Table A2.4.

Equation | F–statistic | ||||

B4.1) IGB7YR = β_{103} + β_{104}TB3M + β_{105}CREDIT + β_{106}NEER + β_{107}RISK | 3.17 | ||||

B4.2) IGB7YR = β_{108} + β_{109}TCPIYOY + β_{110}CREDIT + β_{111}NEER + β_{112}RISK | 2.90 | ||||

B4.3) IGB7YR = β_{113} + β_{114}IPIYOY + β_{115}CREDIT + β_{116}NEER + β_{117}RISK | 5.91 | ||||

B4.4) IGB7YR = β_{118} + β_{119}TB3M + β_{120}TCPIYOY + β_{121}CREDIT + β_{122}NEER + β_{123}RISK | 4.28 | ||||

B4.5) IGB7YR = β_{124} + β_{125}TB3M + β_{126}IPIYOY + β_{127}CREDIT + β_{128}NEER + β_{129}RISK | 4.97 | ||||

B4.6) IGB7YR = β_{130} + β_{131}TB3M + β_{132}TCPIYOY + β_{133}IPIYOY + β_{134}CREDIT + β_{135}NEER + β_{136}RISK | 3.69 | ||||

Long-Run Relationships | |||||

Variable | Equation B4.1 | Equation B4.3 | Equation B4.4 | Equation B4.5 | Equation B4.6 |

TB3M | 0.22^{***} | — | 0.18^{***} | 0.15^{**} | 0.18^{***} |

(0.08) | (0.05) | (0.06) | (0.05) | ||

TCPIYOY | — | — | 0.03 | – | 0.03 |

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

IPIYOY | — | −0.02 | — | –0.02 | −0.02 |

(2.28) | (0.02) | (0.02) | |||

CREDIT | 0.09^{***} | 0.13^{***} | −0.07 | 0.10^{***} | −0.08 |

(0.02) | (0.02) | (0.06) | (0.02) | (0.06) | |

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

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

RISK | −0.19 | −1.69^{***} | −0.15 | –0.83^{***} | −0.28 |

(0.41) | (0.45) | (0.24) | (0.30) | (0.31) | |

Constant | −0.17 | −0.02 | 11.89^{***} | –0.40 | 12.39^{***} |

(1.90) | (0.03) | (4.41) | (1.86) | (4.59) | |

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

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

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

Equation | F–statistic | ||||

B4.1) IGB7YR = β_{103} + β_{104}TB3M + β_{105}CREDIT + β_{106}NEER + β_{107}RISK | 3.17 | ||||

B4.2) IGB7YR = β_{108} + β_{109}TCPIYOY + β_{110}CREDIT + β_{111}NEER + β_{112}RISK | 2.90 | ||||

B4.3) IGB7YR = β_{113} + β_{114}IPIYOY + β_{115}CREDIT + β_{116}NEER + β_{117}RISK | 5.91 | ||||

B4.4) IGB7YR = β_{118} + β_{119}TB3M + β_{120}TCPIYOY + β_{121}CREDIT + β_{122}NEER + β_{123}RISK | 4.28 | ||||

B4.5) IGB7YR = β_{124} + β_{125}TB3M + β_{126}IPIYOY + β_{127}CREDIT + β_{128}NEER + β_{129}RISK | 4.97 | ||||

B4.6) IGB7YR = β_{130} + β_{131}TB3M + β_{132}TCPIYOY + β_{133}IPIYOY + β_{134}CREDIT + β_{135}NEER + β_{136}RISK | 3.69 | ||||

Long-Run Relationships | |||||

Variable | Equation B4.1 | Equation B4.3 | Equation B4.4 | Equation B4.5 | Equation B4.6 |

TB3M | 0.22^{***} | — | 0.18^{***} | 0.15^{**} | 0.18^{***} |

(0.08) | (0.05) | (0.06) | (0.05) | ||

TCPIYOY | — | — | 0.03 | – | 0.03 |

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

IPIYOY | — | −0.02 | — | –0.02 | −0.02 |

(2.28) | (0.02) | (0.02) | |||

CREDIT | 0.09^{***} | 0.13^{***} | −0.07 | 0.10^{***} | −0.08 |

(0.02) | (0.02) | (0.06) | (0.02) | (0.06) | |

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

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

RISK | −0.19 | −1.69^{***} | −0.15 | –0.83^{***} | −0.28 |

(0.41) | (0.45) | (0.24) | (0.30) | (0.31) | |

Constant | −0.17 | −0.02 | 11.89^{***} | –0.40 | 12.39^{***} |

(1.90) | (0.03) | (4.41) | (1.86) | (4.59) | |

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

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

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

CREDIT = credit to the private sector as percentage of gross domestic product, IGB7YR = 7-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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