| Equation | F–statistic | |||||
| B3.1) IGB5YR = β69 + β70TB3M + β71CREDIT + β72NEER + β73RISK | 6.60 | |||||
| B3.2) IGB5YR = β74 + β75TCPIYOY + β76CREDIT + β77NEER + β78RISK | 5.60 | |||||
| B3.3) IGB5YR = β79 + β80IPIYOY + β81CREDIT + β82NEER + β83RISK | 6.51 | |||||
| B3.4) IGB5YR = β84 + β85TB3M + β86TCPIYOY + β87CREDIT + β88NEER + β89RISK | 4.02 | |||||
| B3.5) IGB5YR = β90 + β91TB3M + β92IPIYOY + β93CREDIT + β94NEER + β95RISK | 5.88 | |||||
| B3.6) IGB5YR = β96 + β97TB3M + β98TCPIYOY + β99IPIYOY + β100CREDIT + β101NEER + β102RISK | 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 = β69 + β70TB3M + β71CREDIT + β72NEER + β73RISK | 6.60 | |||||
| B3.2) IGB5YR = β74 + β75TCPIYOY + β76CREDIT + β77NEER + β78RISK | 5.60 | |||||
| B3.3) IGB5YR = β79 + β80IPIYOY + β81CREDIT + β82NEER + β83RISK | 6.51 | |||||
| B3.4) IGB5YR = β84 + β85TB3M + β86TCPIYOY + β87CREDIT + β88NEER + β89RISK | 4.02 | |||||
| B3.5) IGB5YR = β90 + β91TB3M + β92IPIYOY + β93CREDIT + β94NEER + β95RISK | 5.88 | |||||
| B3.6) IGB5YR = β96 + β97TB3M + β98TCPIYOY + β99IPIYOY + β100CREDIT + β101NEER + β102RISK | 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.