| Equation | F-statistic | |||||
| B1.1) IGB2YR = β0 + β1TB3M + β2CREDIT + β3NEER + β4RISK | 9.86 | |||||
| B1.2) IGB2YR = β5 + β6TCPIYOY + β7CREDIT + β8NEER + β9RISK | 5.79 | |||||
| B1.3) IGB2YR = β10 + β11IPIYOY + β12CREDIT + β13NEER + β14RISK | 8.03 | |||||
| B1.4) IGB2YR = β15 + β16TB3M + β17TCPIYOY + β18CREDIT + β19NEER + β20RISK | 7.58 | |||||
| B1.5) IGB2YR = β21 + β22TB3M + β23IPIYOY + β24CREDIT + β24NEER + β27RISK | 8.58 | |||||
| B1.6) IGB2YR = β28 + β29TB3M + β30TCPIYOY + β31IPIYOY + β32CREDIT + β33NEER + β34RISK | 5.99 | |||||
| Long-Run Relationships | ||||||
| Variable | Equation B1.1 | Equation B1.2 | Equation B1.3 | Equation B1.4 | Equation B1.5 | Equation B1.6 |
| TB3M | 0.46*** | — | — | 0.47*** | 0.47*** | 0.45*** |
| (0.04) | (0.03) | (0.04) | (0.04) | |||
| TCPIYOY | — | 0.05 | — | −0.20 | — | −0.04 |
| (0.15) | (0.03) | (0.04) | ||||
| IPIYOY | — | — | 0.00 | — | −0.02 | −0.01 |
| (0.05) | (0.02) | (0.02) | ||||
| CREDIT | 0.07*** | 0.10 | 0.16*** | 0.06 | 0.08*** | 0.07 |
| (0.01) | (0.27) | (0.04) | (0.05) | (0.01) | (0.06) | |
| NEER | 0.01*** | 0.02 | 0.03 | 0.01 | 0.02** | 0.01 |
| (0.01) | (0.06) | (0.03) | (0.01) | (0.01) | (0.01) | |
| RISK | −1.07*** | −3.26*** | −4.07*** | −0.89*** | −1.28*** | −1.04*** |
| (0.19) | (0.75) | (1.11) | (0.18) | (0.26) | (0.27) | |
| Constant | −0.28 | 2.82 | −0.61 | 0.30 | −1.44 | 0.08 |
| (0.99) | (19.83) | (4.49) | (3.54) | (1.24) | (4.14) | |
| Time period | May 2003– | Mar 2007– | Aug 2009– | Mar 2007– | Jul 2003– | Feb 2007– |
| Oct 2015 | Oct 2015 | Oct 2015 | Oct 2015 | Oct 2015 | Oct 2015 | |
| Number of | 150 | 104 | 147 | 107 | 148 | 105 |
| observations |
| Equation | F-statistic | |||||
| B1.1) IGB2YR = β0 + β1TB3M + β2CREDIT + β3NEER + β4RISK | 9.86 | |||||
| B1.2) IGB2YR = β5 + β6TCPIYOY + β7CREDIT + β8NEER + β9RISK | 5.79 | |||||
| B1.3) IGB2YR = β10 + β11IPIYOY + β12CREDIT + β13NEER + β14RISK | 8.03 | |||||
| B1.4) IGB2YR = β15 + β16TB3M + β17TCPIYOY + β18CREDIT + β19NEER + β20RISK | 7.58 | |||||
| B1.5) IGB2YR = β21 + β22TB3M + β23IPIYOY + β24CREDIT + β24NEER + β27RISK | 8.58 | |||||
| B1.6) IGB2YR = β28 + β29TB3M + β30TCPIYOY + β31IPIYOY + β32CREDIT + β33NEER + β34RISK | 5.99 | |||||
| Long-Run Relationships | ||||||
| Variable | Equation B1.1 | Equation B1.2 | Equation B1.3 | Equation B1.4 | Equation B1.5 | Equation B1.6 |
| TB3M | 0.46*** | — | — | 0.47*** | 0.47*** | 0.45*** |
| (0.04) | (0.03) | (0.04) | (0.04) | |||
| TCPIYOY | — | 0.05 | — | −0.20 | — | −0.04 |
| (0.15) | (0.03) | (0.04) | ||||
| IPIYOY | — | — | 0.00 | — | −0.02 | −0.01 |
| (0.05) | (0.02) | (0.02) | ||||
| CREDIT | 0.07*** | 0.10 | 0.16*** | 0.06 | 0.08*** | 0.07 |
| (0.01) | (0.27) | (0.04) | (0.05) | (0.01) | (0.06) | |
| NEER | 0.01*** | 0.02 | 0.03 | 0.01 | 0.02** | 0.01 |
| (0.01) | (0.06) | (0.03) | (0.01) | (0.01) | (0.01) | |
| RISK | −1.07*** | −3.26*** | −4.07*** | −0.89*** | −1.28*** | −1.04*** |
| (0.19) | (0.75) | (1.11) | (0.18) | (0.26) | (0.27) | |
| Constant | −0.28 | 2.82 | −0.61 | 0.30 | −1.44 | 0.08 |
| (0.99) | (19.83) | (4.49) | (3.54) | (1.24) | (4.14) | |
| Time period | May 2003– | Mar 2007– | Aug 2009– | Mar 2007– | Jul 2003– | Feb 2007– |
| Oct 2015 | Oct 2015 | Oct 2015 | Oct 2015 | Oct 2015 | Oct 2015 | |
| Number of | 150 | 104 | 147 | 107 | 148 | 105 |
| observations |
CREDIT = credit to the private sector as percentage of gross domestic product, IGB2YR = 2-year government bond yield, IPIYOY = year-on-year percentage change in industrial production, NEER = nominal effective exchange rate, RISK = global bond market volatility index, TB3M = 3-month government auction rate, TCPIYOY = year-on-year percentage change in consumer price index.
Notes: *** represents 1% level of significance. Standard errors are in parentheses.
Source: Authors’ calculations.