8 140 5.1 1 5.1 3.000 + 0.761 y 7.1999BK16 1993:1-2004:8 140 5.1 1 5.1 3.600 + 0.659 y 7.2370BS12 1993:1-2004:8 140 5.0 1 5.0 3.300 + 0.698 y 7.1522BS30 1993:1-2004:8 140 4.8 1 4.8 2.800 + 0.785 y 7.1324BKS8 1993:1-2004:8 140 4.7 1 4.7 3.400 + 0.686 y 7.1860BK14 1993:1-2004:8 140 4.7 1 4.7 3.200 + 0.763 y 7.4110BS38 1993:1-2004:8 140 4.6 1 4.6 3.700 + 0.612 y 7.0776BS43 1993:1-2004:8 140 4.6 1 4.6 4.000 + 0.590 y 7.2562BS17 1993:1-2004:8 140 4.5 1 4.5 3.500 + 0.647 y 7.0708BK1 1993:1-2004:8 140 4.4 1 4.4 3.100 + 0.745 y 7.2116BS22 1993:1-2004:8 140 4.3 1 4.3 4.200 + 0.513 y 7.0312BKS10 1993:1-2004:8 140 4.2 1 4.2 3.100 + 0.737 y 7.1675BS8 1993:1-2004:8 140 4.0 1 4.0 3.700 + 0.606 y 7.0445BS9 1993:1-2004:8 140 4.0 1 4.0 3.700 + 0.612 y 7.0776BS16 1993:1-2004:8 140 4.0 1 4.0 3.500 + 0.662 y 7.1536BS18 1993:1-2004:8 140 4.0 1 4.0 3.000 + 0.719 y 6.9681BS35 1993:1-2004:8 140 4.0 1 4.0 3.300 + 0.644 y 6.8542BS26 1993:1-2004:8 140 3.9 1 3.9 2.800 + 0.754 y 6.9613BKS3 1993:1-2004:8 140 3.4 1 3.4 4.700 + 0.470 y 7.2939BS42 1993:1-2004:8 140 3.1 1 3.1 4.200 + 0.492 y 6.9153BS19 1993:1-2004:8 140 2.2 1 2.2 2.300 + 0.760 y 6.4944BK9 1993:1-2004:8 140 6.9 4 1.7 3.460 + 0.683 y 7.2267BK3 1993:1-2004:8 140 5.8 4 1.5 3.800 + 0.638 y 7.3211BKS9 1993:1-2004:8 140 1.6 2 0.8 2.000 + 0.750 y 6.1392BS46 1993:1-2004:8 140 4.2 6 0.7 4.900 + 0.344 y 6.7985

Summary statistics (N=54 cases) Average 6.0 1.2 5.7 3.059 0.734 7.161 Standard Deviation 2.2 0.9 2.5 0.747 0.126 0.354 Min 1.6 1.0 0.7 1.000 0.344 6.139 Max 11.8 6.0 11.8 4.900 1.001 8.576Abbreviations: see page one of table

yx CA +=*

33


Unsecured Sample T Short run Long runPersonal Loans period % error closed % error closed Equilibrium path (LRER) Average LRER



BK2 1993:1-2004:8 140 15.2 1 15.2 17.54 + 0.080 y 17.98BKS9 1996:4-2004:8 101 10.1 1 10.1 6.498 + 0.942 y 11.54BKS3 1996:7-2004:8 98 9.9 1 9.9 1.546 + 2.084 y 12.67BK12 1993:1-2004:8 140 7.8 1 7.8 7.738 + 0.957 y 13.02BK9 1993:1-2004:8 140 13.9 2 7.0 6.936 + 1.209 y 13.61BK5 1993:1-2004:8 140 6.8 1 6.8 0.429 + 2.556 y 14.54BKS12 1998:11-2004:8 70 6.6 1 6.6 3.866 + 1.124 y 9.27BK16 1996:5-2004:8 100 5.1 1 5.1 1.416 + 1.130 y 7.46FB14 1996:3-2004:8 102 4.7 1 4.7 3.732 + 1.371 y 11.08BKS10 1993:1-2004:8 140 5.3 1 5.3 0.347 + 2.155 y 12.24BK14 1993:1-2004:8 140 3.8 1 3.8 0.336 + 1.989 y 11.31BK17 1993:1-2004:8 140 6.8 2 3.4 4.353 + 1.805 y 14.31BK1 1993:1-2004:8 140 6.7 2 3.4 0.100 + 2.190 y 12.19BK23 1993:1-2004:8 140 5.7 2 2.9 6.790 + 1.113 y 12.93BK24 1993:1-2004:8 140 2.3 1 2.3 3.306 + 1.339 y 10.70BK10 1993:1-2004:8 140 1.7 3 0.6 5.980 + 0.055 y 6.28

