Table A2.3.

Equation | F–statistic | |||||

B3.1) IGB5YR = β_{69} + β_{70}TB3M + β_{71}CREDIT + β_{72}NEER + β_{73}RISK | 6.60 | |||||

B3.2) IGB5YR = β_{74} + β_{75}TCPIYOY + β_{76}CREDIT + β_{77}NEER + β_{78}RISK | 5.60 | |||||

B3.3) IGB5YR = β_{79} + β_{80}IPIYOY + β_{81}CREDIT + β_{82}NEER + β_{83}RISK | 6.51 | |||||

B3.4) IGB5YR = β_{84} + β_{85}TB3M + β_{86}TCPIYOY + β_{87}CREDIT + β_{88}NEER + β_{89}RISK | 4.02 | |||||

B3.5) IGB5YR = β_{90} + β_{91}TB3M + β_{92}IPIYOY + β_{93}CREDIT + β_{94}NEER + β_{95}RISK | 5.88 | |||||

B3.6) IGB5YR = β_{96} + β_{97}TB3M + β_{98}TCPIYOY + β_{99}IPIYOY + β_{100}CREDIT + β_{101}NEER + β_{102}RISK | 5.23 | |||||

Long-Run Relationships | ||||||

Variable | Equation B3.1 | Equation B3.2 | Equation B3.3 | Equation B3.4 | Equation B3.5 | Equation B3.6 |

TB3M | 0.21^{***} | — | — | 0.23^{***} | 0.21^{***} | 0.21^{***} |

(0.05) | (0.05) | (0.05) | (0.04) | |||

TCPIYOY | — | 0.02 | — | 0.01 | — | 0.01 |

(0.06) | (0.04) | (0.04) | ||||

IPIYOY | — | — | −0.01 | — | −0.02 | −0.02 |

(0.03) | (0.02) | (0.02) | ||||

CREDIT | 0.09^{***} | −0.02 | 0.13^{***} | −0.05 | 0.10 | −0.03 |

(0.01) | (0.09) | (0.02) | (0.06) | (0.01) | (0.05) | |

NEER | 0.01^{*} | −0.01 | 0.02 | −0.01 | 0.02^{*} | −0.01 |

(0.01) | (0.02) | (0.02) | (0.01) | (0.01) | (0.01) | |

RISK | −0.78^{***} | −1.79^{***} | −2.05^{***} | −0.34 | −0.89^{***} | −0.73^{***} |

(0.22) | (0.40) | (0.51) | (0.22) | (0.27) | (0.23) | |

Constant | 0.31 | 11.65^{*} | 0.20 | 10.30^{**} | −0.68 | 9.54^{**} |

(1.36) | (6.85) | (2.45) | (4.22) | (1.70) | (3.91) | |

Time period | Jan 2007– | Dec 2006– | Aug 2003– | Dec 2006– | Jul 2003– | Feb 2007– |

Oct 2015 | Oct 2015 | Oct 2015 | Oct 2015 | Oct 2015 | Oct 2015 | |

Number of | 150 | 107 | 147 | 107 | 148 | 105 |

observations |

Equation | F–statistic | |||||

B3.1) IGB5YR = β_{69} + β_{70}TB3M + β_{71}CREDIT + β_{72}NEER + β_{73}RISK | 6.60 | |||||

B3.2) IGB5YR = β_{74} + β_{75}TCPIYOY + β_{76}CREDIT + β_{77}NEER + β_{78}RISK | 5.60 | |||||

B3.3) IGB5YR = β_{79} + β_{80}IPIYOY + β_{81}CREDIT + β_{82}NEER + β_{83}RISK | 6.51 | |||||

B3.4) IGB5YR = β_{84} + β_{85}TB3M + β_{86}TCPIYOY + β_{87}CREDIT + β_{88}NEER + β_{89}RISK | 4.02 | |||||

B3.5) IGB5YR = β_{90} + β_{91}TB3M + β_{92}IPIYOY + β_{93}CREDIT + β_{94}NEER + β_{95}RISK | 5.88 | |||||

B3.6) IGB5YR = β_{96} + β_{97}TB3M + β_{98}TCPIYOY + β_{99}IPIYOY + β_{100}CREDIT + β_{101}NEER + β_{102}RISK | 5.23 | |||||

Long-Run Relationships | ||||||

Variable | Equation B3.1 | Equation B3.2 | Equation B3.3 | Equation B3.4 | Equation B3.5 | Equation B3.6 |

TB3M | 0.21^{***} | — | — | 0.23^{***} | 0.21^{***} | 0.21^{***} |

(0.05) | (0.05) | (0.05) | (0.04) | |||

TCPIYOY | — | 0.02 | — | 0.01 | — | 0.01 |

(0.06) | (0.04) | (0.04) | ||||

IPIYOY | — | — | −0.01 | — | −0.02 | −0.02 |

(0.03) | (0.02) | (0.02) | ||||

CREDIT | 0.09^{***} | −0.02 | 0.13^{***} | −0.05 | 0.10 | −0.03 |

(0.01) | (0.09) | (0.02) | (0.06) | (0.01) | (0.05) | |

NEER | 0.01^{*} | −0.01 | 0.02 | −0.01 | 0.02^{*} | −0.01 |

(0.01) | (0.02) | (0.02) | (0.01) | (0.01) | (0.01) | |

RISK | −0.78^{***} | −1.79^{***} | −2.05^{***} | −0.34 | −0.89^{***} | −0.73^{***} |

(0.22) | (0.40) | (0.51) | (0.22) | (0.27) | (0.23) | |

Constant | 0.31 | 11.65^{*} | 0.20 | 10.30^{**} | −0.68 | 9.54^{**} |

(1.36) | (6.85) | (2.45) | (4.22) | (1.70) | (3.91) | |

Time period | Jan 2007– | Dec 2006– | Aug 2003– | Dec 2006– | Jul 2003– | Feb 2007– |

Oct 2015 | Oct 2015 | Oct 2015 | Oct 2015 | Oct 2015 | Oct 2015 | |

Number of | 150 | 107 | 147 | 107 | 148 | 105 |

observations |

CREDIT = credit to the private sector as percentage of gross domestic product, IGB5YR = 5-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: ^{***}, ^{**}, and ^{*} represent 1%, 5%, and 10% levels of significance, respectively. Standard errors are in parentheses.

Source: Authors’ calculations.

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