Financial Markets and International Risk Sharing

Table 4: Cyclicality of capital gains on domestic bond market

Notes:

The explanatory variable is the real GDP growth rate. See text for definitions of all variables.
Estimation by generalised least squares with AR(1) correlated disturbances and robust standard
errors (in parentheses), involving country and time fixed effects. Panel (1984 — 2004). Data
availability varies by country. ***, **, * denote significance at the 1, 5 and 10 percent levels
respectively. Full regression outputs are available upon request.

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