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Table 3 Robustness: additional control variables

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       
0.318 0.306*** 0.299*** 0.166* 0.212* 0.097
  (0.182) (0.092) (0.078) (0.08) (0.088) (0.06)
0.363*** 0.239** 0.239*** 0.190** 0.218** 0.153**
  (0.093) (0.078) (0.062) (0.07) (0.071) (0.056)
 Constant 0.000 − 0.001 0.000 0.000 0.001 0.000
  (0.002) (0.001) (0.001) (0.001) (0.001) (0.001)
 No. of obs. 1238 1241 1241 1241 1235 1111
R2 0.074 0.102 0.111 0.048 0.075 0.039
H0: p-value 0.840 0.617 0.590 0.841 0.963 0.531
ZLB period       
0.704*** 0.779*** 0.788*** 0.788*** 0.686** 0.466*
  (0.149) (0.197) (0.183) (0.194) (0.217) (0.234)
0.318 0.464** 0.295 0.326 0.192 0.321
  (0.196) (0.179) (0.198) (0.23) (0.2) (0.219)
 Constant − 0.002 − 0.003* − 0.003* − 0.003 − 0.004* − 0.002
  (0.001) (0.001) (0.001) (0.002) (0.002) (0.002)
 No. of obs. 791 791 791 790 782 749
R2 0.080 0.047 0.050 0.045 0.035 0.021
H0: p-value 0.163 0.281 0.101 0.172 0.133 0.691
Floor period       
− 0.253* 0.000 − 0.122 − 0.036 − 0.074 − 0.013
  (0.115) (0.112) (0.117) (0.118) (0.106) (0.106)
0.295*** 0.234** 0.316* 0.463** 0.468** 0.434***
  (0.071) (0.072) (0.14) (0.168) (0.154) (0.126)
 Constant 0.003* 0.001 0.003* 0.003* 0.003* 0.003*
  (0.001) (0.001) (0.001) (0.002) (0.001) (0.001)
 No. of obs. 645 647 570 639 638 644
R2 0.037 0.030 0.030 0.056 0.050 0.050
H0: p-value 0.000 0.095 0.030 0.031 0.010 0.015
NIR period       
0.837** 0.744** 0.594* 0.420* 0.464* 0.564*
  (0.321) (0.251) (0.232) (0.202) (0.210) (0.252)
0.397** 0.671** 0.526** 0.390* 0.417* 0.398
  (0.129) (0.241) (0.190) (0.161) (0.185) (0.212)
 Constant 0.001 0.001 0.001 0.001 0.001 0.001
  (0.002) (0.002) (0.002) (0.002) (0.002) (0.002)
 No. of obs. 444 444 444 444 444 444
R2 0.198 0.238 0.139 0.077 0.068 0.076
H0: p-value 0.235 0.848 0.835 0.915 0.876 0.642
  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)