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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
  1. Robust standard errors in parentheses
  2. Statistical significance indicated with *** if p<0.001, ** if p<0.01, and * if p<0.05
  3. rt denotes the Swiss franc 3-month OIS
  4. H0:β1=β2 in regression (1)