|
(1)
|
(2)
|
(3)
|
(4)
|
(5)
|
(6)
|
(7)
|
---|
constant
|
-7.06 (6.38)
|
6.96 (5.3)
|
-9.12 (6.21)
|
18.96 (12.94)
|
-3.67 (7.87)
|
42.61*** (12.75)
|
16.87 (28.91)
|
Libor 3M
| | | |
-2.88 (6.57)
| | |
0.91 (7.53)
|
Slope 10Y-3M
| | | | | |
-23.41*** (7.86)
|
-17.77 (11.4)
|
dummy 85-89
|
5.53 (10.79)
| | | | | | |
dummy 95-04
|
3.34 (12.9)
| | | | | | |
dummy 10-16
|
62.62*** (15.66)
| | | |
64.77*** (16.21)
| |
61.71** (24.22)
|
∆Mout,b (t-1)
|
0.26*** (0.08)
|
0.26*** (0.09)
|
0.33*** (0.11)
|
0.25*** (0.08)
|
0.22** (0.09)
|
0.19** (0.09)
|
0.18** (0.08)
|
∆Mout,b (t-2)
|
-0.21*** (0.08)
|
-0.06 (0.09)
|
-0.16* (0.1)
|
-0.2** (0.09)
|
-0.26** (0.11)
|
-0.23* (0.12)
|
-0.28*** (0.08)
|
∆MD/GDP
| |
-22.82 (19.33)
| | | | | |
∆MD/GDP (t-1)
|
98.5*** (15.13)
| |
29.75 (35.74)
|
90.66*** (18.79)
|
111.99*** (15.45)
|
86.98*** (15.53)
|
110.07*** (17.44)
|
Adjusted R2
|
0.25
|
0.06
|
0.08
|
0.21
|
0.31
|
0.26
|
0.33
|
Box-Ljung (15)
|
0.22
|
0.02
|
0.18
|
0.06
|
0.11
|
0.12
|
0.09
|
Observations
|
185
|
185
|
85
|
99
|
99
|
99
|
99
|
- This table reports regressions with ΔMout,b as dependent variable. The dataset contains quarterly observations. Columns 1 and 5 display the baseline regression for the period from 1970 to 2016 and the sub-period from 1992 to 2016. The other columns display specific robustness checks. The dataset contains quarterlyobservations. For columns 1 and 2, the observation period ranges from 1970 to 2016, for column 3 from 1970 to 1991 and for columns 4 to 7 from 1992 to 2016.***, **, and * denote statistical significance (two-tailed) at the 1%, 5%, and 10% significance level respectively. Standard errors are reported in parentheses. Forcolumns 1, 2, 3, 5, and 6, heteroscedasticity-consistent (Huber-White) standard errors are used. For columns 4 and 7 Newey-West standard errors are used due to serial correlation. To test for serial correlation of the error term we performed the Box-Ljung test with a lag of 15 and we report its p value