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Table 6 Short-run effects on Mout,b, quarterly frequency

From: Confederation debt management since 1970

  (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
  1. 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