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Table 6 Robustness: accounting for outliers

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       
0.744*** 0.495*** 0.487*** 0.483*** 0.397*** 0.237*
  (0.164) (0.109) (0.107) (0.110) (0.107) (0.105)
0.696*** 0.562*** 0.538*** 0.520*** 0.422*** 0.364***
  (0.143) (0.107) (0.102) (0.096) (0.095) (0.091)
 Constant 0.000 0.000 0.001 0.000 0.001 0.001
  (0.002) (0.001) (0.001) (0.001) (0.001) (0.002)
 No. of obs. 1163 1165 1165 1165 1161 1053
R2 0.064 0.086 0.081 0.077 0.057 0.026
H0: p-value 0.846 0.710 0.773 0.834 0.881 0.431
ZLB period       
0.581*** 0.741*** 0.752*** 0.680*** 0.598* 0.441+
  (0.155) (0.218) (0.200) (0.203) (0.233) (0.255)
0.673** 0.648* 0.502+ 0.563* 0.448+ 0.314
  (0.244) (0.273) (0.274) (0.286) (0.245) (0.281)
 Constant − 0.000 − 0.002 − 0.003 − 0.002 − 0.002 − 0.002
  (0.001) (0.002) (0.002) (0.002) (0.002) (0.002)
 No. of obs. 788 788 788 787 779 746
R2 0.082 0.041 0.045 0.041 0.035 0.013
H0: p-value 0.776 0.812 0.512 0.767 0.690 0.767
Floor period       
− 0.102 − 0.021 − 0.172 − 0.081 − 0.134 − 0.112
  (0.144) (0.170) (0.161) (0.192) (0.166) (0.160)
0.147 0.226 0.397** 0.344* 0.293+ 0.324+
  (0.155) (0.191) (0.141) (0.158) (0.163) (0.170)
 Constant 0.002 0.001 0.003* 0.002 0.003 0.003
  (0.002) (0.001) (0.002) (0.002) (0.002) (0.002)
 No. of obs. 630 632 561 624 623 629
R2 0.008 0.010 0.031 0.011 0.008 0.008
H0: p-value 0.319 0.395 0.019 0.138 0.106 0.101
NIR period       
0.575 0.733* 0.608* 0.394* 0.410+ 0.450*
  (0.354) (0.295) (0.267) (0.192) (0.233) (0.222)
0.305 0.265+ 0.290+ 0.331+ 0.348+ 0.354*
  (0.165) (0.145) (0.151) (0.176) (0.189) (0.179)
 Constant 0.002 − 0.000 0.001 0.001 0.001 0.001
  (0.002) (0.001) (0.002) (0.002) (0.002) (0.002)
 No. of obs. 428 428 428 428 427 428
R2 0.039 0.071 0.050 0.028 0.028 0.036
H0: p-value 0.521 0.190 0.341 0.825 0.851 0.757
  1. Robust standard errors in parentheses
  2. Statistical significance indicated with *** if p<0.001, ** if p<0.01, * if p<0.05, and + if p<0.1
  3. rt denotes the Swiss franc 3-month OIS
  4. H0:β1=β2 in regression (1)
  5. Observations where |Δrt|> 0.05 are excluded