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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
  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. \(\bar {r}\) denotes the all-time observed lower bound in central bank policy interest rates