Summary statistics (N=16 cases) Average 7.0 1.4 5.9 4.432 1.381 11.945 Standard Deviation 3.7 0.6 3.6 4.389 0.718 2.788 Min 1.7 1.0 0.6 0.100 0.055 6.284 Max 15.2 3.0 15.2 17.540 2.556 17.982


yx CA +=*

34


Credit cards Sample T Short run Long runperiod % error closed % error closed Equilibrium path (LRER) Average LRER



CC1 1996:10-2004:8 95 21.6 1 21.6 15.705 + 0.571 y 18.746CC2 1993:12-2000:1 74 15.2 1 15.2 16.933 + 0.590 y 20.553BKS11 2000:1-2004:8 56 13.4 1 13.4 8.033 + 0.834 y 11.889BK24 1997:12-2004:8 81 11.2 1 11.2 16.139 + 0.166 y 16.994BK1 1996:3-2004:8 102 9.6 1 9.6 9.794 + 1.523 y 17.955BK3 1993:1-2004:2 134 9.6 1 9.6 12.783 + 1.238 y 19.683BK5 1993:1-2004:8 140 8.1 1 8.1 9.637 + 1.892 y 20.079BK23 1993:1-2004:8 140 8.1 1 8.1 9.863 + 2.031 y 21.072CC3 1998:12-2004:8 69 16.1 2 8.1 12.907 + 0.488 y 15.237BK14 1993:1-2004:8 140 6.3 1 6.3 8.549 + 2.035 y 19.780BK17 1996:3-2004:8 102 6.2 1 6.2 2.403 + 2.425 y 15.397BK9 1993:1-2004:8 140 6.1 1 6.1 10.772 + 1.830 y 20.872CC4 1994:4-1999:9 66 6.0 1 6.0 18.249 + 0.170 y 19.308CC5 1996:5-2004:3 95 5.9 1 5.9 7.888 + 0.853 y 12.492FB14 1993:12-2004:8 129 5.9 1 5.9 12.932 + 0.912 y 17.933CC6 1997:1-2004:8 92 5.9 1 5.9 10.917 + 0.917 y 15.784BKS8 1993:1-2004:8 140 4.9 1 4.9 15.617 + 0.197 y 16.704BS50 1997:8-2004:8 85 4.2 1 4.2 15.418 + 0.266 y 16.811BK13 1998:8-2004:8 73 4.2 1 4.2 10.645 + 0.323 y 12.232BK12 1993:1-2004:8 140 4.0 1 4.0 9.161 + 1.716 y 18.632BS45 1993:1-2000:3 87 2.9 1 2.9 11.731 + 1.267 y 19.468BS19 1997:4-2004:8 89 2.2 1 2.2 13.443 + 0.003 y 13.459BK17 1993:12-2004:8 129 1.4 1 1.4 5.199 + 2.112 y 16.780FB13 1993:1-2004:8 140 3.2 3 1.1 7.925 + 1.914 y 18.488BKS9 1993:1-2004:8 140 2.6 3 0.9 18.859 + 0.000 y 18.859BKS10 1993:1-2004:2 134 1.3 4 0.3 14.158 + 0.325 y 15.969



yx CA +=*

35


Store cards Sample T Short run Long runperiod % error closed % error closed Equilibrium path (LRER) Average LRER



SC1 1999:6-2004:8 63 16.6 1 16.6 11.459 + 0.401 y 13.3394SC2 1994:9-2004:8 120 11.6 1 11.6 26.591 + 0.036 y 26.7892SC3 1997:11-2004:8 82 10.4 1 10.4 25.351 + 0.245 y 26.6187SC4 1995:6-2004:8 111 8.7 1 8.7 26.042 + 0.470 y 28.6044SC5 1995:6-2004:8 111 7.7 1 7.7 26.915 + 0.338 y 28.7577SC6 1995:6-2004:8 111 7.7 1 7.7 26.915 + 0.338 y 28.7577SC7 1994:5-2004:8 124 5.3 1 5.3 20.971 + 1.184 y 27.4751SC8 1995:6-2004:8 111 5.2 1 5.2 27.492 + 0.300 y 29.1276SC9 1993:1-2004:8 140 4.4 1 4.4 9.211 + 2.261 y 21.6894SC10 1993:2-2004:8 139 4.0 1 4.0 23.605 + 0.836 y 28.2119SC11 1993:5-2003:1 117 3.9 1 3.9 18.760 + 1.781 y 29.0267SC12 1996:8-2004:8 97 3.1 1 3.1 7.193 + 1.211 y 13.6509SC13 1993:1-2002:10 118 6.2 2 3.1 23.447 + 0.416 y 25.8681SC14 1993:1-2004:8 140 1.3 1 1.3 9.559 + 3.390 y 28.2683



yx CA +=*

product financial sample t ecm adf pp kpss dfgls ers np ... · 2 table a1. tests for a long-run...

Documents