Table 3 Drivers of the Convenience Yield

\(\Delta (\text {Debt net of CB/GDP})_{CH}\)

−28***

−14***

−11***

−12***

(3.1)

(2.8)

(2.6)

(2.2)

\(\Delta (\text {Debt net of CB/GDP})_{j}\)

2.1**

1.8*

1.9***

2.1***

(.94)

(.91)

(.63)

(.59)

\(i_{CH}-i_j\)

.14***

.16***

.044***

.066***

(.0098)

(.0082)

(.013)

(.012)

\(\log (VIX)\)

.011

.12***

.14***

.094***

(.041)

(.041)

(.034)

(.033)

\(\log \left( \frac{\text {Real GDP}_{CH}}{\text {Real GDP}_{j}}\right)\)

2.9***

(.25)

Observations

602

602

602

602

R-squared

0.30

0.43

0.71

0.75

Kleibergen-Paap F-stat

Hansen J-stat p-val

Quad. trend

No

Yes

Yes

Yes

Country FE

No

No

Yes

Yes