| Equation | F–statistic | ||||
| B4.1) IGB7YR = β103 + β104TB3M + β105CREDIT + β106NEER + β107RISK | 3.17 | ||||
| B4.2) IGB7YR = β108 + β109TCPIYOY + β110CREDIT + β111NEER + β112RISK | 2.90 | ||||
| B4.3) IGB7YR = β113 + β114IPIYOY + β115CREDIT + β116NEER + β117RISK | 5.91 | ||||
| B4.4) IGB7YR = β118 + β119TB3M + β120TCPIYOY + β121CREDIT + β122NEER + β123RISK | 4.28 | ||||
| B4.5) IGB7YR = β124 + β125TB3M + β126IPIYOY + β127CREDIT + β128NEER + β129RISK | 4.97 | ||||
| B4.6) IGB7YR = β130 + β131TB3M + β132TCPIYOY + β133IPIYOY + β134CREDIT + β135NEER + β136RISK | 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 = β103 + β104TB3M + β105CREDIT + β106NEER + β107RISK | 3.17 | ||||
| B4.2) IGB7YR = β108 + β109TCPIYOY + β110CREDIT + β111NEER + β112RISK | 2.90 | ||||
| B4.3) IGB7YR = β113 + β114IPIYOY + β115CREDIT + β116NEER + β117RISK | 5.91 | ||||
| B4.4) IGB7YR = β118 + β119TB3M + β120TCPIYOY + β121CREDIT + β122NEER + β123RISK | 4.28 | ||||
| B4.5) IGB7YR = β124 + β125TB3M + β126IPIYOY + β127CREDIT + β128NEER + β129RISK | 4.97 | ||||
| B4.6) IGB7YR = β130 + β131TB3M + β132TCPIYOY + β133IPIYOY + β134CREDIT + β135NEER + β136RISK | 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.