| Equation | F-statistic | |||
| B5.1) IGB10YR = β137 + β138TB3M + β139CREDIT + β140NEER + β141RISK | 3.51 | |||
| B5.2) IGB10YR = β142 + β143TCPIYOY + β144CREDIT + β145NEER + β146RISK | 2.89 | |||
| B5.3) IGB10YR = β147 + β148IPIYOY + β149CREDIT + β150NEER + β151RISK | 2.83 | |||
| B5.4) IGB10YR = β152 + β153TB3M + β154TCPIYOY + β155CREDIT + β156NEER + β157RISK | 4.19 | |||
| B5.5) IGB10YR = β158 + β159TB3M + β160IPIYOY + β161CREDIT + β162NEER + β163RISK | 3.08 | |||
| B5.6) IGB10YR = β164 + β165TB3M + β166TCPIYOY + β167IPIYOY + β168CREDIT + β169NEER + β170RISK | 3.59 | |||
| Long-Run Relationships | ||||
| Variable | Equation B5.1 | Equation B5.4 | Equation B5.5 | Equation B5.6 |
| TB3M | 0.66*** | 0.17*** | 0.66*** | 0.17*** |
| (0.15) | (0.05) | (0.15) | (0.05) | |
| TCPIYOY | — | 0.07* | — | 0.07 |
| (0.04) | (0.04) | |||
| IPIYOY | — | — | −0.05 | −0.01 |
| (0.07) | (0.02) | |||
| CREDIT | 0.04 | −0.09 | 0.05 | −0.10 |
| (0.04) | (0.06) | (0.05) | (0.06) | |
| NEER | 0.04 | −0.01 | 0.06 | −0.01 |
| (0.03) | (0.01) | (0.04) | (0.01) | |
| RISK | 2.04* | −0.00 | 1.72 | 0.08 |
| (1.08) | (0.24) | (1.17) | (0.31) | |
| Constant | −4.69 | 12.88*** | −6.74 | 13.17*** |
| (4.83) | (4.51) | (6.36) | (4.66) | |
| Time period | Mar 1999– | Dec 2006– | Jun 1999– | Feb 2007– |
| Oct 2015 | Oct 2015 | Oct 2015 | Oct 2015 | |
| Number of observations | 199 | 107 | 197 | 105 |
| Equation | F-statistic | |||
| B5.1) IGB10YR = β137 + β138TB3M + β139CREDIT + β140NEER + β141RISK | 3.51 | |||
| B5.2) IGB10YR = β142 + β143TCPIYOY + β144CREDIT + β145NEER + β146RISK | 2.89 | |||
| B5.3) IGB10YR = β147 + β148IPIYOY + β149CREDIT + β150NEER + β151RISK | 2.83 | |||
| B5.4) IGB10YR = β152 + β153TB3M + β154TCPIYOY + β155CREDIT + β156NEER + β157RISK | 4.19 | |||
| B5.5) IGB10YR = β158 + β159TB3M + β160IPIYOY + β161CREDIT + β162NEER + β163RISK | 3.08 | |||
| B5.6) IGB10YR = β164 + β165TB3M + β166TCPIYOY + β167IPIYOY + β168CREDIT + β169NEER + β170RISK | 3.59 | |||
| Long-Run Relationships | ||||
| Variable | Equation B5.1 | Equation B5.4 | Equation B5.5 | Equation B5.6 |
| TB3M | 0.66*** | 0.17*** | 0.66*** | 0.17*** |
| (0.15) | (0.05) | (0.15) | (0.05) | |
| TCPIYOY | — | 0.07* | — | 0.07 |
| (0.04) | (0.04) | |||
| IPIYOY | — | — | −0.05 | −0.01 |
| (0.07) | (0.02) | |||
| CREDIT | 0.04 | −0.09 | 0.05 | −0.10 |
| (0.04) | (0.06) | (0.05) | (0.06) | |
| NEER | 0.04 | −0.01 | 0.06 | −0.01 |
| (0.03) | (0.01) | (0.04) | (0.01) | |
| RISK | 2.04* | −0.00 | 1.72 | 0.08 |
| (1.08) | (0.24) | (1.17) | (0.31) | |
| Constant | −4.69 | 12.88*** | −6.74 | 13.17*** |
| (4.83) | (4.51) | (6.36) | (4.66) | |
| Time period | Mar 1999– | Dec 2006– | Jun 1999– | Feb 2007– |
| Oct 2015 | Oct 2015 | Oct 2015 | Oct 2015 | |
| Number of observations | 199 | 107 | 197 | 105 |
CREDIT = credit to the private sector as percentage of gross domestic product, IGB10YR = 10-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.