Table 2 Alternative specification
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 |
|---|---|---|---|---|---|---|
\( \Delta r_{t} \times (r_{t-1}-\bar {r}_{t-1})\) | − 0.002 | − 0.079* | − 0.089* | − 0.086* | − 0.069 | − 0.094** |
(0.044) | (0.037) | (0.035) | (0.037) | (0.037) | (0.033) | |
Δ r t | 0.353*** | 0.417*** | 0.427*** | 0.343*** | 0.345*** | 0.328*** |
(0.071) | (0.069) | (0.067) | (0.066) | (0.065) | (0.063) | |
\((r_{t-1}-\bar {r}_{t-1}) \) | − 0.001 | − 0.000 | 0.000 | 0.000 | 0.000 | 0.000 |
(0.001) | (0.001) | (0.001) | (0.001) | (0.001) | (0.001) | |
Constant | 0.001 | − 0.000 | 0.000 | − 0.000 | − 0.000 | − 0.000 |
(0.001) | (0.001) | (0.001) | (0.001) | (0.001) | (0.001) | |
No. of obs. | 3118 | 3123 | 3046 | 3114 | 3098 | 2948 |
R 2 | 0.073 | 0.077 | 0.078 | 0.044 | 0.051 | 0.035 |