| Equation | F–statistic | |||||
| B2.1) IGB3YR = β35 + β36TB3M + β37CREDIT + β38NEER + β39RISK | 8.73 | |||||
| B2.2) IGB3YR = β40 + β41TCPIYOY + β42CREDIT + β43NEER + β44RISK | 5.96 | |||||
| B2.3) IGB3YR = β45 + β46IPIYOY + β47CREDIT + β48NEER + β49RISK | 8.04 | |||||
| B2.4) IGB3YR = β50 + β51TB3M + β52TCPIYOY + β53CREDIT + β54NEER + β55RISK | 6.35 | |||||
| B2.5) IGB3YR = β56 + β57TB3M + β58IPIYOY + β59CREDIT + β60NEER + β61RISK | 7.82 | |||||
| B2.6) IGB3YR = β62 + β63TB3M + β64TCPIYOY + β65IPIYOY + β66CREDIT + β67NEER + β68RISK | 5.02 | |||||
| Long-Run Relationships | ||||||
| Variable | Equation B2.1 | Equation B2.2 | Equation B2.3 | Equation B2.4 | Equation B2.5 | Equation B2.6 |
| TB3M | 0.35*** | — | — | 0.36*** | 0.35*** | 0.34*** |
| (0.04) | (0.04) | (0.04) | (0.04) | |||
| TCPIYOY | — | 0.06 | — | −0.02 | – | −0.01 |
| (0.09) | (0.03) | (0.04) | ||||
| IPIYOY | — | — | −0.01 | — | –0.01 | −0.01 |
| (0.04) | (0.02) | (0.02) | ||||
| CREDIT | 0.09*** | −0.06 | 0.14*** | 0.04 | 0.09*** | −0.02 |
| (0.01) | (0.14) | (0.03) | (0.05) | (0.01) | (0.05) | |
| NEER | 0.01*** | −0.02 | 0.03 | 0.01 | 0.02** | −0.01 |
| (0.01) | (0.03) | (0.02) | (0.01) | (0.01) | (0.01) | |
| RISK | −0.97*** | −2.78*** | −3.06*** | −0.66*** | –1.07*** | −0.73*** |
| (0.18) | (0.64) | (0.75) | (0.17) | (0.22) | (0.23) | |
| Constant | −0.58 | 15.39 | −0.24 | 2.46 | –1.02 | 7.35* |
| (0.99) | (1.014) | (3.27) | (4.00) | (1.22) | (3.92) | |
| Time period | May 2003– | Jan 2007– | Aug 2003– | Dec 2006– | Jul 2003– | Feb 2007– |
| Oct 2015 | Oct 2015 | Oct 2015 | Oct 2015 | Oct 2015 | Oct 2015 | |
| Number of | 150 | 106 | 147 | 107 | 148 | 105 |
| Observations |
| Equation | F–statistic | |||||
| B2.1) IGB3YR = β35 + β36TB3M + β37CREDIT + β38NEER + β39RISK | 8.73 | |||||
| B2.2) IGB3YR = β40 + β41TCPIYOY + β42CREDIT + β43NEER + β44RISK | 5.96 | |||||
| B2.3) IGB3YR = β45 + β46IPIYOY + β47CREDIT + β48NEER + β49RISK | 8.04 | |||||
| B2.4) IGB3YR = β50 + β51TB3M + β52TCPIYOY + β53CREDIT + β54NEER + β55RISK | 6.35 | |||||
| B2.5) IGB3YR = β56 + β57TB3M + β58IPIYOY + β59CREDIT + β60NEER + β61RISK | 7.82 | |||||
| B2.6) IGB3YR = β62 + β63TB3M + β64TCPIYOY + β65IPIYOY + β66CREDIT + β67NEER + β68RISK | 5.02 | |||||
| Long-Run Relationships | ||||||
| Variable | Equation B2.1 | Equation B2.2 | Equation B2.3 | Equation B2.4 | Equation B2.5 | Equation B2.6 |
| TB3M | 0.35*** | — | — | 0.36*** | 0.35*** | 0.34*** |
| (0.04) | (0.04) | (0.04) | (0.04) | |||
| TCPIYOY | — | 0.06 | — | −0.02 | – | −0.01 |
| (0.09) | (0.03) | (0.04) | ||||
| IPIYOY | — | — | −0.01 | — | –0.01 | −0.01 |
| (0.04) | (0.02) | (0.02) | ||||
| CREDIT | 0.09*** | −0.06 | 0.14*** | 0.04 | 0.09*** | −0.02 |
| (0.01) | (0.14) | (0.03) | (0.05) | (0.01) | (0.05) | |
| NEER | 0.01*** | −0.02 | 0.03 | 0.01 | 0.02** | −0.01 |
| (0.01) | (0.03) | (0.02) | (0.01) | (0.01) | (0.01) | |
| RISK | −0.97*** | −2.78*** | −3.06*** | −0.66*** | –1.07*** | −0.73*** |
| (0.18) | (0.64) | (0.75) | (0.17) | (0.22) | (0.23) | |
| Constant | −0.58 | 15.39 | −0.24 | 2.46 | –1.02 | 7.35* |
| (0.99) | (1.014) | (3.27) | (4.00) | (1.22) | (3.92) | |
| Time period | May 2003– | Jan 2007– | Aug 2003– | Dec 2006– | Jul 2003– | Feb 2007– |
| Oct 2015 | Oct 2015 | Oct 2015 | Oct 2015 | Oct 2015 | Oct 2015 | |
| Number of | 150 | 106 | 147 | 107 | 148 | 105 |
| Observations |
CREDIT = credit to the private sector as percentage of gross domestic product, IGB3YR = 3-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.