Table 7 Economic variables and the term premium

(1)

(2)

(3)

(4)

(5)

(6)

(7)

(8)

Δ r _{3 M}

Δ r _{12 M}

Δ r _{3 M}

Δ r _{12 M}

Δ r _{3 M}

Δ r _{12 M}

Δ r _{3 M}

Δ r _{12 M}

(a) From March 1991 through August 2016

Constant

0

0

0.01

0.01

0

0

0.01

0.01

(0.01)

(0.01)

(0.01)

(0.01)

(0.01)

(0.01)

(0.01)

(0.01)

ΔBCI

0.05 ^∗∗∗

0.08 ^∗∗∗

0.03 ^∗∗

0.08 ^∗∗

(0.01)

(0.03)

(0.02)

(0.03)

Δ Libor _{3 M}

0.31 ^∗∗∗

0.29 ^∗∗∗

0.29 ^∗∗∗

0.26 ^∗∗∗

(0.08)

(0.08)

(0.08)

(0.07)

ΔCHF real

− 0.82

− 1.12

0.23

0.78

(0.67)

(0.75)

(0.57)

(0.92)

Adjusted R²

0.02

0.03

0.16

0.05

0

0

0.16

0.07

Observations

305

305

305

305

305

305

305

305

(b) From March 1991 through December 1999

Constant

0

0.01

0.04 ^∗∗

0.04 ^∗

0.01

0.02

0.03 ^∗∗

0.04 ^∗

(0.02)

(0.02)

(0.02)

(0.02)

(0.02)

(0.02)

(0.02)

(0.02)

ΔBCI

0.11 ^∗∗∗

0.11 ^∗

0.05

0.09

(0.04)

(0.06)

(0.04)

(0.07)

Δ Libor _{3 M}

0.47 ^∗∗∗

0.42 ^∗∗∗

0.45 ^∗∗∗

0.4 ^∗∗∗

(0.05)

(0.11)

(0.05)

(0.09)

ΔCHF real

− 2.19

0.37

0.12

3.43 ^∗

(1.95)

(1.9)

(1.56)

(1.98)

Adjusted R²

0.04

0.01

0.35

0.1

0

-0.01

0.35

0.1

Observations

105

105

105

105

105

105

105

105

(c) From January 2000 through August 2016

Constant

0

0

0

0

0

0

0

0

(0.01)

(0.01)

(0.01)

(0.01)

(0.01)

(0.01)

(0.01)

(0.01)

ΔBCI

0.02 ^∗∗

0.07 ^∗∗

0.03 ^∗

0.07 ^∗∗

(0.01)

(0.03)

(0.01)

(0.03)

Δ Libor _{3 M}

-0.02

0.03

-0.03

-0.01

(0.08)

(0.06)

(0.08)

(0.06)

ΔCHF real

-0.27

-1.63 ^∗∗

0.24

-0.23

(0.43)

(0.75)

(0.57)

(0.82)

Adjusted R²

0.01

0.06

0

0

0

0.01

0

0.05

Observations

199

199

199

199

199

199

199

199