ONLINE SUPPLEMENT
We provide the results of sensitivity tests in the online supplement. The main results obtained from IVAR analysis using policy rates, 1month deposit rates, and commercial credits are replicated in this section by using different specifications. In each sub-section, we make
small changes in the variables that we used. Supplement 1 shows the results of main equation only for 2008-2014 period. Supplement 2
shows the results of IVAR analysis using 3-month deposits instead of 1-month deposits. Supplement 3 shows the results of IVAR analysis
using consumer credits instead of commercial credits.
SUPPLEMENT 1: Policy/ Deposit/Credit (2008-2014)
This sub-section presents the results of the equations only for 2008-2014 period.
1
Figure S1-1: Impulse-response functions
(Policy, Deposit, Credit / Boone)
2
Figure S1-2: Impulse-response functions
(Policy, Deposit, Credit / HHI)
3
Figure S1-3: Impulse-response functions
(Policy, Deposit, Credit / RQI)
4
Figure S1-4: Impulse-response functions
(Policy, Deposit, Credit / NPL)
5
Figure S1-5: Impulse-response functions
(Policy, Deposit, Credit / ROE)
6
Figure S1-6: Impulse-response functions
(Policy, Deposit, Credit / LIQ)
7
Figure S1-7: Impulse-response functions
(Policy, Deposit, Credit / NIRE)
8
Figure S1-8: Impulse-response functions
(Policy, Deposit, Credit / GDPPC)
9
Figure S1-9: Impulse-response functions
(Policy, Deposit, Credit / M2/GDP)
10
Figure S1-10: Impulse-response functions
(Policy, Deposit, Credit / STC)
11
Figure S1-11: Impulse-response functions
(Policy, Deposit, Credit / FCL/M2)
12
Figure S1-12: Impulse-response functions
(Policy, Deposit, Credit / NFCP)
13
Figure S1-13: Impulse-response functions
(Policy, Deposit, Credit / TRLIBOR)
14
Figure S1-14: Impulse-response functions
(Policy, Deposit, Credit / CPI)
15
Figure S1-15: Impulse-response functions
(Policy, Deposit, Credit / TRIPI)
16
Figure S1-16: Impulse-response functions
(Policy, Deposit, Credit / FA/GDP)
17
Table S1-1: Expected and Realized Effects of Interaction Variables from Supplement 1
Interaction Variable
Boone
HHI
RQI
NPL
NIRE
ROE
LIQ
GDPPC
M2/GDP
STC
FCL/M2
NFCP
TRLIBOR
CPI
TRIPI
FA/GDP
Expected Effect
+
+
+
+
+
+
+
+
+
+
+
Realized Effect on Deposits
+
+
+
+
0
+
+
+
0
+
0
+
18
Realized Effect on Deposits
+
+
+
+
0
+
+
+
0
+
+
SUPPLEMENT 2: Policy/ 3-Month Deposit/ Credit
Supplement 2 shows the results of IVAR analysis using 3-month deposits instead of 1-month deposits.
19
Figure S2-1: Impulse-response functions
(Policy, Deposit, Credit / Boone)
20
Figure S2-2: Impulse-response functions
(Policy, Deposit, Credit / HHI)
21
Figure S2-3: Impulse-response functions
(Policy, Deposit, Credit / RQI)
22
Figure S2-4: Impulse-response functions
(Policy, Deposit, Credit / NPL)
23
Figure S2-5: Impulse-response functions
(Policy, Deposit, Credit / ROE)
24
Figure S2-6: Impulse-response functions
(Policy, Deposit, Credit / LIQ)
25
Figure S2-7: Impulse-response functions
(Policy, Deposit, Credit / NIRE)
26
Figure S2-8: Impulse-response functions
(Policy, Deposit, Credit / GDPPC)
27
Figure S2-9: Impulse-response functions
(Policy, Deposit, Credit / M2/GDP)
28
Figure S2-10: Impulse-response functions
(Policy, Deposit, Credit / STC)
29
Figure S2-11: Impulse-response functions
(Policy, Deposit, Credit / FCL/M2)
30
Figure S2-12: Impulse-response functions
(Policy, Deposit, Credit / NFCP)
31
Figure S2-13: Impulse-response functions
(Policy, Deposit, Credit / TRLIBOR)
32
Figure S2-14: Impulse-response functions
(Policy, Deposit, Credit / CPI)
33
Figure S2-15: Impulse-response functions
(Policy, Deposit, Credit / TRIPI)
34
Figure S2-16: Impulse-response functions
(Policy, Deposit, Credit / FA/GDP)
35
Table S2-1: Expected and Realized Effects of Interaction Variables from Supplement 2
Interaction Variable
Boone
HHI
RQI
NPL
NIRE
ROE
LIQ
GDPPC
M2/GDP
STC
FCL/M2
NFCP
TRLIBOR
CPI
TRIPI
FA/GDP
Expected Effect
+
+
+
+
+
+
+
+
+
+
+
Realized Effect on Deposits
0
+
0
+
0
+
+
0
0
+
+
0
+
0
-
36
Realized Effect on Deposits
+
0
+
0
0
+
+
+
+
+
0
SUPPLEMENT 3: Policy/ Deposit/ Consumer Credits
Supplement 3 shows the results of IVAR analysis using consumer credits instead of commercial credits.
37
Figure S3-1: Impulse-response functions
(Policy, Deposit, Credit / Boone)
38
Figure S3-2: Impulse-response functions
(Policy, Deposit, Credit / HHI)
39
Figure S3-3: Impulse-response functions
(Policy, Deposit, Credit / RQI)
40
Figure S3-4: Impulse-response functions
(Policy, Deposit, Credit / NPL)
41
Figure S3-5: Impulse-response functions
(Policy, Deposit, Credit / ROE)
42
Figure S3-6: Impulse-response functions
(Policy, Deposit, Credit / LIQ)
43
Figure S3-7: Impulse-response functions
(Policy, Deposit, Credit / NIRE)
44
Figure S3-8: Impulse-response functions
(Policy, Deposit, Credit / GDPPC)
45
Figure S3-9: Impulse-response functions
(Policy, Deposit, Credit / M2/GDP)
46
Figure S3-10: Impulse-response functions
(Policy, Deposit, Credit / STC)
47
Figure S3-11: Impulse-response functions
(Policy, Deposit, Credit / FCL/M2)
48
Figure S3-12: Impulse-response functions
(Policy, Deposit, Credit / NFCP)
49
Figure S3-13: Impulse-response functions
(Policy, Deposit, Credit / TRLIBOR)
50
Figure S3-14: Impulse-response functions
(Policy, Deposit, Credit / CPI)
51
Figure S3-15: Impulse-response functions
(Policy, Deposit, Credit / TRIPI)
52
Figure S3-16: Impulse-response functions
(Policy, Deposit, Credit / FA/GDP)
53
Table S3-1: Expected and Realized Effects of Interaction Variables from Supplement 3
Interaction Variable
Boone
HHI
RQI
NPL
NIRE
ROE
LIQ
GDPPC
M2/GDP
STC
FCL/M2
NFCP
TRLIBOR
CPI
TRIPI
FA/GDP
Expected Effect
+
+
+
+
+
+
+
+
+
+
+
Realized Effect on Deposits
0
+
0
+
0
0
+
0
+
+
0
-
54
Realized Effect on Deposits
+
0
+
0
+
0
+
+
+
0