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Table 7 Short-run effects on SSTD, quarterly frequency

From: Confederation debt management since 1970

  (1) (2) (3) (4) (5) (6)
constant 0.14 (0.16) 0.07 (0.17) -0.29** (0.13) -0.26 (0.16) 0.08 (0.2) -0.64 (0.53)
Libor 3M     0.07 (0.07)   0.16 (0.13)
Slope 10Y-3M      -0.24* (0.13) 0 (0.23)
dummy 85-89 -0.04 (0.26)      
dummy 95-04 -0.94*** (0.3)      
dummy 10-16 -0.01 (0.29)   0.37 (0.3)    0.73* (0.42)
∆MD/GDP 2.27*** (0.4) 7.53*** (2) 1.7*** (0.32) 1.51*** (0.32) 1.59*** (0.31) 1.55*** (0.32)
∆MD/GDP (t-1) -0.54 (0.42) -6.9*** (1.65) -0.35 (0.32) -0.5* (0.29) -0.37 (0.32) -0.3 (0.33)
∆SSTD (t-1) 0.22* (0.11) 0.31** (0.13) 0.41*** (0.11) 0.41*** (0.1) 0.37*** (0.11) 0.34*** (0.11)
Adjusted R2 0.25 0.38 0.37 0.36 0.38 0.38
Box-Ljung (15) 0.12 0.34 0.78 0.52 0.74 0.62
Observations 186 86 100 100 100 100
  1. This table reports regressions for ΔSSTD as dependent variable. The dataset contains quarterly observations. Columns 1 and 3 display the baseline regression forthe period from 1970 to 2016 and its sub-period from 1992 to 2016, whereas the other columns display specific robustness checks. The observation period rangesfrom 1970 to 2016 for column 1, from 1970 to 1991 for column 2, and from 1992 to 2016 for columns 3 to 6. ***, **, and * denote statistical significance (twotailed)at the 1%, 5%, and 10% significance level respectively. Standard errors are reported in parentheses. Heteroscedasticity-consistent (Huber-White) standard errors are used. To test for serial correlation of the error term, we perform the Box-Ljung test with a lag of 15 and report its p value