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Table 5 Robustness: average expected short-term rates and additional control variables

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

ΔRt = average expected short-term rates 2 years 5 years 7 years 10 years
Reference period     
0.327* 0.298** 0.267** 0.228**
  (0.127) (0.106) (0.092) (0.077)
0.341*** 0.305*** 0.269*** 0.227***
  (0.058) (0.062) (0.060) (0.055)
 Constant − 0.001 − 0.001 − 0.000 − 0.000
  (0.001) (0.001) (0.001) (0.001)
 No. of obs. 1248 1248 1248 1248
R2 0.147 0.141 0.139 0.137
H0: p-value 0.924 0.957 0.984 0.993
ZLB period     
0.590*** 0.531*** 0.474*** 0.404***
  (0.150) (0.137) (0.123) (0.106)
0.222 0.200 0.181 0.156
  (0.173) (0.158) (0.141) (0.121)
 Constant − 0.002 − 0.001 − 0.001 − 0.001
  (0.001) (0.001) (0.001) (0.001)
 No. of obs. 799 799 799 799
R2 0.069 0.068 0.067 0.067
H0: p-value 0.152 0.159 0.164 0.169
Floor period     
− 0.065 − 0.071 − 0.066 − 0.057
  (0.095) (0.079) (0.067) (0.055)
0.122** 0.142** 0.139** 0.127**
  (0.040) (0.045) (0.043) (0.038)
 Constant 0.000 0.001 0.001 0.001
  (0.001) (0.001) (0.001) (0.000)
 No. of obs. 660 661 661 661
R2 0.017 0.028 0.035 0.040
H0: p-value 0.080 0.027 0.016 0.011
NIR period     
0.277** 0.228** 0.199** 0.168**
  (0.092) (0.076) (0.067) (0.056)
0.126 0.126* 0.122* 0.110*
  (0.067) (0.063) (0.057) (0.049)
 Constant − 0.001 − 0.000 − 0.000 0.000
  (0.001) (0.001) (0.001) (0.001)
 No. of obs. 373 374 374 374
R2 0.257 0.222 0.208 0.198
H0: p-value 0.213 0.334 0.411 0.474
  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)