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Table 4 Robustness: IRS rates and additional control variables

From: Term structure dynamics at low and negative interest rates—evidence from Switzerland

ΔRt = IRS fixed leg 2 years 5 years 7 years 10 years 15 years 20 years
Reference period       
0.429*** 0.332*** 0.278*** 0.211* 0.132 0.140
  (0.114) (0.082) (0.077) (0.083) (0.097) (0.097)
0.407*** 0.305*** 0.264*** 0.226*** 0.235*** 0.237***
  (0.08) (0.073) (0.071) (0.066) (0.066) (0.066)
 Constant 0.000 − 0.001 − 0.001 0.000 0.001 0.001
  (0.001) (0.001) (0.001) (0.001) (0.001) (0.001)
 No. of obs. 1248 1248 1248 1248 1247 1247
R2 0.221 0.140 0.107 0.065 0.046 0.060
H0: p-value 0.889 0.824 0.905 0.898 0.436 0.464
ZLB period       
0.910*** 0.914*** 0.818*** 0.675** 0.627* 0.613*
  (0.226) (0.226) (0.234) (0.237) (0.256) (0.25)
0.488* 0.419* 0.364 0.374 0.529 0.388
  (0.228) (0.201) (0.201) (0.226) (0.272) (0.242)
 Constant − 0.002 − 0.003 − 0.003 − 0.002 − 0.002 − 0.002
  (0.001) (0.001) (0.002) (0.002) (0.002) (0.002)
 No. of obs. 799 799 799 799 799 799
R2 0.115 0.066 0.046 0.030 0.027 0.021
H0: p-value 0.239 0.133 0.177 0.406 0.816 0.560
Floor period       
0.202 0.158 0.131 0.107 0.101 0.129
  (0.107) (0.131) (0.139) (0.14) (0.141) (0.152)
0.116 0.271*** 0.366*** 0.440*** 0.421*** 0.448***
  (0.066) (0.078) (0.08) (0.089) (0.097) (0.107)
 Constant 0.000 0.000 0.001 0.001 0.001 0.001
  (0.001) (0.001) (0.001) (0.001) (0.001) (0.001)
 No. of obs. 660 661 661 661 661 661
R2 0.028 0.049 0.054 0.063 0.052 0.056
H0: p-value 0.530 0.489 0.171 0.062 0.082 0.112
NIR period       
0.390* 0.436* 0.443* 0.439* 0.321 0.362
  (0.168) (0.177) (0.194) (0.211) (0.217) (0.223)
0.625** 0.568** 0.458** 0.379* 0.358* 0.338*
  (0.205) (0.173) (0.160) (0.154) (0.149) (0.157)
 Constant 0.003* 0.002 0.002 0.002 0.002 0.002
  (0.001) (0.001) (0.001) (0.002) (0.002) (0.002)
 No. of obs. 444 445 445 445 445 445
R2 0.353 0.249 0.202 0.121 0.097 0.093
H0: p-value 0.415 0.625 0.955 0.832 0.897 0.936
  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)