Table 1 Baseline regression
From: Term structure dynamics at low and negative interest rates—evidence from Switzerland
ΔRt = gov. bond yields | 2 years | 5 years | 7 years | 10 years | 15 years | 20 years |
|---|---|---|---|---|---|---|
Reference period | ||||||
| 0.308 | 0.281** | 0.278*** | 0.152* | 0.194* | 0.094 |
(0.176) | (0.088) | (0.077) | (0.074) | (0.08) | (0.059) | |
| 0.464*** | 0.313** | 0.320*** | 0.218** | 0.272** | 0.213** |
(0.106) | (0.111) | (0.094) | (0.068) | (0.083) | (0.072) | |
Constant | 0.001 | 0.000 | 0.000 | 0.000 | 0.001 | 0.000 |
(0.002) | (0.001) | (0.001) | (0.001) | (0.001) | (0.001) | |
No. of obs. | 1307 | 1310 | 1310 | 1310 | 1304 | 1171 |
R2 | 0.068 | 0.088 | 0.094 | 0.04 | 0.064 | 0.029 |
H0: p-value | 0.491 | 0.841 | 0.76 | 0.554 | 0.547 | 0.255 |
ZLB period | ||||||
| 0.637*** | 0.751*** | 0.726*** | 0.744*** | 0.637** | 0.457* |
(0.146) | (0.190) | (0.172) | (0.183) | (0.203) | (0.219) | |
| 0.486*** | 0.562*** | 0.473*** | 0.477*** | 0.346** | 0.374** |
(0.133) | (0.118) | (0.118) | (0.144) | (0.123) | (0.133) | |
Constant | − 0.001 | − 0.002 | − 0.002 | − 0.002 | − 0.003 | − 0.002 |
(0.001) | (0.001) | (0.001) | (0.001) | (0.001) | (0.002) | |
No. of obs. | 841 | 841 | 841 | 839 | 828 | 790 |
R2 | 0.053 | 0.039 | 0.037 | 0.037 | 0.023 | 0.017 |
H0: p-value | 0.477 | 0.421 | 0.245 | 0.28 | 0.245 | 0.762 |
Floor period | ||||||
| − 0.276** | − 0.032 | − 0.177 | − 0.043 | − 0.071 | − 0.022 |
(0.101) | (0.086) | (0.099) | (0.096) | (0.089) | (0.092) | |
| 0.311*** | 0.299** | 0.393* | 0.505*** | 0.496*** | 0.452*** |
(0.076) | (0.091) | (0.153) | (0.153) | (0.141) | (0.119) | |
Constant | 0.004** | 0.002 | 0.002 | 0.002 | 0.003* | 0.002 |
(0.001) | (0.001) | (0.001) | (0.001) | (0.001) | (0.001) | |
No. of obs. | 682 | 685 | 605 | 676 | 675 | 682 |
R2 | 0.035 | 0.026 | 0.02 | 0.057 | 0.056 | 0.052 |
H0: p-value | 0.000 | 0.011 | 0.005 | 0.006 | 0.002 | 0.004 |
NIR period | ||||||
| 0.688* | 0.680** | 0.550* | 0.372 | 0.441* | 0.548* |
(0.302) | (0.231) | (0.213) | (0.190) | (0.193) | (0.231) | |
| 0.672*** | 0.683*** | 0.486*** | 0.384*** | 0.346* | 0.276 |
(0.135) | (0.158) | (0.120) | (0.105) | (0.117) | (0.154) | |
Constant | 0.001 | 0.000 | 0.000 | 0.000 | 0.000 | -0.001 |
(0.002) | (0.001) | (0.001) | (0.002) | (0.002) | (0.002) | |
No. of obs. | 477 | 477 | 477 | 477 | 476 | 477 |
R2 | 0.149 | 0.210 | 0.125 | 0.067 | 0.058 | 0.058 |
H0: p-value | 0.964 | 0.990 | 0.805 | 0.958 | 0.689 | 0.357 |
